Quant equity’s future

eric16 · Post by **eric16** » Tue Aug 20, 2019 3:38 pm

It seems that quant equity is becoming more and more difficult since 2016. Is it market structural changes so in future quant equity will be hard or temporal? It seems that the quant equity is slowly dying, like hft did in 2016.. though will have some good years in future, but the trend will not be positive.

Zoho · Post by **Zoho** » Thu Aug 22, 2019 9:47 am

It seems this forum is somehow not interested in Quant equity...

@eric16 could you tell more about Quant equity having Hard days... ?

From what I see (I have only backtesting experience which ends in the beginning of 2019): my low turnover signals did not perform in 2018, high turnover portfolios did well in 2018... I remember that one of the forum members wrote approximately a year ago that short-term signals were still doing good...

Also I know that a year ago quantPORT started hiring people for quant equity... It could be that quant equity signals just are not that simple nowadays.

eric16 · Post by **eric16** » Thu Aug 22, 2019 11:49 am

The industry seems to be shrinking a lot, not just having hard days. Some working signals can’t make a place survive. If you just join in this industry, it might be exciting of producing signals, but ten years later, what will you do.

The Doc · Post by **The Doc** » Thu Aug 22, 2019 11:51 am

What area of finance isnt shrinking? lol

Zoho · Post by **Zoho** » Thu Aug 22, 2019 12:18 pm

@eric16

Who knows what volatility is going to be in 10 years...

sharpe_machine · Post by **sharpe_machine** » Thu Aug 22, 2019 12:24 pm

> Also I know that a year ago quantPORT started hiring people for quant equity...

I would say that they started to hire people overseas (=Russia) to copy-paste WorldQuant's model in a smaller scale.

Zoho · Post by **Zoho** » Thu Aug 22, 2019 1:17 pm

@sharpe_machine

Not obligatory copy-paste WQ alphas, this approach was covered well before in GrinoldKahn, besides the guy behind overseas hiring for quantPort came from D.E.Shaw...

EspressoLover · Post by **EspressoLover** » Thu Aug 22, 2019 3:38 pm

We're in the middle of the longest bull market in modern history. It's not surprising that a market-neutral strategy isn't doing great. Analogously during the Internet bubble, many absolute return strategies performed mediocre. By 1999, people were declaring long-short to be dead for good...

And then after the bubble popped, many of the funds that stuck around ended up having their best five years ever. The lesson is that when you get very late into a bull cycle, animal spirits take over and market rationality often takes a back seat. In particular the value/quality/balance sheet signals used by longer-horizon quant strats are pretty powerless in a world filled with WeWork or Pets.com.

Anyway, my point is let's wait to see at least one full bull/bear cycle before jumping to any conclusions.

Jurassic · Post by **Jurassic** » Thu Aug 22, 2019 3:52 pm

@zoho what is a worldquant alpha?

Zoho · Post by **Zoho** » Thu Aug 22, 2019 4:20 pm

@Jurassic

I would say that from my point of view quant equity approaches are covered in the GK book and other quant/active equity books, Igor Tulchinsky even wrote his own book