Large Quant Fund Trading Frequency
I was just curious, how often do the large quant funds like two sigma trade? About how long is each position held?
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I personally do not work at 2Sigma and never worked but I assume it is no different than any other large HF. So, the majority of large funds trade at many different frequencies -- from HFT to medium and low frequencies. I would say there is some skew towards higher frequencies in terms of alpha.
they make thousands of trades a day...every day
They trade multiple frequencies. What's your goal with this question?
I am generaly curious and trying to learn
For their large systematic funds (e.g. 5bn+ AUM), they are probably trading fairly slowly. I'd guess turning over around 5-10% per day, which would equate to an average hold of 2-4 wks.
Yes they do have higher frequency strategies, but those don't make a Pnl dent in the large funds at these big quant shops. Most likely when people refer to thousands of trades a day, they mean breaking up larger orders into many smaller orders. The way that these smaller orders get traded may have some HFT element to it, but most likely just VWAPed over the day.
Ah I see. Do they ever participate in intra day/week investments, or just the actual executions of the trade?
For high-trading quant funds, they can make hundreds or even thousands of trades per day
Several days to a month or so. Some strategies allow for slightly longer holding periods. But most firms on that scale are medium frequency. Usually when people say they're doing HFT, they're refering to breaking up large orders and/or hedging activity, which can happen at subsecond levels (they adjust the convexity/risk of the portfolio with futures).
What's with the influx of high school juniors asking easily googleable questions on WSO nowadays? I guess the site has gotten TOO good with search engine optimization lol
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