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I'm wondering how funds decide what alphas to rent/subscribe to? My live Sharpe Ratio is decent (top ten last week, horray); I was wondering what other factors besides sharpe ratios funds are typically using to screen for alphas. (Products traded? Absolute gain? Execution method? Risk management method?) I was just hoping for a little more transparency as to how funds are allowed to screen alphas so I can better construct my alphas in a way which is attractive to funds!
Also, approximately how many alphas are currently being rented/subscribed to by funds?
I would like to upgrade to higher subscription tiers / the premium services on Quantconnect, but will not be able to justify this action until my alphas begin to produce revenues that I can swing back into QuantConnect.
Best wishes and thanks for the transparency,
Josh
Jared Broad
Hey Josh!
We are not disclosing specifics on licensing yet but there's been on the order of tens of thousands in revenue licensed. We are pioneering this concept and already starting to see some copy-cats so we would rather keep some things undisclosed for now. However, to answer your concerns this is exactly why we created competitions!
Funds won't publicly disclose what they're looking for - and we have NDA's prohibiting disclosing the specifics, but without guidance, the community can't make interesting strategies for them. We're working with each of the funds in the market place to get them to disclose just enough to make relevant algorithms for competitions. We also launched competitions to derisk this for you - so you can enter a competition knowing it will have a guaranteed prize pool in a fixed period. This has been sufficient to encourage the submission of 350+ strategies in the last competitions.
The common requirement of all funds is liquidity. Each fund defines that differently but trading on penny stocks or trading quickly on a low volume asset will not scale well. If a strategy can earn more than $5M it will likely be licensed and deployed, but to do that you might need to manage $100M or more. If you are trading 10 assets with $100M; trading each day; it is about $10M volume/day, which is more volume than the entire daily trading for some assets.
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
Josh M
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
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