I'm a quantitative analyst with 5 YOE and I've had a few PM interviews at mid-size hedge funds and prop shops. The common objection in my experience this far has been on track record. There doesn't seem to be much public information on what funds are specifically looking for in terms of Sharpe, minimum AUM, drawdown, PnL, and track record length vs what the funds will provide for PnL split percentage, risk limits, and capital. More so, this all varies by strategy type, trading frequency, and asset class.
I'd like to hear from existing PM's and people who are involved in the PM screening process on what expectations are at the moment. I know this is a "chicken and the egg" type problem, someone always has to take the initial risk on an unproven researcher for them to start building a track record. If anyone could share insight on their path to getting their first book, that would also be very helpful. I'm particularly interested in currencies/equities macro and equities statarb.
The overwhelming majority of shops won't take you seriously unless you give a Sharpe of 1.5+ and I think 2y+.
Also, they want you to stay focused (at least initially) on whatever strategy and asset class you've been doing historically.
If your experience is in say equities statarb but you're going into interviews saying you want to do currency macro, you don't stand a chance.
I've done both in the past. I was previously at a top quant HF (along the lines of Citadel, DE Shaw, etc.) doing statarb research, now at another firm focused primarily on macro. Between the two I'd prefer statarb as I feel the performance ceiling is much higher for the same portfolio turnover vs macro.
for equities, 1.5-2 sharpe is definitetly not the expectation lol
Baly loves people who are 1 sharpe but can scale up to a huge book.
And then blow up
I would love to get in thier anthem PM development program but I've never seen any job listing for it on thier careers page.
Yeah. Everyone demands PM with minimum 1.5-2 Sharpe while I only see a handful of funds that achieves this. Millenium, which aggregates 350+ pods, is probably sharpe 2.x before fees. See the contradiction now?
Agree with you broadly but MLP is a Sharpe 4-5+ before fees. Their net Sharpe is close to 3 (maybe closer to 2 in the past couple of years)
Tier 2-3 funds like Baly are Sharpe 1 net of fees implying around a Sharpe 2 gross
For that performance (at least in statarb) I'd assume thier PM's are trading daily if not intraday. That sounds like a pretty high mark to hit for macro. For reference, most of the research I've come across in the macro space is generally Sharpe 1. Macrosynergy has a lot of interesting macro research with similar performance.
MLP was net sharpe 2 between 18-23. Before fee more realisticly less than 3.5. Their vol was low too making returns not stella, unlike citadel.
My point is to provoke some critical thinking as something does not add up here. Having pods at sharpe 1.5-2, and having 350 such pods will give an astronomous high sharpe (like sharpe 27-36) at fund level. So either most pods sharpe is not that high, or they are all running a bunch of crowded trades. Or both.
I think its like dating app heights. If most guys add two inches to their height, your perceived height is going to get two inches subtracted regardless of what you say...
LMAO yea. When everyone in the crowd stands on tiptoes, no one sees
I’m a headhunter for 2 multi strats and a Macro shop sourcing and placing PMs globally and across all asset classes. Sharpe can vary quite widely but my clients tend to speak to macro guys >1.4 and then equities is usually 1.6+. In the Quant space this is obviously less and is more a case-by-case basis. Funds may actually like the look of a lower SR strategy if it provides diversification for an existing pod.
AUM for a full PM seat is often a minimum of $100m-$200m pre-levered. 5 YOE is great, but no fund is going to hire you as a PM until you manage risk for 1-3 years. I think the route for you would be to take an Analyst role and begin managing a sleeve to prove your strategy and edge.
PnL is obviously a function of book size but you’d want to be making mid to high single digit % in the first year or two to create serious interest. Drawdown wise to stand out you’d want to be below 3% peak to trough. With a soft stop of 5% and hard stop of 7.5%, they want to be sure you won’t be testing the constraints.
So drawdown on the pre-levered amount is 3-5%? So you are placing full PMs at a 5mm drawdown soft stop?
Drawdown is based on levered capital/GMV so 5% off of say $400m GMV and your capital is likely to be reduced if you’re down 20 bucks.
I know this is tighter at places like BlueCrest where you’re probably going to be without a job if you’re down 3%.
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