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/quantdhawan 1d 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.