h*******7
发帖数: 1481 | 1 招Trader的Bank和Hedge Fund，一般要求Live Trading 的PL，Sharp Ratio 达到什么
Level？
1。Discretionary Trading 和 Model-Driven Trading Strategy，分别要求怎么样？
2。Equity， Commodity， Fixed Income， FX，分别要求怎么样？
3。一般Trader 可以拿多少Profit的提成？
我这里指的是有Base Salary （10几万美元）的Trader，不是那种Trading Company里
的Trader。 |
m********0
发帖数: 2717 | 2 prop trading firm里面的trader怎么不好了？
【在 h*******7 的大作中提到】
: 招Trader的Bank和Hedge Fund，一般要求Live Trading 的PL，Sharp Ratio 达到什么
: Level？
: 1。Discretionary Trading 和 Model-Driven Trading Strategy，分别要求怎么样？
: 2。Equity， Commodity， Fixed Income， FX，分别要求怎么样？
: 3。一般Trader 可以拿多少Profit的提成？
: 我这里指的是有Base Salary （10几万美元）的Trader，不是那种Trading Company里
: 的Trader。
|
f****s
发帖数: 315 | 3
5-15%, I think.
【在 h*******7 的大作中提到】
: 招Trader的Bank和Hedge Fund，一般要求Live Trading 的PL，Sharp Ratio 达到什么
: Level？
: 1。Discretionary Trading 和 Model-Driven Trading Strategy，分别要求怎么样？
: 2。Equity， Commodity， Fixed Income， FX，分别要求怎么样？
: 3。一般Trader 可以拿多少Profit的提成？
: 我这里指的是有Base Salary （10几万美元）的Trader，不是那种Trading Company里
: 的Trader。
|
t********a
发帖数: 810 | 4
提成公司和公司不一样. 如果sharpe一般 (1~3), 应该在5%左右. high frequency的
sharpe比较高, 应该相应高一些.
【在 h*******7 的大作中提到】
: 招Trader的Bank和Hedge Fund，一般要求Live Trading 的PL，Sharp Ratio 达到什么
: Level？
: 1。Discretionary Trading 和 Model-Driven Trading Strategy，分别要求怎么样？
: 2。Equity， Commodity， Fixed Income， FX，分别要求怎么样？
: 3。一般Trader 可以拿多少Profit的提成？
: 我这里指的是有Base Salary （10几万美元）的Trader，不是那种Trading Company里
: 的Trader。
|
m********0
发帖数: 2717 | 5 Really? I think the sr for hft could be less.
Hft does not require good sr
【在 t********a 的大作中提到】
:
: 提成公司和公司不一样. 如果sharpe一般 (1~3), 应该在5%左右. high frequency的
: sharpe比较高, 应该相应高一些.
|
h*******7
发帖数: 1481 | 6 Risk / Reward ratio 可能比不上Bank 和Hedge Fund 吧？
【在 m********0 的大作中提到】
: prop trading firm里面的trader怎么不好了？
|
h*******7
发帖数: 1481 | 7 我们这儿Discrentionary 的Trader 比较多，Sharpe Ratio要达到1-3 还不太容易。
是不是High Frenquency Trading 一般Book 比较大？For Discrentionary Trader，
好像10 Million 的Annual Target 比较算起步Size。
【在 t********a 的大作中提到】
:
: 提成公司和公司不一样. 如果sharpe一般 (1~3), 应该在5%左右. high frequency的
: sharpe比较高, 应该相应高一些.
|
m********0
发帖数: 2717 | 8 discretionary trader还有这么多啊。。。
【在 h*******7 的大作中提到】
: 我们这儿Discrentionary 的Trader 比较多，Sharpe Ratio要达到1-3 还不太容易。
: 是不是High Frenquency Trading 一般Book 比较大？For Discrentionary Trader，
: 好像10 Million 的Annual Target 比较算起步Size。
|
G*****3
发帖数: 71 | 9 Prop trading company pays good base salary (around 100k USD) as well, even
for junior guys.
Sharpe ratio requirement depends on what strategy and business you are in.
Intra day, hft and prop trading company normally need high sharpe like 4+.
Hedge fund employs strategy with sharpe like around 2 if the capacity is big
. For example, there is a discretionary guy in my previous company has a
sharpe of 10, but his pnl is 1.5 million a year at most. There are also guys
I met works on CTA style trent |
m********0
发帖数: 2717 | 10 mark.
same as I heard and read.
big
guys
【在 G*****3 的大作中提到】
: Prop trading company pays good base salary (around 100k USD) as well, even
: for junior guys.
: Sharpe ratio requirement depends on what strategy and business you are in.
: Intra day, hft and prop trading company normally need high sharpe like 4+.
: Hedge fund employs strategy with sharpe like around 2 if the capacity is big
: . For example, there is a discretionary guy in my previous company has a
: sharpe of 10, but his pnl is 1.5 million a year at most. There are also guys
: I met works on CTA style trent
|
|
|
r*g
发帖数: 3159 | 11
guys
CTA 能搞到sharpe 2 还 5billion? 哪一家？
【在 G*****3 的大作中提到】
: Prop trading company pays good base salary (around 100k USD) as well, even
: for junior guys.
: Sharpe ratio requirement depends on what strategy and business you are in.
: Intra day, hft and prop trading company normally need high sharpe like 4+.
: Hedge fund employs strategy with sharpe like around 2 if the capacity is big
: . For example, there is a discretionary guy in my previous company has a
: sharpe of 10, but his pnl is 1.5 million a year at most. There are also guys
: I met works on CTA style trent
|
J*****n
发帖数: 4859 | 12
FX Concept?
【在 r*g 的大作中提到】
:
: guys
: CTA 能搞到sharpe 2 还 5billion? 哪一家？
|
r*g
发帖数: 3159 | 13 FX Concept Global currency, inception 2001, AUM 2.6B, sharpe 0.77.
【在 J*****n 的大作中提到】
:
: FX Concept?
|
i**********5
发帖数: 467 | 14 Prop trading pay much better than hedge fund.If your sharp ratio is above 10
, you can get up to 50%,if above 20, you can get up to 75%. At sharp ratio
20, you basically is a ATM machine without one loss day................ |
f****s
发帖数: 315 | 15 with SR of 20, why not do it himself, then it is 100%, hehhe
10
【在 i**********5 的大作中提到】
: Prop trading pay much better than hedge fund.If your sharp ratio is above 10
: , you can get up to 50%,if above 20, you can get up to 75%. At sharp ratio
: 20, you basically is a ATM machine without one loss day................
|
g*****u
发帖数: 14294 | 16 这样的SR，如果可持续的话，很快自己就可以拉出来干了。
【在 f****s 的大作中提到】
: with SR of 20, why not do it himself, then it is 100%, hehhe
:
: 10
|
G*****3
发帖数: 71 | 17 Man Group, AHL, Winton Capital managed future fund
【在 r*g 的大作中提到】
: FX Concept Global currency, inception 2001, AUM 2.6B, sharpe 0.77.
|
G*****3
发帖数: 71 | 18 Infrastructure, starting up capital, market access and fees can be very
significant as barrier to entry. A lot of bank's very profitable prop desk
went off to start up their own company during the credit crunch because they
werent paid enough. Apparently, most of them are in trouble now. People
often take infrastructure and support for granted until they are made to
deal with those issues themselves.
【在 g*****u 的大作中提到】
: 这样的SR，如果可持续的话，很快自己就可以拉出来干了。
|
g*****u
发帖数: 14294 | 19 HFT is less capital-intensive. Technology barrier has dropped dramatically
as well. There are shops in NJ running with a couple of millions. That said,
running one's own business is not for the faint of heart. Most startups
fail, while the previledged few survive and thrive.
they
【在 G*****3 的大作中提到】
: Infrastructure, starting up capital, market access and fees can be very
: significant as barrier to entry. A lot of bank's very profitable prop desk
: went off to start up their own company during the credit crunch because they
: werent paid enough. Apparently, most of them are in trouble now. People
: often take infrastructure and support for granted until they are made to
: deal with those issues themselves.
|
m********0
发帖数: 2717 | 20 I don't think so
for hft, the one got sharpest tech out-stands.
unless a bottleneck is met, it gonna be arms-contest.
dramatically
said,
【在 g*****u 的大作中提到】
: HFT is less capital-intensive. Technology barrier has dropped dramatically
: as well. There are shops in NJ running with a couple of millions. That said,
: running one's own business is not for the faint of heart. Most startups
: fail, while the previledged few survive and thrive.
:
: they
|
|
|
m********0
发帖数: 2717 | 21 Man, as an individual trader, your leverage is limited by regulations.
or you could not find any leverage.
【在 f****s 的大作中提到】
: with SR of 20, why not do it himself, then it is 100%, hehhe
:
: 10
|
G*****3
发帖数: 71 | 22 That is very true. I heard some strategy is so latency sensitive that they
pay more money to have they server on the rack that is closest to actual
matching server in exchange co-location room.
【在 m********0 的大作中提到】
: I don't think so
: for hft, the one got sharpest tech out-stands.
: unless a bottleneck is met, it gonna be arms-contest.
:
: dramatically
: said,
|
r*******m
发帖数: 109 | 23 A lot of the market making strategy require co-location nowadays with
response time < 1 ms.
【在 G*****3 的大作中提到】
: That is very true. I heard some strategy is so latency sensitive that they
: pay more money to have they server on the rack that is closest to actual
: matching server in exchange co-location room.
|
G*****3
发帖数: 71 | 24 It is even more about co-locatioin. What I meant was, often exchange would
offer co-location server room. You can pay money to be in there etc. There
will be more than one server rack in the room. Some are physically located
closer to the matching server, which is in the next room, than others by
probably a few feet. These rack space will be sold to the highest bidder.
Apparently there are loads of banks fight for it. The latency difference
there will be like < 1 micro second. |
g*****u
发帖数: 14294 | 25 There are different tiers of players, big, medium, and small, in HFT. For
ultra high frequency market making, one would certainly need to push their
tech to the extreme. Notwithstanding, there are small prop shops with less
stringent latency requirements, employing different strategies, of course.
【在 m********0 的大作中提到】
: I don't think so
: for hft, the one got sharpest tech out-stands.
: unless a bottleneck is met, it gonna be arms-contest.
:
: dramatically
: said,
|
h*******7
发帖数: 1481 | 26 谢谢你的信息。那Prop trading company，是不是淘汰率很高啊？如果想申请这一类的
公司的话，是通过猎头还是公司网上直接申请？
big
guys
【在 G*****3 的大作中提到】
: Prop trading company pays good base salary (around 100k USD) as well, even
: for junior guys.
: Sharpe ratio requirement depends on what strategy and business you are in.
: Intra day, hft and prop trading company normally need high sharpe like 4+.
: Hedge fund employs strategy with sharpe like around 2 if the capacity is big
: . For example, there is a discretionary guy in my previous company has a
: sharpe of 10, but his pnl is 1.5 million a year at most. There are also guys
: I met works on CTA style trent
|
h*******7
发帖数: 1481 | 27 Sharpe ratio 在10以上，很难持续吧？
10
【在 i**********5 的大作中提到】
: Prop trading pay much better than hedge fund.If your sharp ratio is above 10
: , you can get up to 50%,if above 20, you can get up to 75%. At sharp ratio
: 20, you basically is a ATM machine without one loss day................
|
h*******7
发帖数: 1481 | 28 个人做的话，是不是Interactive Brokers 算是leverage 最高的了？能做到3.3倍的
Capital？
想要高的leverage， 可以选一些Future，Option， FX 等。
【在 m********0 的大作中提到】
: Man, as an individual trader, your leverage is limited by regulations.
: or you could not find any leverage.
|
h*******7
发帖数: 1481 | 29 几个Million 的小Shop 存活率很低吧？
我们组里有个Discrentionay Trader，挺牛，基本上一个月亏钱的天数不超过5天，太
太在投行Trading Desk 做Sales。我想他为什么不出去自己搞个Hedge Fund呢？有一次
他谈起他自己的钱的投资，有些放在朋友搞的Hedge Fund里头。
said,
【在 g*****u 的大作中提到】
: HFT is less capital-intensive. Technology barrier has dropped dramatically
: as well. There are shops in NJ running with a couple of millions. That said,
: running one's own business is not for the faint of heart. Most startups
: fail, while the previledged few survive and thrive.
:
: they
|
G*****3
发帖数: 71 | 30 Not really. It really depends on which company you are talking about. In
general, a good company, which pays good salary, will be more patient about
your performance. With the amount of salary paid, they make a mid or long
term investment in you. Company that doesnt pay base, is normally just
taking a gamble, as they have nothing to lose.
I normally go for head hunter.
【在 h*******7 的大作中提到】
: 谢谢你的信息。那Prop trading company，是不是淘汰率很高啊？如果想申请这一类的
: 公司的话，是通过猎头还是公司网上直接申请？
:
: big
: guys
|
|
|
f****s
发帖数: 315 | 31 20% on PnL 对于有book的算标准吗？有那到40%+的吗？ |
r*******m
发帖数: 109 | 32 For prop trading PM, you can get up to 20% running low frequency strategy
with generally sharp < 4 and return < 40%. For strategy with high sharp and
return, you can get very big range of payout, from what I heard as high as
70%. But most of the high sharp strategy cannot run big scale.
【在 f****s 的大作中提到】
: 20% on PnL 对于有book的算标准吗？有那到40%+的吗？
|
f****s
发帖数: 315 | 33 wow... 70% will be so sweet!!
and
【在 r*******m 的大作中提到】
: For prop trading PM, you can get up to 20% running low frequency strategy
: with generally sharp < 4 and return < 40%. For strategy with high sharp and
: return, you can get very big range of payout, from what I heard as high as
: 70%. But most of the high sharp strategy cannot run big scale.
|
o*****c
发帖数: 241 | 34 sharpe 10, 20? are you sure those numbers are based on real trading records?
they must be brokers...
10
【在 i**********5 的大作中提到】
: Prop trading pay much better than hedge fund.If your sharp ratio is above 10
: , you can get up to 50%,if above 20, you can get up to 75%. At sharp ratio
: 20, you basically is a ATM machine without one loss day................
|
