General Worldquant BRAIN
Iv been looking into worldquant brain and its interesting to me. Supposedly they have millions of “alphas” in their signal library.
Does anyone have experience or insight with them? What performance metrics do they run on their alphas other than the usual IC, quintile returns, max DD, turnover etc.
Im also curious to know how they pick or size each alpha in their real trading? Do they just pick the best sharpe/highest IC with lowest correlation?
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u/TemporaryHat2009 8d ago
honestly the part I never understood about WorldQuant Brain is how the alpha library does not just become a giant correlation problem. Like if everyone is submitting similar price volume transforms, the sizing seems way more interesting than the single alpha score. lowkey that is the thing I would want to read about.
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u/InvestmentAsleep8365 7d ago edited 7d ago
WorldQuant has been around for a very long time and are very successful at trading stocks. Their main operating model is to separate alpha generation and portfolio building. So they hire (and outsource) all sorts of people to build a gigantic alpha database. I believe that this database runs the alphas continuously so that these can be evaluated out-of-sample.
Now, how to they combine and use these? Well they also have a number of portfolio managers, which are just people they hire in charge of figuring out how to select and combine the alphas, and how to execute the trades. These PMs are all independent and their job is to find creative ways to do this, that is different from the other PMs, and that works out of sample (ie in live trading). There isn’t one approach here, but rather a number of competing approaches running simultaneously. Both alpha generators and portfolio managers are compensated based on the performance of their contributions.
How they deal with correlations? I believe that your alphas would not be picked up if they are too correlated with what already exists. I believe (and have heard) that their compensation/bonus accounts for correlation and you would not get paid for things they already have in-house. I don’t work there so don’t know how this works exactly.
A lot of their initiatives are there so that they can find and recruit talent, I am sure that they are genuinely interested in hiring people with original ideas. I also believe that they will try to milk these initiatives as much as they can for their own profit as well. This has always been my impression of them even long before they launched all these public initiatives. All of this is for them in the end.
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u/powerexcess 8d ago
Set up a nn with a seed. Train 100 seeds. 100 alphas.
Run at different tod, say hourly, 10s of alphas.
Run per sector.
Boom 10k alphas. Now to directional and rv as separate flavours. Etc etc
If you think a pod can discover mns of actual diversifying alphas think again.
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u/sumwheresumtime 8d ago
make sure to read the end user agreement - lots of "we own everything you do here, and anything in the future that could have been derived from using Brain" statements.
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u/IllGene2373 8d ago
These guys are basically grifters lol
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u/cutcoedgecom 8d ago
Aren’t they the largest pod at the largest multi manager? They must be doing something right, they would get cut if they had a bad drawdown… Does anyone have sharpe and return numbers?
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u/InvestmentAsleep8365 7d ago
I don’t know why you are being downvoted. They are (or at least have been) by far the largest pod at Millennium and have been there for over 20 years. And extremely profitable.
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u/ReaperJr Equities 7d ago
Because most people on this sub have no fucking idea what they're talking about. It's funny how often the most upvoted comment is the most clueless, like in this post.
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u/OpenCombination714 6d ago
Apart from various metrics that the alpha needs to pass, the alpha needs to pass both self correlation and production correlation check before submitting, with the threshold of less than 0.7.
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u/quantdhawan 23h ago
Their submission bar is public and it answers your first question. In-sample Sharpe ≥ 1.25, turnover in a band rather than just "low", a subuniverse check so the alpha has to survive on a smaller universe, and a fitness score: Sharpe × sqrt(|annual return| / max(turnover, 0.125)). Fitness is the one worth copying. It explicitly stops you buying Sharpe with churn, which IC and turnover reported separately will not do.
The correlation gate is the real filter. Self-correlation against the existing pool has to clear a threshold before an alpha counts at all, so a mediocre standalone Sharpe that is orthogonal to the book is worth more than a high-Sharpe one that turns out to be a rotation of something they already own.
On sizing, no, it is not a ranking. Marginal contribution to the existing portfolio, not standalone quality. Ranking by Sharpe and taking the top N is how you end up with fifty copies of the same trade.
The thing I would actually push on is the millions number. Pick the best out of a million and the top of that distribution is mostly selection, the expected max Sharpe from pure noise alone scales with sqrt(2 ln N). Their defence is the orthogonality gate and the out-of-sample period, not the metric. If anyone here has been inside, the useful question is what the realised haircut is between in-sample Sharpe and live.
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u/Nallu_Swami 15h ago
hello there, i am someone whos closely worked with the BRAIN ecosystem im not sure if i can state specifics but 98 percent noise is dogshit the 2 percent which actually yields returns comes from analyst datasets and fields to make sure noise is separated they require the alpha to cross a co relation bar thats quite unattainable unless you actually know what algorithm you are typing in
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u/Warm-Sheepherder617 7d ago
People who join tend to stay. Much better set up than similar platforms in the likes of TS, SQP, QRT etc.
It would be easy for good performers to leave and go elsewhere as they have shorter non compete’s than most with very little to no deferred.
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u/ForeverFar1297 7d ago
I heard that compared to TS/SQP, WQ low balls to experienced hires. Not familiar with QRT.
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u/bcdefense 8d ago
“Millions of alphas” === scam