Forums  > Careers  > CV/interview advice: whether to mention the track record in PA and how?  
     
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chika


Total Posts: 9
Joined: Aug 2004
 
Posted: 2017-02-11 11:02
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Maggette


Total Posts: 928
Joined: Jun 2007
 
Posted: 2017-02-11 12:32
IMHO it doesn't hurt as long as you make sure to communicate that you don't value that experience too high yourself and sell it as it is: a way to get your feet wet that probably won' t help too much in your new position.
If you manage to not be perceived as crackpot that considers himself the next superstar I think it is a plus that you try to educate yourself with hands on stuff an even put your money at risk.

I am not in the industry any more though, but if I have interviews in my current position to hire young data scientists and developers I look at the stuff they did on GIThub, open source projects and kaggle like competitions. To me it is important.

Ich kam hierher und sah dich und deine Leute lächeln, und sagte mir: Maggette, scheiss auf den small talk, lass lieber deine Fäuste sprechen...

NIP247


Total Posts: 539
Joined: Feb 2005
 
Posted: 2017-02-11 17:15
Goes without saying that derivatives trades were allowed in your department and cleared by compliance. My former house did not allow p.a. trades in derivatives...

On your straddle, done on the puts, working the calls...

radikal


Total Posts: 253
Joined: Dec 2012
 
Posted: 2017-02-11 18:48
Yes, but be prepared to answer questions about it.

Sharpe, drawdowns, greek levels etc. It's a good chance for you to demonstrate that you know how to think about edge vs risk.

There are no surprising facts, only models that are surprised by facts

chiral3
Founding Member

Total Posts: 4975
Joined: Mar 2004
 
Posted: 2017-02-11 22:42
I don't know how you guys do it. My compliance questionnaire is longer than a mortgage application. There are securities that require pre-clearance that I have to go to BBG to look up because I've never heard of them. Between taxes and oversight it's become barely worth it.

Maggette gives some really good advice.

Nonius is Satoshi Nakamoto. 物の哀れ

goldorak


Total Posts: 979
Joined: Nov 2004
 
Posted: 2017-02-12 06:00
> Sharpe, drawdowns, greek levels etc

If these are the first questions you get about it, then may be you should not consider a position with them.

They may pay extremely well though...


If you are not living on the edge you are taking up too much space.

chika


Total Posts: 9
Joined: Aug 2004
 
Posted: 2017-02-12 09:35
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Patrik
Founding Member

Total Posts: 1329
Joined: Mar 2004
 
Posted: 2017-02-14 17:03
> so I moved capital to my wife account and continued trading from there

Ouch.. I can tell you aren't trying to sidestep the holding rules etc here, but you do have a compliance problem either way.. Depends on firm you speak to obviously, and who you are speaking to, but at least some will probably have more trouble with the "trading in my wife's name to get around annoying rules" than they would have a positive impression from the results. So you have a tricky decision to make of how you try to deal with that.

Capital Structure Demolition LLC Radiation

chika


Total Posts: 9
Joined: Aug 2004
 
Posted: 2017-02-14 21:33
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Patrik
Founding Member

Total Posts: 1329
Joined: Mar 2004
 
Posted: 2017-02-15 00:36
Understood. I'm just pointing out the potential problem you could face bringing up PA track record, adds a different dimension than what the original question was about.

Capital Structure Demolition LLC Radiation

peter.russell


Total Posts: 10
Joined: Dec 2016
 
Posted: 2017-02-15 09:17
Out of curiosity, is your rebalancing mechanics done automatically? or does it still rely on some level of discretionary decisions?

chika


Total Posts: 9
Joined: Aug 2004
 
Posted: 2017-02-16 22:36
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EspressoLover


Total Posts: 205
Joined: Jan 2015
 
Posted: 2017-02-17 04:43
Why not lever it up more? At 20% return/20% vol, you're way under-Kelly sized. Since you've been running it successfully for 4 years, it's not like you're worried about implementation falling short of backtests. It's also your P/A, so it's not like you have to please dipshit institutional money which fetishizes 10% vol targets.

Consider, if you scale up to 40/40 and keep similar performance, it's very unlikely you'll underperform 20/20 after ten years of (monthly/daily) compounding. And most likely you'll have multiples more ending capital.

NeroTulip


Total Posts: 991
Joined: May 2004
 
Posted: 2017-02-17 09:04
Well, full Kelly would be 100% vol... Three reasons why you should *not* do this:

- Half Kelly gives you 3/4 of the returns with 1/2 the vol, which is easier to trade from an emotional p.o.v.

- Blowup risk. People tend to think that Kelly cannot go broke. This is true with discrete distributions, but not with continuous ones. As Kelly maximizes the *expected* growth rate, not all paths avoid the absorbing barrier.

- "If you scale up [] and keep similar performance"... is a big if. Edge erosion, capacity constraints, changes in market conditions, etc... Better be conservative in estimating your forward Sharpe.

HTH

"Earth: some bacteria and basic life forms, no sign of intelligent life" (Message from a type III civilization probe sent to the solar system circa 2016)

goldorak


Total Posts: 979
Joined: Nov 2004
 
Posted: 2017-02-17 13:29
> it's not like you have to please dipshit institutional money which fetishizes 10% vol targets Applause




If you are not living on the edge you are taking up too much space.

EspressoLover


Total Posts: 205
Joined: Jan 2015
 
Posted: 2017-02-17 19:35
@NeroTulip

I agree with most of your points. We're pretty much on the same page. I think I gave the wrong impression by saying "way under-Kelly sized". It wasn't to advocate full Kelly sizing, just saying that I thought 0.2 (estimated) Kelly fraction seemed too low for OP. For all the reasons you list picking the right Kelly fraction is more art than science.

I suggested 0.4 as a fraction, which I think is justified given OP's situation. He has actual realized live data for four years, which gives a relatively tight standard error of 0.5 on the Sharpe estimate. It's also fairly long enough to reasonably expect this alpha not to disappear overnight. I would hope and presume he also has much longer backtests, and performance is in-line with live trading. Finally carry/trend/vol aren't some weird black-box strategies. They're very well known and studied, and documented to have worked for decades in nearly every single market.

> Blowup risk. People tend to think that Kelly cannot go broke. This is true with discrete distributions, but not with continuous ones. As Kelly maximizes the *expected* growth rate, not all paths avoid the absorbing barrier.

Continuous Kelly assumes continuous re-balancing, so the further away you're from this assumption the less appropriate it becomes. If you're trading illiquid stuff (or illiquid relative to your portfolio size) then it's definitely possible to become stuck in an over-leveraged position after a sharp decline.

However I really don't think this applies to OP at all. It sounds like he's trading major liquid instruments on a retail account. Daily re-balancing pretty much makes it impossible to go broke even at full Kelly size. He'd have to hit a one-day 100% decline to become insolvent. At 40% annualized vol, that's 2.5% daily vol. The insolvency scenario would require a 40-sigma downside move. Even with just monthly re-balancing, you'd still have to pull an 8.5 sigma drawdown. Maybe that's feasible in some esoteric quant-factor, but I think it's extremely unlikely in trend/carry/vol.

chika


Total Posts: 9
Joined: Aug 2004
 
Posted: 2017-02-18 01:33
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