Looking for input from more experienced quant traders/researchers here...

[ctd]

A bit of background on me: this is my first job in a hedge fund after grad school, though I've had a bit of other work experience outside finance before school. I decided to take this position, as a quant trader, because it was precisely the job function I was interested in, even though I had two other offers with reputable companies both of whom actually offered me more in terms of compensation (one was ~$40k total comp more than the offer I ended up accepting here). My focus was more on being interested in and passionate about the work and setting myself up to learn the most in the beginning instead of focusing on money.



That said, while I generally enjoy my work, I pretty regularly question, to be it bluntly, whether the fund as a whole and some of my colleagues and bosses really know what they're doing. For example, for approximately the first six months, the focus of my project work was pretty close to 100% dictated by senior members of my team. Nothing really worked up to that point, and so I decided to do a bit of analysis on my own, which led me to try something else on the project that ended up proving profitable. Up to this point, the only approaches/strategies that have proved profitable, have been ones that I suggested. Certainly, we learn from our mistakes, etc., but this seemed a bit stark to me. Part of the confusion for me is that the fund IS successful--strategies I work with have Sharpes well in excess of 2, high AUM--so I'm not sure

where the disconnect exists.



Beyond that, this is my first position in this job function. So, while I may have a reasonable grasp on the textbook/theoretical basis for things, implementation, tricks of the trade, and really just best ways to do this kind of work are definitely things I'd like to learn.



My general difficulty is that (1) While I feel knowledgeable and capable, I don't feel I have a good sense for how to go about devising systems, common pitfalls, etc. It's felt, for the most part to me, like just trying a bunch of stuff until something looks good out of sample, and that there seems to exist a general ignorance to how or why something works (ie, no real consideration for whether we're tapping into some underlying economic construct or just data-mining); and (2) being that this is my first job, to some extent, what I learn here and from these folks is formative, so I'm slightly concerned about picking up bad habits or just bad practice by being lead by people that don't really know what they're doing.



Broadly speaking, I'm wondering if this sounds normal and/or if anyone can comment on how a quant trading operation ought to be run.



I can certainly say more, but this pretty succinctly describes my difficulty. I'd really appreciate any counsel some of the senior folks in similar careers can offer, and would welcome taking the discussion off-line if need be.

[knocks_rocks]

Just my 2 cents from equity trading, I found that most profitable strategies that I have come across did not come from typical statistical tests on time series but rather past experience from my discretionary background (buy the panic) and observing price series in action. Basically staring at a chart till my brain found something. My dirty little secret is that although I think MatLab is fantastic, on single security analysis I prefer using 'retail' software, smartquant, tradestation, etc. so I can throw a bunch of ideas against the wall and see what sticks (trial & error approach) and then crunch detailed numbers when/if I find something worthwhile. This pertains to frequency of 1m or higher, ultra-high frequency is another matter.



Most strats my superiors like tend to be a variation of a common theme (buy weakness, sells strength). Which doesn't necessarily mean that I like them; although these strats display high Sharpe's and beautiful equity curves I have begun focusing on long vol, market taking strategies for reasons beyond the scope of this thread, I can elaborate further if anyone is curious.



I have to admit I am mostly self taught so I am cognizant that I may have picked up bad habits to start. There are likely more efficient methods that I am not utilizing due to ignorance or lack of sophistication. On the other hand, many of these systems are at new equity highs.... I would be interested in hearing other opinions as well.

[london]

ctd



I can empathize with some of your comments and have a few grey hairs from my experiences (but neither as much grey nor experience as some other NPers). I can only offer you a few observations from my own experience that may help you decide.



I spent many years learning what I thought were "good habits" in my first job, then went to a second fund and was initially disappointed when I looked inside the engine room. I was in a situation where the senior member/ founders of the fund were removed from the daily research, they sometimes made inappropriate (IMHO) suggestions. Even though this was a highly successful, large fund (that continues to do well) it sounds similar to the one you describe.

Despite that, I stayed several years and got good exposure to the nitty-gritty, real world problems of markets. In hindsight, I can say I picked up good habits from both shops. Not necessarily structured learning but from my own research experience of trial and error and also the proximity to trading. I witnessed a number of new grads and post grads wanting to be formally taught. It didn't happen to me and we didnt do that for the junior guys.



If your fund is successful then presumably something has been going right; maybe they are lucky or maybe they do lots of research and only some of it is fruitful. If all research avenues were successful, then clearly we wouldn't call it research.



But, if you dont have confidence in the senior members and don't think you can learn anything in that environment, then something is wrong, and you may want to move on. However, I would caution against moving before having worked for 2 years, as multiple, frequent moves can be frowned upon in a resume.



Your enthusiasm is admirable and a good trait, you sound like someone who is keen to learn. Don't worry about picking up bad habits. If you do, but stay intellectually curious, you will always pick up better habits later.



It sounds like you already have, or could engineer, the environment where you can take your research in the direction you want it to go. Don't underestimate the value of this. Propose to your boss what you want your research agenda to be.

Find one senior person who does research in an organized, pragmatic, structured way that you admire; go buy them a coffee and start asking them how they organize their ideas.

Get as close to the execution as possible; if you use in-house traders find the most experienced, least quantitative and ask him to explain how he thinks about markets.

If you see some investment banking research that you might find useful (a big if) call up the last named research analyst. They will be the most junior and delighted to help you out, explain their models, send you updates, etc.

Make the effort to understand the business (different to the investment) of the fund. Who are the largest clients? how is the business being developed? what are the owners long term ambitions? This may help in deciding to stay or go.



Finally, if you do decide it is time to move on, speak to JoeC the HH. He gives good advice and anyone that jumps out of planes for fun clearly isn't a normal HH.



I hope that helps and good luck