One Year Later
A year ago today, I stepped off a plane that departed from Narita airport in Tokyo and returned to the US after several months in Asia. I arrived in Washington D.C., where I picked up a transfer back to Pittsburgh to grab my things and say goodbye to the people and place I called my home for the previous four years. Then, my friend and I packed his car with my life's possessions (everything fit into two boxes!) and we drove off to New York City, where I'd begin my first foray into the "real world".
I grew up in the shadow of New York City and the financial industry. I was born in Danbury, Connecticut and raised in the neighboring town of Brookfield--a quiet and relatively barren place. It was always my goal to move to New York and work in the financial industry, which, in retrospect, sounds like an incredibly naive and silly thing to want. I suppose it was my sense of pride that drove me to it: I always wanted to be perceived as intelligent and I wanted money, and having grown up in pre-2008 Connecticut, quantitative finance seemed like the shortest path to those things. Now, I'm not so sure what I want, but I suppose that's also part of the journey of young adulthood.
After having worked at one of the largest quantitative money managers in the world, I've learned that quantitative finance is, as with technology, not nearly as interesting or complex as the recruiters or institutional salesmen would like you to believe. The reality is that most of what they do is well-studied and public knowledge--perhaps this is why so few hedge funds manage to consistently beat the market.
I used to worry that I would never be able to work on something as interesting or intellectually challenging as I was once able to while at Carnegie Mellon. However, I've since found that working on arbitrarily difficult proofs or learning the latest hot ML framework is significantly less interesting than understanding a client's problem and navigating the hurdles to solve it for them. Having an impact is significantly more interesting and satisfying than engaging in the sort of intellectual masturbation that I became accustomed to while completing my undergraduate degree. As I look towards the future of my career, opportunities for learning and work that matters to the business are most important to me.
I think this is why I found my work with onTREND so satisfying: I was able to identify what the needs of the firm were, determine how I could best service those needs, and finally deliver a product that entirely changed how the firm operates. When I first met Tim Burgess, the CIO of onTREND, the fund was running on a monolithic VB.net application written with about 30k lines of spaghetti code, functions that were sometimes over 1000 lines long, and bloated files without any tests. Additionally, there was no semblance of persistence or caching across user sessions (e.g., a user runs a 10-year backtest and none of the market or timing signals, or even the target positions on rebalances, are stored across backtests for that strategy). Due to this, iterating on research became an incredibly time-consuming process.
Tim needed a new research and trading platform, and I was uniquely positioned (given my experience working for AQR the previous summer) to build this for him. Within a year, we built a new platform that runs in a distributed Linux environment with support for long-short strategies and volatility targeting. Even more importantly, I left onTREND with detailed documents that outline the high-level architecture of the system, in addition to the mathematical and economic intuition behind the market signals and strategies that can be used as a guideline for their current R&D team. Tim's since seen 20% returns for the year of 2018. While I wish I'd be able to say that he's seeing those numbers solely because of my technology, we can't help but think that I played at least a small role in realizing the performance onTREND's seeing today.
While I've certainly learned a great deal during my year of being a full-timer at AQR, I can't help but feel as though I'm not having as much of an impact as I'd like. In truth, this is more a result of AQR being a massive operation with hundreds of employees in research and development alone than me not being afforded the right opportunities within the company. In fact, I've had the good fortune of working with managers who have encouraged me to work on projects that have wide-reaching effects on the firm.
Some days I think about buying a one-way ticket to South America or Southeast Asia and starting a company, other days I think about applying to PhD programs, and even more frequently I think about leaving for a smaller organization. Truthfully, though, I know that this is just a serious case of greener grass--I'm very fortunate to be where I am and to work with the people I work with.