Background
French, graduated in econometrics and finance sometimes in the previous century. Started as an economist for a public institution, then quantitative analyst for the market regulator (transaction data).
Then I worked as a quant for a fund of funds, doing performance measurement and fund selection. I switched later to being a systematic PM for a multi-asset multi-strategy fund in a bank, then with a boutique asset manager.
During all this, I published a dozen papers or so (in collaboration) in academic journals and I taught finance and statistics at university.
My experience is far from universal, but I welcome all questions on portfolio construction, optimization, factors, and the day to day of managing a systematic portfolio.
Based on the most helpful WSO content, this AMA provides a unique opportunity to dive into the expertise of a seasoned systematic portfolio manager (PM) with a strong background in econometrics, finance, and quantitative analysis. With experience spanning public institutions, market regulation, fund of funds, and multi-asset strategies, this professional is well-equipped to answer questions on:
Feel free to ask specific questions about these areas to gain actionable insights from their extensive career!
Sources: "Quantamental" firms?, https://www.wallstreetoasis.com/forum/asset-management/will-asset-management-industry-just-wither-away?customgpt=1, Reflections from year 4 as an equity analyst, Career in Passive Investment?
With so much data and noise, how do you decide what projects you embark on? Can you give an example on the types of projects you'd be working on and what your day to day looks like?
I am an incoming intern in fixed income asset management (not quant), so any advice/response would be appreciated :)
Most of the times, you will inherit of a fund or mandate with specific constraints and existing clients. A lot of the work is reactive - the client wants to change something or the sales think we can answer a RFP with a variant of our existing process.
Sometimes, you get to work on a project from scratch, because someone inside the firm has an idea, and sometimes, rarely, that someone is you. But it's mostly demand-driven; an institutional manager is not a research lab so work has to have a clearly defined economic purpose.
Day-to-day, apart from managing the portfolio, you get to work on performance explanation, clients' questions, RFPs, and so on. As an intern, expect to do the grunt work on those - it's not glamorous and you cannot do mistakes.
Examples of interesting projects I did that were not day-to-day routine: putting a new asset class in a multi-asset portfolio, building a dynamic drawdown control mechanism, providing a better performance explanation algorithm, building a long-short equity factor hedging a specific risk.
Would the grunt work be writing up reports - so key skills just excel and writing ?
It really depends on your skills and the portfolio style.
Writing, not so much, but putting raw data into tables and graphs, sure. Whether it's Excel and PowerPoint or any other tool varies, and sometimes there are ways to automate data handling.
Typically, you can be be asked to produce tables (performance, assets under management) and/or double check them. Make sure the dates, numbers etc. are right before it goes out to clients or prospects, pay attention to details.
Reconciling trades is usually the job of the portfolio manager, but they will often use an intern to help them with that - it's a thankless job.
If the PMs analyse fundamentals, then they can also ask you to extract and clean the data out of whatever database they have.
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