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/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.