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eric16


Total Posts: 5
Joined: Jul 2019
 
Posted: 2019-08-20 15:38
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


Total Posts: 28
Joined: Feb 2018
 
Posted: 2019-08-22 09:47
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


Total Posts: 5
Joined: Jul 2019
 
Posted: 2019-08-22 11:49
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


Total Posts: 9
Joined: Jun 2019
 
Posted: 2019-08-22 11:51
What area of finance isnt shrinking? lol

Zoho


Total Posts: 28
Joined: Feb 2018
 
Posted: 2019-08-22 12:18
@eric16
Who knows what volatility is going to be in 10 years...

sharpe_machine


Total Posts: 25
Joined: Feb 2018
 
Posted: 2019-08-22 12:24
> 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


Total Posts: 28
Joined: Feb 2018
 
Posted: 2019-08-22 13:17
@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


Total Posts: 382
Joined: Jan 2015
 
Posted: 2019-08-22 15:38
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.

Good questions outrank easy answers. -Paul Samuelson

Jurassic


Total Posts: 255
Joined: Mar 2018
 
Posted: 2019-08-22 15:52
@zoho what is a worldquant alpha?

Zoho


Total Posts: 28
Joined: Feb 2018
 
Posted: 2019-08-22 16:20
@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

eric16


Total Posts: 5
Joined: Jul 2019
 
Posted: 2019-08-23 14:08
thanks for your comment. The market irrationality sounds very interesting to me. The value/quality staff works pretty well in the mid of this bull market, not very well in recent years. There are two cases for poor performance: crowded position and market condition as you mentioned bull market. My observation is that before 2015, the market neutral strategy works well even in bull market. The recent poor performance is due to crowded position( maybe market condition as well. I don’t see the reason to convince myself. You may have better reasons ). The long and short are still doing well( they are market neutral too )
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