Data Trends for Investment Professionals

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What gives a trader an edge? An interview with trader, analyst, and portfolio manager Adam Grimes

Recently, Adam Grimes and Quandl co-founder Abraham Thomas sat down to talk trader-to-trader about how the market has changed over the past two decades, from Adam’s days at the NYMEX and the CME to his current role as Chief Investment Officer at Waverly Advisors. Adam Grimes has two decades of experience as a trader, analyst, and portfolio manager. Though he refers to himself as a critic of traditional technical analysis, he has literally written the book on it (The Art and Science of Technical Analysis, Wiley, 2012). AT: Let’s begin at the beginning. How did you get started trading? AG:...

Alternative Data – The Developing Trend in Financial Data

As quants, we’re all aware that every model has a shelf life. Sooner or later, the ideas and techniques behind every “proprietary” analytical technique diffuse into the broader world, at which point that technique is no longer the source of a competitive edge or alpha. What’s less well appreciated is that a similar pattern applies to the world of data. Rare, unique and proprietary data eventually diffuses and becomes commonplace, easily available, edgeless data. The best analysts constantly reinvent their models and source new data products to avoid their inevitable obsolescence. Today, they're venturing into the world of alternative data as a...

The Tao of Alpha

In 2004 I was running a hedge fund consultancy, where I advised many of the world's leading hedge funds. With this perspective, I wrote an article called The Tao of Alpha. The article offers a unique viewpoint on how alpha was then used and understood. We have transcribed the original article below. The Global Alpha Shortage Even the least sophisticated of investors understand that alpha is something to be pursued. Alpha is good. And more alpha is better. Not surprisingly then, most marketing documents are laced with the word. It slips easily off the tongue of marketers and managers. It appears in conference titles, as in “Portable...

A Quant’s Approach to Building Trading Strategies: Part Three

This is the third part of our interview with a senior quantitative portfolio manager at a large hedge fund. In the first part, she discussed the theoretical phase of creating a quantitative trading strategy. In the second part, she described the transition into “production.” This interview received so many excellent questions that we've dedicated an entire post to the answers. You can read the first part of the interview here and the second part of the interview here. Readers' questions have been lightly edited for clarity. 1. How do you monitor and manage your model once live? What additional checks and procedures...

A Quant’s Approach to Building Trading Strategies: Part Two

This is the second part of our interview with a senior quantitative portfolio manager at a large hedge fund. In the first part, we covered the theoretical phase of creating a quantitative trading strategy. In this part, we cover the transition into "production." We've also published a third part with answers to readers' questions. (more…)

A Quant’s Approach to Building Trading Strategies: Part One

Recently, Quandl interviewed a senior quantitative portfolio manager at a large hedge fund. We spoke about how she builds trading strategies--how she transitions from an abstract representation of the market to something concrete with genuine predictive powers. Can you tell us how you design new trading strategies? It all starts with a hypothesis. I conjecture that there ought to be a relationship between two instruments, or maybe there’s a new instrument in the market that’s gaining popularity, or maybe there’s an unusual macroeconomic factor I’ve discovered that drives micro pricing behavior. So I write down an equation – a model,...

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