u/Richard-P-Feynman

It certainly does feel a bit like that

To be completely honest, I wouldn't be at all surprised if this particular strategy was copy and pasted from someone else. The reason I suspect this is twofold. 1: I have read research papers which describe the same tools being used, but applied to a different space. 2: The tools themselves are very general. This isn't the kind of strategy where there is some obvious economic motivating factor which explains why it works. (It's not something obvious like I can buy X for $1 and sell X for $1.05, or something where there's an economic theory which then if you look for a pattern in the data, looking in the place motivated by the theory, you will find it. What I mean to say here is rather than an economic effect motivating something, it's the reverse. You don't know what the economic effect is, so you use some standard tools to find it.)

Given that you're a PM in what I assume to be a multi-PM environment (ie not a small shop) it is likely you firm already have a version of what I describe here.

That doesn't make any sense. What distinguishes between a person who "can discover xyz" and a person who "cannot discover xyz"? Research by it's nature is uncertain. You do not hire somebody to "discover a Sharpe 5 strategy". You hire intelligent people, who have the prerequisite skills which are likely to bias their efforts towards success and then see what they come up with. You hope it will have a better Sharpe than say about 2, you can have some idea about where it might be worth looking or how to find something and assess whether it might actually work in production, but beyond that nothing can be certain ahead of time.

There are perhaps a handful of speculative reasons I could give as to why. I don't think it's beneficial to enumerate every possible plausible explanation. The most likely explanation is I joined in the very early days and at that time there were a small number of people, none of which were particularly capable technology wise. (Understatement of the century, but since then I have seen even worse teams.) That is why I built most of the tech for them. Fast forward several months and the team had grown considerably. Obviously there are constraints on team size, so if you are the tech person who did most of the heavy lifting to build the infra, naturally you are the least valuable when everyone else is doing alpha research. Why was I not moved over to alpha research, when I showed interest in it and clearly had the ability to do it? This is where we get into the unhelpful enumerating of possible reasons. Why change an existing person's role when you can simply hire someone external who already has experience? Everyone else in the firm was from Oxbridge, I was not. They only hired Oxbridge candidates (with the exception of myself). That's not an anomaly. There are plenty of capable people out there loitering around the quant finance space, most of them are not from Oxbridge. I would suggest this indicates something.

I can do as much "honest reflection" as you like, but your previous comments essentially amount to "I don't like you/don't believe you".

Fine - the point of posting this in the first place is to give an honest insight to what this industry is like for those on the outside who are asking, which isn't you.

Question for you - how would you go about interviewing as a candidate if you were in my position without revealing what the existing strategy is or what the future extensions of it are?

Your assumption is that I don't have any new ideas to add to what already exists. I can assure you this isn't the case. There are a number of ways in which this existing strategy could be developed.

The problem from my point of view is that, were I to get an interview (something which is already unlikely) if I go to the interview and tell the interviewer exactly what it is I want to do and exactly what the extensions are, then they actually don't need me anymore, and can probably do it themselves internally.

I have had a couple of QR interview processes which went exactly like this. Each round of interview, the interviewer would try and get some information from me about the trading strategies I had previously seen. To add context here, I was not applying for these roles on the basis that "I can implement this Sharpe 3 strat I know of for you", instead these were general applications for mid-level QR roles with firms no one has ever heard of. What I found was, in both processes, the firm would keep scheduling another round, and the next round the interviewer would want to know more detail than the previous round. Eventually I either told them everything I knew, and suddenly they were no longer hiring, or in the second case, I told them a limited amount and then drew a line where I thought I had said enough to make a convincing case that I did indeed know how the strategy worked without revealing all the details. Again, in that case, as soon as I stopped revealing more information the firm was no longer hiring.

I think one issue is the number of people who are applying for such roles is so vast it's very hard to get an initial interview. I will give you one example: I have seen several times job specs for new desks starting up looking to hire someone to do market data engineering. The job is typically "build a market data ingestion system" - which is a small part of what I did previously. This is essentially a trivial role. It's honestly not particularly difficult. You don't need someone exceptional to build this kind of thing. An mid-level engineer with some experience in data engineering is more than capable, and there are hundreds of CVs like that where people are looking to move on either for a small bump or just to do something different or have a more prestigious firm on their CV.

Unfortunately it's impossible to trade these products retail. You just can't get the data or execution

A quant startup is probably a very bad idea

I mean non-quant startups. Biotech, tech, defense, SAAS, AI, etc

I've heard point (3) in almost every single interview. The harsh reality is, and this was one of the main points which I wished to explain, you are useful until you are no longer useful. In this case, once I had built the tech required for the firm to start live trading, I essentially had no more use to the firm. Ok fine, somebody needs to "maintain it" - but you don't hire a single person just for that

It will certainly not remain Sharpe 3 if another firm were to start doing the same thing, that could be a contributing factor. If someone does the same thing, but better it could far exceed Sharpe 3

Imperial usually do well. It's a well liked school in finance. You'll be fine

Yes, I don't doubt it. I suspect it's worse than this because there are plenty of people who have built Sharpe 3 paper but have no idea how to actually execute. There's also massive amounts of fraud and people who cherry-pick or just outright fake their numbers. I've heard plenty of stories where someone goes to a fund, gets a desk for a few months and just fails to do anything.

There are data science jobs and plenty of research laboratories, even startups, which would be a better choice if you 1: actually want to use your skills, 2: want to avoid an extremely frustrating saturated industry where 20 people are fighting for 1 mediocre position, 3: will give you exposure to a space where you have a dramatically higher chance of finding some knowledge which you can exploit in a startup venture etc

All completely valid points. Someone would essentially be hiring me to do the same thing and take a gamble on me doing it better than everyone else in the space (which is just one fund as far as I know). My main point here is not that the specifics of this strategy could be re-implemented somewhere else (although they certainly could be) it's more a reflection on getting a lot of close exposure to interesting stuff and then that not being seen by the industry as anything worthwhile.

Essentially infinite advantage - going somewhere like Warwick is essentially the same as not going to University, in my experience (I have a similar background to you)

It matters to an absurd degree, down to the individual country level. Most relevant to the UK - if you're not from Cambridge and the guy hiring you is from Cambridge, you're probably not getting an offer. Same Oxford for Oxford. My experience has been people from Oxbridge don't consider any other university to have any legitimacy at all.

Yes, could well be a factor. As far as I know those guys are still trading and still making money. However, I do not have proof beyond they all appear to still be employed, at the same firm.

Thanks for the advice, I will have to ask these questions.

Ok thanks for the advice. Is this 409A thing available online?

It's a 1 time grant. Can you explain the $100M valuation issue and preference shares? I'm honestly not that familiar with this stuff.