清華麻省之驕子漫談量化研究員的日常

數學天才、計算機大牛們的標配職業選項之一 — 量化研究員（Quant Researcher）究竟研究些什麼？海外深造的名校驕子職業道路究竟如何？

畢業於世界頂級大學麻省理工與清華，

榮獲美國《機構投資者》雜誌的「新星獎」殊榮，

在各類健身健美大賽中所向披靡，

集智慧、紳士、健美、穩重於一身，

點擊下方視頻來聽王晟 （Sheng Wang） 漫談量化研究員的日常！

謝謝收看！請給我們留言分享你的想法或繼續提問！

本集全集中英翻譯稿如下

He is a quant research analyst at a equity research firm.

他是股權研究公司的量化研究員

Sheng, welcome!

Sheng, 歡迎你！

Thank you, Yuji! Thanks for having me here! Hi, everyone!

謝謝Yuji！謝謝邀請我！大家好！

Sheng is here to share with us "what its like to be a quant"

Sheng會在節目中與我們分享「量化研究員的工作是怎樣的」

Tell us how many years you have worked in quant field?

告訴我們你在量化領域工作了多少年?

Ive been working almost 6 years since I graduated

我畢業以來已 經工作了近六年了

Thats a long time. Have you switched company?

那是很久了 你換過公司嗎？

Yes I recently moved to a boutique research firm

是的，我最近轉到了一個小型研究公司

and before I was working in a bank for exactly 5 years

在這之前 我在銀行工作了5年

Why did you decide to be a quant researcher ? 為什麼想做量化研究員？

There are a few things interested me a lot

有幾件事情讓我很感興趣

Because I can explore a lot of new things

因為我可以探索很多新事物

and its kind of challenging

這很有挑戰性

and also a lot of problem solving

還有很多問題解決

what we do is very similar as academic research

我們做的與學術研究非常相似

We explore new methodologies, explore new strategies

我們探索新的方法，探索新的策略

and we do back testing and we find out what strategy works well

我們會做測試來判斷什麼策略運作良好

and we publish research

然後發布研究論文

Its not doing the same job over and over again

這不是一次次地做同樣的工作

Its basically doing different things every day

基本上每天都做不同的東西

Its like working in the academic field but you earn more money probably

這就像在學術領域工作，但你可能賺更多的錢？

Not really, but it feels good that I can find my research thats being useful for investment

這倒不是，但能讓我的研究對投資有用令我感覺很好

Whats your day-to-day like working as a quant? 量化研究員每天的工作是怎樣的？

Basically we have a couple of long-term research projects

基本上我們有幾個長期的研究項目

Those probably will be in a few months where we publish a research as a final product

那些可能會花上幾個月時間來發表研究

In the meantime we also do a lot of client

requests and consulting work

同時我們也回應客戶需求與諮詢

So every day when I go to the office, I check my email

所以我每天去上班會先查郵件

Sometimes a lot of clients will ask us questions in terms of our past research

有時很多客戶會對我們過去的研究提問

or some ideas clients thought of and they dont have the data or the capability of testing it

客戶有新想法但沒有數據或能力測試時，也會尋求我們

So they will ask us to help them to test certain hypotheses and certain strategies

所以他們會要求我們幫助他們測試某些假設和策略

We do the back testing and tell them

if that works or what our suggestions are

我們會做測試告訴客戶我們的建議

Some of them are more time-sensitive so we will prioritize these first

其中一些比較緊急，所以我們必須優先處理

but while we are done with the most of

the time sensitive projects

當我們完成大部分緊急項目後

then we will focus on our long-term things

我們可以轉而集中精力在長期事務上

These are a couple weeks or months that we plan it out

這些我們會有幾個星期或幾個月的計劃

then we do the research and finish with a research report

然後我們進行研究並完成報告

Is it fair to say there is a client-facing or even sales component in your job?

你的工作是不是應該有面對客戶或是銷售的環節？

Yes, basically my boss were marketing almost half of the time seeing clients

是的， 我的老闆幾乎一半的時間是花在客戶營銷上

Even for me Ive been to Asia, go to

Chicago and some other cities to do marketing

我也經常去亞洲，芝加哥等城市出差

Thats interesting. Who are usually your clients?

有意思， 你的客戶一般是誰？

They are mostly hedge fund, mutual fund, pension fund

他們大都是對沖基金，共同基金，養老基金

Basically all the buy side quant firms

基本上所有的買方量化公司

Now we are even targeting more of fundamental guys

現在我們還瞄準更多的基本分析公司

Are those also who read your published articles?

他們也會讀你的研究報告嗎？

Yes, some of them

是的，有些會

Actually one of my friends just sent me (message)

我的一個朋友最近發我消息

She was working in a hedge fund and she said that she was reading my research

她在對沖基金工作，會看我的研究

Oh thats right! Oh everybody I forgot to tell you how awesome Sheng is

哦，對了！我忘了告訴大家Sheng有多了不起！

He was actually awarded...

他有被授予專業獎

Is it called "Rising Star"?

是叫「投資新星「嗎？

Yes, that was last year

是的，去年授予的

It was a rising star from Institutional Investor

是《機構投資者》雜誌的」新星獎「

Its a magazine where the buy side voted sell side analyst

這本雜誌會請買方為賣方機構分析員投票

Thats so fantastic! Congratulations!

這真是太棒了！恭喜你！

Lets dial back into your day to day

讓我們回來繼續聊你的日常工作

If you have to divide your day into hours

如果請你把一天的時間分成小時

How much percent of your time is invested in client relationships

你有多少是投入客戶關係？

and how much time is invested in doing the actual research

有多少是投入實際研究？

I think maybe 30% of my time are client facing directly

我想也許30％的時間是應對客戶的

maybe 50% of my time are doing research

50%的時間是做研究

and then 20% of my time are doing some other works like helping others

剩下20％的時間做一些其他工作，如幫助別人

You mentioned youve worked at a bank and now youre at a research firm

你提到曾在銀行工作，現在研究公司

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，如對沖基金，也有量化分析員

Whats the difference working as quant for banks, research firms, or funds? 量化研究員的工作在銀行，研究所，和投資基金有何區別？

In terms of the work I do right now vs. the things that I do at a bank

拿我現在的工作和銀行的相比

They are kind of similar because we are all sell-side research

他們是類似的，因為我們都是賣方研究

We publish research and serve buy-side clients

我們發布研究並為買方客戶服務

In terms of difference, in a bank there are a little bit more politics

在差異方面，銀行有一些政治

so that sometimes I have to not just focus on my research

所以有時候我不能只專註於我的研究

Same as all the functions in the bank I guess

我猜銀行的所有部門都是這樣的？

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，我們更靈活

For example, our infrastructure

比如我們的基層設施

We can use Amazon Cloud to build our infrastructure

我們可以使用Amazon Cloud建立我們的基層設施

while at a bank its very difficult when we want to increase our...

但在銀行就很困難

lets say, the computing power, the storage we had

比方說，我們想提高計算能力、存儲空間

It takes typically six months or one year

通常需要6個月或1年的時間

For the bank to approve certain kind of expansion

讓銀行通過某種擴張

In terms of the buy-side places, some of them they also do research trying to find new signals

就買方而言，他們有些也在研究嘗試尋找新的信號

but I guess they got more specific in certain areas

但我想他們更專攻與某個領域

where for us, because our clients are interested in all kinds of different areas

對於我們來說，因為我們的客戶對各種不同的領域感興趣

so our research will cover many different topics and we got more flexibility as sell-side research

我們的研究涵蓋許多不同的話題，我們作為賣方研究有更大的靈活性

Youve touched on the goods and bads working for different companies as a quant analyst

你已經聊了各種公司量化研究工作的好壞

What are the good and bad about being a quant? 做量化研究員的好處與壞處是什麼？

The good thing is that we are not that sensitive to the market to some extent

好處是我們在某種程度上對市場不敏感

because we are like a long short market-neutral for most of our strategies

因為我們大部分策略都是買賣市場中立

and its completely data-driven rather than fundamental research

而且它完全基於數據而不是基礎研究

where they have a lot of human view and discretionary things in it

基礎研究有很多人為斟酌的方面

I see. What are the bad things about being a quant analyst?

我懂了， 那不好的地方是什麼？

For example, some of your methodology you think it should work but its not always working

例如你認為某些方法應該可以成功，但並不總是奏效

If its not working, then a couple of weeks of time may not be spent worthwhile

如果不成功，那麼幾個星期的時間可能就浪費了

What is the long-term career path for a quant? 量化研究員的長遠職業發展如何？

For us in the sell-side we can continue to be a sell-side research analyst, be the lead analyst of the team

在賣方，我們可以繼續發展，爭取成為團隊領導分析師

or we could do buy-side

或者我們可以轉到買方

In buy-side, usually portfolio managers are coming from the research analyst

在買方，通常投資經理曾是分析師

because the things they do are almost exactly the same

因為他們做的事情幾乎完全一樣

Youve been working in this field for six years

你已經在這個領域工作了六年

and Im guessing you have gone through tons of interviews

我猜你已經經歷了大量的面試

or even interviewed candidates for yourself

甚至自己面試了很多人

What are the key skill-sets to mention on resume when applying to quant? 找量化研究員的工作時，簡歷要注意什麼？

Analytics skill is definitely very important

分析能力絕對非常重要

like programming, statistics

還有比如編程、統計

and also communication skills because you have to talk to your clients

以及溝通技巧，因為你必須與客戶交談

and some of writing skills as well because when you write research (you need it)

還有一些寫作技巧，因為你寫研究時（需要）

Our product is research paper

我們的產品是研究論文

There are some soft skills. You have to be very organized

還有一些軟性技能 你必須非常有條理

Because in our business you need to plan things out

因為在我們的業務中你需要做計劃

For example, I plan to publish a research in two months

例如，我打算在兩個月內發表研究報告

so usually I have to plan things out so I dont need to stay overnight

我必須按計划出進度，這樣我就不用加班

I can do things at a time and finish the final thing at my deadline

我可以分段行事，最後按時交工

so being organized is also very important

因此有條理很重要

What is the interview process? 量化研究員工作面試流程是什麼？

It varies. Usually the first one we will just go through the resumes and ask a couple of questions

不全一樣 通常我們會先正對簡歷提問

Especially for the junior ones if they dont have much related working experience

特別是對於較年輕、沒有很多相關工作經驗的人

I would sometimes ask a couple of brainteasers based on their background

我有時會根據他們的背景問一些」腦筋急轉彎「

Like how many ping pong balls you can fill in a studio room?

比如一個房間能裝多少乒乓球嗎？

It varies. For computer science student, I will ask more algorithm type of questions

不全是吧 對計算機專業的學生 我會問一些演算法

Whereas for like math or finance,

對於數學專業的

I will ask less-related to algorithm but more about statistics and other problems

我會少問演算法 多問統計方面的問題

After the first round, usually we bring them on-site to do some presentation

第一輪後，通常我們請他們到現場做演示

We choose a paper, a recent academic paper

我們會選一篇最近的學術論文

send it to them and ask them to read a paper in certain amount of time

發給他們，要求他們在一定時間內閱讀論文

and then after that we ask them to present that paper

之後，我們請他們演示這篇論文。

Ah thats hard!

啊 這好難啊

We dont want (need) candidate to fully prepare it

我們不要求應聘者完全準備好

We want to see their true ability (skill-set)

我們只是想測試他們的實力

I think thats a good test

我認為這是一個很好的考驗

because you mentioned when they actually get the job thats what they are going to do in their day-to-day

因為你提到這正是他們日後正式工作後要面臨的

Memes 口口相傳

Lets do a little fun game. Lets do a

rapid fire of the memes around us about quant

我們來玩個有趣的遊戲 聊聊大家對量化研究員的」傳言「

and you tell me if its true or not

你可以告訴我是否是真的

Quant usually gets paid really well 量化研究員報酬豐厚

Not necessarily. It depends.

這不一定 要看情況

Buy-side places - if some hedge fund is doing very well

在買方 如果一些對沖基金表現好

they could have a much bigger portion of bonus compared to their base

他們可以獲得比基礎工資多得多的獎金

It depends on their year

這取決於他們這一年的績效

If theyre losing money they could have zero bonus

如果他們虧錢了 那就一點兒獎金都沒有

If they are doing well, they could get multiple times of bonus

如果他們賺錢，他們可以得到好幾倍的獎金

Okay, high risk, high return

懂了，高風險，高收益

What about the sell-side?

那賣方如何？

For sell-side, it depends on seniority

對於賣方，這取決於資歷

I think junior person will have a less percentage (bonus) of their base

資歷年輕的人會有較小的獎金

as they get senior, they will get higher

資歷越老，獎金份額會變高

In terms of base, sell-side might have slightly higher than buy-side

就基礎工資而言，賣方會比買方高一些

Quant and programmer jobs are inter-changeable 量化研究員和程序員的工作很容易互相轉換

Yeah, to some extent

在某種程度上是的

Its easier to learn finance but its more difficult to learn programming and other analytic skills

學習金融比學習編程和其他分析技能容易

For programmers, if they want to become a quant

對於程序員，如果他們想成為量化研究員

probably just need a year or two to get used to (finance) work

大概只需要一兩年熟悉金融工作

Do they need to study CFA and get certificates?

他們需要學習CFA並獲得證書嗎？

Not necessarily. For some quant firms, they dont even need any finance background

並不一定 對於一些量化公司，他們不需要任何金融背景

For example, high-frequency trading. All they need to do is programming

例如高頻交易 他們所需要做的就是編程

Quant are usually genius！量化研究員都是天才！

There are some genius doing quant

but I dont think most of them are genius

有一些天才做量化但我認為大多數人都不算天才

I think to be a good quant, you just need to be organized

我認為要成為一名優秀的量化研究員 你只要有條理

and be very specific in terms of what you want to do

然後對自己想做什麼很清楚

and then work hard and then you can be successful

接著努力工作 你就能成功

So you dont have to be like Olympic Contest #1

所以你不需要是奧林匹克數學競賽冠軍？

Not necessarily, although there are a lot of Olympic gold medals in quant area

不一定需要 雖然的確有很多奧林匹克金牌在這個領域

Quant are usually very geeky 量化研究員通常是「奇客」

They love watching Big Bang Theory and playing Robots

他們喜歡看《生活大爆炸》和玩機器人

Generally speaking, quants are geeky

般來說，量化研究員是有點」奇客「

We have the similar topics with our clients

我們與客戶有類似的話題

What are the topics? Is it all about robots and big bang theory?

什麼話題？是關於機器人和《生活大爆炸》嗎？

Not necessarily, but at least we dont go out drink that much

不一定吧 但是至少我們不總出去喝酒

We dont watch baseball that much

也不去看棒球比賽

So what do you guys do together?

那你們在一起幹什麼？

I think we just meet... Program?

我想是。。。 編程嗎？

We just meet and talk about our research and chat about regular stuff

我們就是見面聊聊研究和一些瑣事

I think the quants lifestyle is much healthier

我認為量化研究員的生活方式挺健康的

To clarify, actually Sheng and I have been friends for a long time

作為澄清 Sheng和我是老朋友了

Although hes an excellent quant analyst, hes not geeky at all

雖然他是很優秀的量化研究員 他可一點兒也不」奇客「

If you havent noticed - He is actually a body builder

如果你還沒注意到 他實際是一個健身達人

He goes to gym a lot

他一直去健身

and he actually has a lot of students...

who follow you?

而且還有一群」徒弟「跟著他

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?

向你學習健身？

Yeah I think I have influenced a couple of people in doing some wight training and exercise

我想我可能就是影響了一些人來做舉重訓練

別忘了，我們在很多地方等著你哦！

每周末更新！敬請期待！

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