清华麻省之娇子漫谈量化研究员的日常

数学天才、计算机大牛们的标配职业选项之一,量化研究员(Quant)究竟研究些什么?海外深造的名校骄子职业道路究竟如何?
毕业于世界顶级大学麻省理工与清华,荣获美国《机构投资者》杂志的“新星奖”殊荣,在各类健身健美大赛中所向披靡,集智慧、绅士、健美、稳重于一身,来听王晟 (Sheng Wang) 漫谈量化研究员的日常!
He is a quant research analyst at a equity research firm.
他是股权研究公司的量化研究员
Sheng, welcome!
Sheng, 欢迎你!
Thank you, Yuji! Thanks for having me here! Hi, everyone!
谢谢Yuji!谢谢邀请我!大家好!
Sheng is here to share with us "what it's like to be a quant"
Sheng会在节目中与我们分享“量化研究员的工作是怎样的”
Tell us how many years you have worked in quant field?
告诉我们你在量化领域工作了多少年?
I've been working almost 6 years since I graduated
我毕业以来已 经工作了近六年了
That's a long time. Have you switched company?
那是很久了
你换过公司吗?
Yes I recently moved to a boutique research firm
是的,我最近转到了一个小型研究公司
and before I was working in a bank for exactly 5 years
在这之前 我在银行工作了5年
There are a few things interested me a lot
有几件事情让我很感兴趣
Because I can explore a lot of new things
因为我可以探索很多新事物
and it's kind of challenging
这很有挑战性
and also a lot of problem solving
还有很多问题解决
what we do is very similar as academic research
我们做的与学术研究非常相似
We explore new methodologies, explore new strategies
我们探索新的方法,探索新的策略
and we do back testing and we find out what strategy works well
我们会做测试来判断什么策略运作良好
and we publish research
然后发布研究论文
It's not doing the same job over and over again
这不是一次次地做同样的工作
It's basically doing different things every day
基本上每天都做不同的东西
It's like working in the academic field but you earn more money probably
这就像在学术领域工作,但你可能赚更多的钱?
Not really, but it feels good that I can find my research
that's being useful for investment
这倒不是,但能让我的研究对投资有用令我感觉很好
Basically we have a couple of long-term research projects
基本上我们有几个长期的研究项目
Those probably will be in a few months where we publish a research as a final product
那些可能会花上几个月时间来发表研究
In the meantime we also do a lot of client
requests and consulting work
同时我们也回应客户需求与咨询
So every day when I go to the office, I check my email
所以我每天去上班会先查邮件
Sometimes a lot of clients will ask us questions in terms
of our past research
有时很多客户会对我们过去的研究提问
or some ideas clients thought of and they don't have the data or the capability of testing it
客户有新想法但没有数据或能力测试时,也会寻求我们
So they will ask us to help them to test certain hypotheses and certain strategies
所以他们会要求我们帮助他们测试某些假设和策略
We do the back testing and tell them
if that works or what our suggestions are
我们会做测试告诉客户我们的建议
Some of them are more time-sensitive so we will prioritize these first
其中一些比较紧急,所以我们必须优先处理
but while we are done with the most of
the time sensitive projects
当我们完成大部分紧急项目后
then we will focus on our long-term things
我们可以转而集中精力在长期事务上
These are a couple weeks or months that we plan it out
这些我们会有几个星期或几个月的计划
then we do the research and finish with a research report
然后我们进行研究并完成报告
Is it fair to say there is a client-facing or even sales component in your job?
你的工作是不是应该有面对客户或是销售的环节?
Yes, basically my boss were marketing almost half of the time seeing clients
是的, 我的老板几乎一半的时间是花在客户营销上
Even for me I've been to Asia, go to
Chicago and some other cities to do marketing
我也经常去亚洲,芝加哥等城市出差
That's interesting. Who are usually your clients?
有意思, 你的客户一般是谁?
They are mostly hedge fund, mutual fund,
pension fund
他们大都是对冲基金,共同基金,养老基金
Basically all the buy side quant firms
基本上所有的买方量化公司
Now we are even targeting more of fundamental guys
现在我们还瞄准更多的基本分析公司
Are those also who read your published articles?
他们也会读你的研究报告吗?
Yes, some of them
是的,有些会
Actually one of my friends just sent me (message)
我的一个朋友最近发我消息
She was working in a hedge fund and she said that she was reading my research
她在对冲基金工作,会看我的研究
Oh that's right! Oh everybody I forgot to tell you how awesome Sheng is
哦,对了!我忘了告诉大家Sheng有多了不起!
He was actually awarded...
他有被授予专业奖
Is it called "Rising Star"?
是叫“投资新星“吗?
Yes, that was last year
是的,去年授予的
It was a rising star from Institutional Investor
是《机构投资者》杂志的”新星奖“
It's a magazine where the buy side voted sell side analyst
这本杂志会请买方为卖方机构分析员投票
That's so fantastic! Congratulations!
这真是太棒了!恭喜你!
Let's dial back into your day to day
让我们回来继续聊你的日常工作
If you have to divide your day into hours
如果请你把一天的时间分成小时
How much percent of your time is invested in client relationships
你有多少是投入客户关系?
and how much time is invested in doing the actual research
有多少是投入实际研究?
I think maybe 30% of my time are client facing directly
我想也许30%的时间是应对客户的
maybe 50% of my time are doing research
50%的时间是做研究
and then 20% of my time are doing some other works like helping others
剩下20%的时间做一些其他工作,如帮助别人
You mentioned you've worked at a bank and now you're at a research firm
你提到曾在银行工作,现在研究公司
and I also understand that there are quant analysts in hedge fund or other type of companies
我也了解其他很多公司,如对冲基金,也有量化分析员
In terms of the work I do right now
vs. the things that I do at a bank
拿我现在的工作和银行的相比
They are kind of similar because we are all sell-side research
他们是类似的,因为我们都是卖方研究
We publish research and serve buy-side clients
我们发布研究并为买方客户服务
In terms of difference, in a bank there are a little bit more politics
在差异方面,银行有一些政治
so that sometimes I have to not just focus on my research
所以有时候我不能只专注于我的研究
Same as all the functions in the bank I guess
我猜银行的所有部门都是这样的?
Yeah I guess so
我猜也是吧
But in the boutique, we get a
lot more flexibility
但是在小公司,我们更灵活
For example, our infrastructure
比如我们的基层设施
We can use Amazon Cloud to build our infrastructure
我们可以使用Amazon Cloud建立我们的基层设施
while at a bank it's very difficult when we want to increase our...
但在银行就很困难
let's say, the computing power, the storage we had
比方说,我们想提高计算能力、存储空间
It takes typically six months or one year
通常需要6个月或1年的时间
For the bank to approve certain kind of expansion
让银行通过某种扩张
In terms of the buy-side places, some of them they also do research trying to find new signals
就买方而言,他们有些也在研究尝试寻找新的信号
but I guess they got more specific in certain areas
但我想他们更专攻与某个领域
where for us, because our clients are interested in all kinds of different areas
对于我们来说,因为我们的客户对各种不同的领域感兴趣
so our research will cover many different topics and we got more flexibility as sell-side research
我们的研究涵盖许多不同的话题,我们作为卖方研究有更大的灵活性
You've touched on the goods and bads working for different companies as a quant analyst
你已经聊了各种公司量化研究工作的好坏
The good thing is that we are not that sensitive to the market to some extent
好处是我们在某种程度上对市场不敏感
because we are like a long short market-neutral for most of our strategies
因为我们大部分策略都是买卖市场中立
and it's completely data-driven rather than fundamental research
而且它完全基于数据而不是基础研究
where they have a lot of human view and discretionary things in it
基础研究有很多人为斟酌的方面
I see. What are the bad things about being a quant analyst?
我懂了, 那不好的地方是什么?
For example, some of your methodology you think it should work but it's not always working
例如你认为某些方法应该可以成功,但并不总是奏效
If it's not working, then a couple of weeks of time may not be spent worthwhile
如果不成功,那么几个星期的时间可能就浪费了
For us in the sell-side we can continue to be a sell-side research analyst, be the lead analyst of the team
在卖方,我们可以继续发展,争取成为团队领导分析师
or we could do buy-side
或者我们可以转到买方
In buy-side, usually portfolio managers are coming from the research analyst
在买方,通常投资经理曾是分析师
because the things they do are almost exactly the same
因为他们做的事情几乎完全一样
You've been working in this field for six years
你已经在这个领域工作了六年
and I'm guessing you have gone through tons of interviews
我猜你已经经历了大量的面试
or even interviewed candidates for yourself
甚至自己面试了很多人
Analytics skill is definitely very important
分析能力绝对非常重要
like programming, statistics
还有比如编程、统计
and also communication skills because you have to talk to your clients
以及沟通技巧,因为你必须与客户交谈
and some of writing skills as well because when you write research (you need it)
还有一些写作技巧,因为你写研究时(需要)
Our product is research paper
我们的产品是研究论文
There are some soft skills. You have to be very organized
还有一些软性技能 你必须非常有条理
Because in our business you need to plan things out
因为在我们的业务中你需要做计划
For example, I plan to publish a research in two months
例如,我打算在两个月内发表研究报告
so usually I have to plan things out so I don't need to stay overnight
我必须按计划出进度,这样我就不用加班
I can do things at a time and finish the final thing at my deadline
我可以分段行事,最后按时交工
so being organized is also very important
因此有条理很重要
It varies. Usually the first one we will just go through the resumes and ask a couple of questions
不全一样 通常我们会先正对简历提问
Especially for the junior ones if they don't have much related working experience
特别是对于较年轻、没有很多相关工作经验的人
I would sometimes ask a couple of brainteasers based on their background
我有时会根据他们的背景问一些”脑筋急转弯“
Like how many ping pong balls you can fill in a studio room?
比如一个房间能装多少乒乓球吗?
It varies. For computer science student, I will ask more algorithm type of questions
不全是吧 对计算机专业的学生 我会问一些算法
Whereas for like math or finance,
对于数学专业的
I will ask less-related to algorithm but more about statistics and other problems
我会少问算法 多问统计方面的问题
After the first round, usually we bring them on-site to do some presentation
第一轮后,通常我们请他们到现场做演示
We choose a paper, a recent academic paper
我们会选一篇最近的学术论文
send it to them and ask them to read a paper in certain amount of time
发给他们,要求他们在一定时间内阅读论文
and then after that we ask them to present that paper
之后,我们请他们演示这篇论文。
Ah that's hard!
啊 这好难啊
We don't want (need) candidate to fully prepare it
我们不要求应聘者完全准备好
We want to see their true ability (skill-set)
我们只是想测试他们的实力
I think that's a good test
我认为这是一个很好的考验
because you mentioned when they actually get the job that's what they are going to do in their day-to-day
因为你提到这正是他们日后正式工作后要面临的
Let's do a little fun game. Let's do a
rapid fire of the memes around us about quant
我们来玩个有趣的游戏 聊聊大家对量化研究员的”传言“
and you tell me if it's true or not
你可以告诉我是否是真的
Not necessarily. It depends.
这不一定 要看情况
Buy-side places - if some hedge fund is doing very well
在买方 如果一些对冲基金表现好
they could have a much bigger portion of bonus compared to their base
他们可以获得比基础工资多得多的奖金
It depends on their year
这取决于他们这一年的绩效
If they're losing money they could have zero bonus
如果他们亏钱了 那就一点儿奖金都没有
If they are doing well, they could get multiple times of bonus
如果他们赚钱,他们可以得到好几倍的奖金
Okay, high risk, high return
懂了,高风险,高收益
What about the sell-side?
那卖方如何?
For sell-side, it depends on seniority
对于卖方,这取决于资历
I think junior person will have a less percentage (bonus) of their base
资历年轻的人会有较小的奖金
as they get senior, they will get higher
资历越老,奖金份额会变高
In terms of base, sell-side might have slightly higher than buy-side
就基础工资而言,卖方会比买方高一些
Yeah, to some extent
在某种程度上是的
It's easier to learn finance but it's more difficult to learn programming and other analytic skills
学习金融比学习编程和其他分析技能容易
For programmers, if they want to become a quant
对于程序员,如果他们想成为量化研究员
probably just need a year or two to get used to (finance) work
大概只需要一两年熟悉金融工作
Do they need to study CFA and get certificates?
他们需要学习CFA并获得证书吗?
Not necessarily. For some quant firms, they don't even need any finance background
并不一定 对于一些量化公司,他们不需要任何金融背景
For example, high-frequency trading. All they need to do is programming
例如高频交易 他们所需要做的就是编程
There are some genius doing quant
but I don't think most of them are genius
有一些天才做量化但我认为大多数人都不算天才
I think to be a good quant, you just need to be organized
我认为要成为一名优秀的量化研究员 你只要有条理
and be very specific in terms of what you want to do
然后对自己想做什么很清楚
and then work hard and then you can be successful
接着努力工作 你就能成功
So you don't have to be like Olympic Contest #1
所以你不需要是奥林匹克数学竞赛冠军?
Not necessarily, although there are a lot of Olympic gold medals in quant area
不一定需要 虽然的确有很多奥林匹克金牌在这个领域
They love watching Big Bang Theory and playing Robots
他们喜欢看《生活大爆炸》和玩机器人
Generally speaking, quants are geeky
般来说,量化研究员是有点”奇客“
We have the similar topics with our clients
我们与客户有类似的话题
What are the topics? Is it all about robots and big bang theory?
什么话题?是关于机器人和《生活大爆炸》吗?
Not necessarily, but at least we don't go out drink that much
不一定吧 但是至少我们不总出去喝酒
We don't watch baseball that much
也不去看棒球比赛
So what do you guys do together?
那你们在一起干什么?
I think we just meet...
Program?
我想是。。。
编程吗?
We just meet and talk about our research and chat about regular stuff
我们就是见面聊聊研究和一些琐事
I think the quant's lifestyle is much healthier
我认为量化研究员的生活方式挺健康的
To clarify, actually Sheng and I have been friends for a long time
作为澄清 Sheng和我是老朋友了
Although he's an excellent quant analyst,
he's not geeky at all
虽然他是很优秀的量化研究员 他可一点儿也不”奇客“
If you haven't noticed - He is actually a body builder
如果你还没注意到 他实际是一个健身达人
He goes to gym a lot
他一直去健身
and he actually has a lot of students...
who follow you?
而且还有一群”徒弟“跟着他
Well I have a lot of friends in the gym
我在健身房是有一群朋友
Learn how to body build?
向你学习健身?
Yeah I think I have influenced a couple of people in doing some wight training and exercise
我想我可能就是影响了一些人来做举重训练
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