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Quant Dev to PM, options and how long

Phil

Joined
6/10/11
Messages
33
Points
18
Hello Quantnet,

I come here usually satisfied with the good advice that follows. I'm seeking as such given my current career position.

Ivy league graduate, quant dev in mid-size small HF in Chicago. 80% analysis and tools for descretionary traders 20% strategy. Almost every day coding and database management. Been doing this for three years now. There's salary progression but no allocation.

Some of my strats are rigourously backtested with 0.7 Sharpe. (transaction cost, cross-market, all assets, in/out sample testing, twelve years, not some retail trading bs).

Recent update is that there's a position at a BB almost lined up for me. But the title is still quant dev. If I could guess, it's perhaps only slightly better in terms of market exposure, 70% coding 30% strat.

My aspiration is to eventually be a PM with say the immediate allocation goal of 10mil.

1. Should I take the BB job? Though still quant dev, it'll bring me closer to the market. MOre network too.
2. Does a quant dev, assuming very good and well liked, eventually get promoted to PM? Am I getting to ahead of myself given that I'm only in this for 3 years.

Thanks,
Phil
 
1. Some BB positions are dumping grounds. Is this a new or replacement position? You might be stuck in a huge bureaucracy instead.
2. PM and quant dev are two different skills, almost many aspects sounds similar. most start from analyst. have you gotten ur CFA?
 
1. From what I understand, it's a standard quant options market making role. It is very un-PM. But I figured BB options experience adds to my skill set.

2. So, what I understand is that in small hedge funds like mine, the quant devs take on a myriad of roles though the common theme is programming. I'll admit that the boss has given me some avenue, about 20%, for strategy development. And I must say I'm confident that I have some legitimate strats at hand, ie I have published in a trading magazine, I have given conference presentations.

And I don't see a CFA as a necessity because I'm sticking to quant PM. My goal is those quantitative strategist, PM at Citadel, DE Shaw, Bridgewater. Still quant, but quant skills to invest 10 mil.

The question thus is going from quant dev to full fledge quant PM. Possible and expected time?
 
i think u're on track. again, from outsider POV quant dev to quant pm is difficult. Many quant devs and analysts are trying to do the same. extra certification helps. expected time typically 5 to 10 years.
 
Phil said:
The question thus is going from quant dev to full fledge quant PM. Possible and expected time?
Click to expand...

Not if you going through a BB. Have you shown your strats to the PMs in your company? what's your boss role? Are they willing to put money in your strats? That will help.
 
I don't understand why you looked outside. You are optimally positioned to launch a few strategies, you just have to convince your boss. All your ducks are basically lined up. Worst case at your current firm is you get too small a %, but the upshot is you start getting a track record.
 
Thanks yall for the advice. Great, I think I'll stick with this company and try to launch my strat.

And yes, this isn't a simple retail trader strat. I would love to share the details but I'm afraid in doing so, it'll lose it's edge. Just a peek - it looks like cross market volatility diffusion. Essentially, the idea is that volatility in one market will precede volatility in another market. In identifying these spots, I'll take positions BEFORE volatility occurs thus getting in at the beginnings of a trend.

I was so happy to see a Sharpe of 1.0 in the backtester. And yes, it is across 40 plus assets. It is over 12 years. It has taken into account transaction cost. And it is NOT optimized over the whole sample.
 
Phil said:
Thanks yall for the advice. Great, I think I'll stick with this company and try to launch my strat.

And yes, this isn't a simple retail trader strat. I would love to share the details but I'm afraid in doing so, it'll lose it's edge. Just a peek - it looks like cross market volatility diffusion. Essentially, the idea is that volatility in one market will precede volatility in another market. In identifying these spots, I'll take positions BEFORE volatility occurs thus getting in at the beginnings of a trend.

I was so happy to see a Sharpe of 1.0 in the backtester. And yes, it is across 40 plus assets. It is over 12 years. It has taken into account transaction cost. And it is NOT optimized over the whole sample.
Click to expand...
Enough liquidity in the market?
 
It's a daily strategy, so betting more on macro moves. And yes I did account for transaction cost.

I'm now testing to see whether the Sharpe still holds when I'm trading at more likely hours. (Hint: my strat works on close prices.)
 
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