Quant Investment Management

[AFY]

Have an MBA in quant finance from top tier New York school, taking CFA level 3 soon and currently very senior in a big 4 consulting firm. Really want to jump to investment management or a quantitative markets role. Have always been quanty (BSEE from a top school and C++ experience). Seems like everyone wants PhDs. Is it worth going back to school or is it possible to study up on C++, Probability, Stochastic Calc, Statistics, and Valuation and try to get a job?

With many years of technology, risk and management consulting what type of jobs could one shoot for? Possible to get a well-paying quant-job or would one be starting from scratch?

 

[Quant physician]

Quantitative Phd is far more relevant to Quant position than CFA or MBA.

Worthiness ! You are the only one who can answer that. Otherwise run a cost benefit analysis.

But wait, MBA in quant finance ?! Is there such thing ?! Few electives/classes in quantitative methods does not qualify a degree to be quant degree in my humble opinion.

 

[Varun Dubey]

Sounds like NYU Stern

 

[Quant physician]

Sounds like NYU Stern

Oh yes, I think they offer electives including financial engineering, but I am wondering if this qualify to say MBA in quantitative finance given the magnitude of exposure !??

 

[AFY]

Oh yes, I think they offer electives including financial engineering, but I am wondering if this qualify to say MBA in quantitative finance given the magnitude of exposure !??

Very fair questions. An MBA is not just quant focused but packs in a lot of finance/accounting/strategy with math finance courses. NYU has a strong program as do other quant programs in the area like Cornell. Here's what I got per quant exposure:
1) Stochastic Calculus - same course as PhDs and MFE - essentially a course on stochastic differential equations (SDEs). So, you start with building the stochastic calculus, proof if something is or isn't a random walk and end with Feynman-Kac. The course uses Oksendal's book on SDEs
2) Econometrics course (Same for PhDs and MFEs - lots of schools separate MS and Phd courses but this one is shared). This is all P measures stuff: Dimension reduction, copulas, simulation, risk management etc.
3) Measure theoretic probability
4) Derivatives pricing (use the Hull book)
5) Full course on regression and linear models (MS level, not Phd)
6) Time series analysis - AR, MA (and ARIMA), vol modeling (ARCH/GARCH), ( MS level, not PhD)
7) Fixed Income (MBA)
8) Equities valuation (MBA)
9) Other finance/accounting/marketing/strategy/risk management/markets courses

What I don't get is the numerical methods, CS stuff that MSFEs get but does that matter given that I have coding experience and a EE (computer engineering) undergrad. Also, clearly, a math PhD would have much more theoretical depth.

Going into the gate, would I get interviews or would they toss my resume since I don't have an MSFE or PhD. I'm strongly considering an MSFE but don't want yet another degree.

 

[Parallax]

You could pretty easily move to a quant-type role on the buy side with an asset management firm. The term "quant" on the buy-side can mean a lot of things, and often times it is an abused term (e.g., referring to someone who designs stock selection screens). Across asset managers there is a wide range of quant roles; from those that are more basic to those that the top hedge funds want.

 

[Parallax]

Let me rephrase the term "easily" to say that you are more than qualified for a quant-type role on the buy side. Networking is key to anything on the buy side, skills/degrees are often the second consideration.

 

[Parallax]

Quantitative investing represents an investing technique typically employed by the most sophisticated, technically advanced hedge funds. These firms employ fast computers to find predictable patterns within financial data. Some of the larger investment managers using quantitative investing include Renaissance Technologies' Medallion Fund, AQR Capital, Winton Capital Management, D. E. Shaw & Co.,Numeric Investors, Grantham, Mayo, Van Otterloo & Co. LLC (GMO), First Quadrant, Robeco.

Pretty inaccurate statement. Do you have any experience working with (not necessarily for) any of these managers? Based on that statement, I would assume not, but correct me if I'm wrong.

Excluding your Renaissance reference, none of those are "hedge funds". They are asset managers that may run certain strategies that are referred to as hedge funds. Nearly half of AQR's assets, for example, are in traditional equity portfolios (i.e., benchmark relative strategies). Moreover, very few of these strategies are reliant on "fast computers to find predictable patterns within financial data." Yes, they may use fast computers to find predictable patterns within financial data, but that is not the crux of their strategies. The point being, they use techniques from applied mathematics and computer science to implement investment strategies; that's about all you need to describe them. The time frames that these are implemented over are all across the board.

And GMO is nowhere near the other firms with regard to utilization of quantitative techniques.