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Would like to verify current concept of Quantitative Researchers and Quant PM's

UndergradQuant

Joined
12/6/15
Messages
4
Points
11
Hi everyone,

Just like to introduce myself real quick, my name's Jon. Undergraduate looking to quantitative portfolio management for a career.

The current concept I have is that once I reach the industry, I would be a quant researcher. Build factor models, develop systematic trading strategies based on papers, and help out with ad hoc tasks.

I would do this for maybe a 3-6 years before moving on to quantitative portfolio management where I'd be evaluating the different strategies that my researchers have to offer and then somehow combine them in an intelligent way that allows me to reduce risk, generate profits, avoid high turnover, have a low max drawdown, etc. I'd have my own book, determine how to allocate capital to my chosen strategies, etc.

I've been looking around at places like Two Sigma and AQR where I would assume that I'd best cultivate such skills starting out. However, are all of my expectations actually indicative of what I'd do in industry?

PS: I am pursuing a graduate degree and am considering pursuing a PhD. So, if possible, if someone could mention a hypothetical "MS" and a hypothetical "PhD" scenario, that would help so much!
 
That's not really how Two Sigma and AQR work. PMs there don't have their "own book". That said, they do make use of many of the ideas you want to pursue (factor models, systematic trading strategies, etc.), just in a different fashion.
 
Here's how it will most likely work:
1) You pursue a PhD since you believe the people who tell you you *need* to have it to work in industry.
2) You will then work ~5 years doing predominantly programming work, making more money than the average but still not satisfactory to preconceived notions of Wallstreet pay.
3) You will then quit because you didn't actually know what you were getting into.


Good luck!!!!
 
@Parallax Thanks so much. Could you elaborate a little more?

@euroazn I'm pursuing a masters and a PhD if I want to spend more time to simply understand my line of study.

My stated idea is more of asking IF that is possible or if it exists. If it doesn't then I can re-adjust my outlook on what I want to pursue.

Thanks.
 
Don't put too much hope on Msc and Ph.D.
Ph. D. (unless done parallel to job) is a waste of time, Msc. will not hurt (but if you are going to trade only primary assets - stocks, bonds, commodities - not derivatives, BSc. is enough).

And - practice, practice, practice!
Start building your track record NOW (if you have an good one, you also have a good chance to enter the branch otherwise it will be more the matter of luck).
Look how I do it: Somewhat better than DUCKS
And read how I do it: Amazon.com: Knowledge rather than Hope: A Book for Retail Investors and Mathematical Finance Students (9783000465208): Vasily Nekrasov: Books
 
@yetanotherquant for the Ph.D. that was my plan. I was surprised that you said BSc. is enough. However, currently, I don't think the brand recognition of my school is enough to get me into the places I want. So a one year masters can't hurt. I'm graduating early so I figured I might as well.

Thank you for the helpful insight. I do have an account but I have not been able to put the time into it with all of my other distractions. I will clear aside time for that once the semester is over for sure!
 
>I was surprised that you said BSc. is enough.
Just to make it clear.
I, myself, have an MSc (was necessarily to to make it in Germany in order to get a work permit there). I also have written (though not defended) a Ph.D. thesis because I love researching.
I needed an advanced and complex stuff (like this: http://www.yetanotherquant.de/libor/tutorial.pdf) as I worked for the German Finance Agency as Quant.
But I hardly need suchlike stuff for trading! Most of math you need for trading (unless you trade derivatives) is provided in my book, and in order to understand it a Bsc is [more than] enough.
 
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