I have an interview with a hedge fund coming up. They are one of those quantitative places that tries to make money off of volatility arbitrage and stuff like that. However, these strategies require a firm understanding of macro trends, as this helps in their risk positioning.
My question for the forum: What are the recent investment and macro trends that you have observed, and what do you think are the best macro investment opportunities in the short and long term?
Thanks.
long value funds
short black box quant guys
Do you know what model they derive their prop model from? Some form of blacklitterman, some other CVAR model?
mcap: The question for me is which kind of fund is best for people who work in the fund, not necessarily which has the lowest cost for investors.
As far as I can tell, they don’t run any kind of asset allocation model. It’s more like they scan for mispricing in derivatives and other assets.
This sounds like a discretionary shop versus a systematic, right? Cuz if not then it doesnt really matter, its all about the quant model interpreting variables (signals) and positioning accordingly. If discretionary, then the big issues I would be armed with would be in big topics like rates, commods, and FX.
Rates: developed countries at super lows, recent dumping of EM debt, Japan as a whole
Commodities: things in the crapper, Gold is always a polarizing topic, oil/US energy production and future
FX: Yen is always a good one, how Europe has been quiet on this front lately, US monetary base, commodity currencies in an econ slowdown (ie-AUD)
Throw in some stuff regarding volatility now vs historic, whisper “curve steepener” a few times and you should be good to go for a first interview.
Do you own tire kicking, ask what’s their catalyst, do they have a lockup, what’s the fee structure, investor sourcing, risk management, and so forth.
For some general advice, I would talk first about what has happened the past three months or so in terms of risky assets (first PC). After talking about what has happened, I would talk about whether I expect those trends to continue or reverse over the next couple of months. I might then talk about some more specific information, e.g. between asset classes which have done better or within an asset class what has performed well (sectors/countries/etc). Again, after talking about what has done well or done poorly, I would talk about whether I expect that to continue or reverse and how it relates to the other ideas (e.g., how does your view on risky assets impact your view on different asset classes or groups within asset classes).
Thanks for the input. I will consider these suggestions.
Interesting story regarding this - I called up the boss and he says “sure, why don’t you come in this week”. Then he sends me an email with the time and includes a bunch of other people. Apparently, the boss never told them I talked to him, so some people reply all saying “who the F is this guy?”. On the bright side, this might be a good ice breaking topic…
You guys (Charterholders) most likely have more insight into L3 stuff, but I’d definitely look at bond yields. This is going to be a huge play (already has been for the fast movers) in the next 6-12 months.
Also, depending on how heavy they’re into quant, you may want to prep with C++/Java, probablity, and Matlab/R/SAAS programming teasers, ohai.
I just interviewed with a risk management/analytics team (not really hedge fund space), and those guys did go into such details. Good thing I had L2 material lingering in my head, otherwise I’d have definitely bombed the interview.
Who knows, if they’re easy going, you may get out with a long weekend conversational type interview.
So what happened?
Still in discussion and we will talk again later this month.
ohai, any insight into the kind of technical questions that were posed?