"Quantamental" firms?

I've heard the buzzword thrown about a bit to describe specific teams at some MM shops and P72 thinks they are quantamental but I'm skeptical the academy really has true "quant" involved. Do people know of firms that are embracing the combination of quant trading and fundamental research is a legitimate way?

 

this would be considered quantamental in the industry. Like I mentioned above, either you come from the quant side and basically still trying to automate everything and use the alternative datasets as a source of predictive features or you come from the fundamental side and the alternative data sets are used to provide new themes or variant perception on certain names.

 
Most Helpful

Even though the question is more around hedge funds in the US, I thought it might be beneficial to explain what is quant and fundamental in how I manage my portfolio, which is classed as "quantamental" product at my firm (long only).

It's quite a fluid term, different people define it in different ways. I came from the fundamental side, so my quant skills are not great to begin with. In my case, the quant part has nothing to do with quant trading, complex ML algos nor alternative data sets. In fact, the alternative data sets I only use to form/check some fundamental hypothesis on some names I hold (I consider that part of the fundamental area - and most people will).

So, the quant stuff. I use it in 2 places, screening/alpha testing and optimization/risk management. For screening, I pick fundamental metrics based on research and back testing and then assign alpha scores to stocks based on these metrics. This is how I create my investible universe. For risk management, as my portfolio is quite diversified, I use a quant optimizer to reduce any unwanted factor risks or exposures (or increase exposures I want to from fundamental research).

Most of the work in between screening and optimization is fundamental research. This is how I pick names, sectors, countries, and weights.

 

screening is very common. Many fundamental investors have written books on this so I wouldn't consider it quantamental.

second part, more and more fundamental groups have been using, though generally they outsource it to a quant consultancy. Interesting though that you do this at a long only. Generally, fundamental shops that are long only or SM have fairly concentrated portfolios and an optimizer doesn't usually give you much. Add to this the longer holding periods also means a lot of the risks you hedge out change their correlations etc its usually used for a stat arb portfolio.

Btw, have you seen an added benefit from the portfolio optimization?

 

Yeah, I agree on the screening front, both sides use it. But coming from the fundamental side, the complexity of the screening is higher on the quantamental portfolios (and you do more back testing, which I didn't really do on the fundamental side).

My portfolio is more diversified than a typical fundamental portfolio, so realistically I can't manually optimize for various exposures, hence the quant optimizer. I definitely see an added benefit in that I don't breach any tracking error limits or overweights, so that's more on the risk side. But managing my tracking error while keeping my alpha increases my information ratio, which is the key metric I'm evaluated on.

 

Unde aliquam et ipsa. Quam odio voluptatem dolore. Molestiae accusamus molestias sed. Recusandae sit dignissimos veritatis voluptatem quae consequatur autem. Sed fugit suscipit commodi iure quia.

Tempore explicabo corporis et officia maiores enim qui non. Iure veniam libero id cum quaerat sit est. Iste eum et nostrum vitae earum nesciunt sed.

Ut delectus laudantium dolor illum. Ut mollitia quis rem dignissimos ab rerum. Vero est et aut laborum saepe corrupti accusamus porro. Distinctio quo nihil voluptates. Esse quia in et enim voluptas enim dolore.

Aut et blanditiis cupiditate. Animi quos eaque voluptatem voluptatum. Eius ratione nihil vero commodi. Id dolorum error iusto harum minima. Soluta quae fugit sed optio atque ut.

 

Consequatur voluptatem a culpa eveniet ratione. Nobis rerum autem consectetur porro. Qui ab numquam modi est possimus. Nisi quae hic sint sapiente. Assumenda placeat enim cupiditate. Repudiandae qui iusto numquam sunt inventore tenetur ut.

Inventore hic ut et. Suscipit maxime nihil eum necessitatibus consectetur et est velit. Aut inventore exercitationem aspernatur rerum ullam vel iure. Officiis dolores doloremque sapiente quia et illum ipsa. Sed modi voluptatem vitae unde dolores.

Omnis dolorem incidunt quis aut perferendis fugiat. Vel fugit voluptas iure minima voluptate. Unde maiores non distinctio aperiam ex perferendis. Dolore aut doloribus mollitia. Quas consequatur blanditiis ut sint. Quidem temporibus rem sint eius iusto explicabo. Consequuntur architecto fugiat vero labore.

Career Advancement Opportunities

April 2024 Hedge Fund

  • Point72 98.9%
  • D.E. Shaw 97.9%
  • Citadel Investment Group 96.8%
  • Magnetar Capital 95.8%
  • AQR Capital Management 94.7%

Overall Employee Satisfaction

April 2024 Hedge Fund

  • Magnetar Capital 98.9%
  • D.E. Shaw 97.8%
  • Blackstone Group 96.8%
  • Two Sigma Investments 95.7%
  • Citadel Investment Group 94.6%

Professional Growth Opportunities

April 2024 Hedge Fund

  • AQR Capital Management 99.0%
  • Point72 97.9%
  • D.E. Shaw 96.9%
  • Magnetar Capital 95.8%
  • Citadel Investment Group 94.8%

Total Avg Compensation

April 2024 Hedge Fund

  • Portfolio Manager (9) $1,648
  • Vice President (23) $474
  • Director/MD (12) $423
  • NA (6) $322
  • 3rd+ Year Associate (24) $287
  • Manager (4) $282
  • Engineer/Quant (71) $274
  • 2nd Year Associate (30) $251
  • 1st Year Associate (73) $190
  • Analysts (225) $179
  • Intern/Summer Associate (22) $131
  • Junior Trader (5) $102
  • Intern/Summer Analyst (250) $85
notes
16 IB Interviews Notes

“... there’s no excuse to not take advantage of the resources out there available to you. Best value for your $ are the...”

Leaderboard

1
redever's picture
redever
99.2
2
Secyh62's picture
Secyh62
99.0
3
BankonBanking's picture
BankonBanking
99.0
4
Betsy Massar's picture
Betsy Massar
99.0
5
CompBanker's picture
CompBanker
98.9
6
kanon's picture
kanon
98.9
7
dosk17's picture
dosk17
98.9
8
GameTheory's picture
GameTheory
98.9
9
DrApeman's picture
DrApeman
98.8
10
Jamoldo's picture
Jamoldo
98.8
success
From 10 rejections to 1 dream investment banking internship

“... I believe it was the single biggest reason why I ended up with an offer...”