Accidental portfolio manager looking for options

Question

Would love experienced feedback on my situation..

I work at an investment research firm, independent. CEO pulls me aside a few years ago and asks me to create a systematic US equities strategy based on his factor research. Ok. I put together a security selection model, and let it run. First two years were mediocre, in line with market, but 2017 was a grand slam. We put up amazing numbers, and feels like we are just hitting our stride.

For a dozen reasons, I need to get out. But I would like to run a similar strategy with improved risk management at prop shop, fund, family office, etc.

guy_incognito · Accepted Answer

With a sharpe like 4+ and capacity  > 500M the only thing holding you back is the relatively short track record. If you had sharpe > 4 in multiple years (not just one great year and 2 mediocre years), and high capacity, you should be able to get a gig at any hedge fund/prop shop. Just get a headhunter.
The higher risk/reward move is to raise your own capital and trade it yourself. With those metrics and high capacity, this is not as daunting as it sounds. you can pm me if you would like more detail. I did exactly this 5 years ago.

traderlife · Answer

If I were evaluating this here’s my concerns.  Short track record but everyone starts with that.

Strategy has mostly only been used in a bull market (2015 was sort of a bear market).  I would want to hammer thru the performance on 2015 to see how the sharp ratio held up there.

2017 is interesting but it’s been a great bull market.  Any equity rotation strategy would crush.  A simple sell whats rallied and run to what’s lagging on a monthly time frame has done pretty well.  Plenty of chances to rotate being snp Dow small cap Nasdaq.  Etc

Factor investing also got more popular this year.

Caporegime · Answer

Re-tool the strategy on your own time (and with your own data) to be long-short and market neutral if you want a shot at running it at a fund or prop shop. Being long only in a raging bull market isn't going to be enough to turn heads as a start-up or standalone fund.

Alternatively you can pitch yourself to some large asset managers to work on a quant long-only product.

Do your homework on linkedin and get yourself in front of the decision makers at the companies you want to work with. Have a short pitch as well as your resume and see if they bite!

dazedmonk · Answer

Very impressive, but probably still hard to raise significant money with a non-official track (non-official b/c your NDA will prevent investors from being able to verify from the source).  I'd say best out right now is to find a platform that will give you capital and a payout.  If you can generate 2+ sharpe at scale the big platforms will literally give you as much capital as you want.  If the strategy can put up those #s with any kind of capacity over just a year or two you will then be very rich in short order

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Accidental portfolio manager looking for options

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Accidental portfolio manager looking for options

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