October 30th, 2009, 2:38 pm
Greetings Wilmottians, I have been a passive observer on this forum for almost two years. I am also a past CQFer Saludos!Currently, I am a research salesperson in a global research firm. We have a quant finance research team of over 150+ people holding PhDs, Masters in Engineering/Science, MBAs, CFAs, FRMs, etc. We primarily conduct specialized research projects for investment banks, hedge funds, asset managers and other research boutiques. I have secured half an hour of time from the CIO of a 5 billion plus quant hedge fund. He has given us this time to pitch our services. He has also given us some detailed research topics for us to talk about; wherein, we will demonstrate our methodology and process.Internally we have some PhDs looking at this request; however, I am querying the forum to seek additional input. This could be a very good account for us and therefore want to have every angle covered when we consume this gentlemans time.Perhaps some folks can recommend papers or other material that addresses this subject matter or could provide solutions themselves. For especially helpful participants I would be happy to make available my contacts - to forward your career - in a reasonable way and time frame. The potential client wants to understand how we would process quantitative historical investment research for the following two example projects:Research Topic #1 Empirically examine the daily historical interaction between changes in relative interest rates and exchange rates on a predictive basis using standard econometric methods. Research Topic #2 - Empirically examine the daily historical lagged and coincident correlations of the cross-sectional return differential between high and low price/book stocks in different countries. There is a bit of gray area and if/thens embedded in this subject matter but that is part of the test. These are projects they have already conducted and thus have a solid solution built internally. Our solution goal for this question is to slice up the value chain for conducting such a study into: high level (experienced PhD), middle-level (junior/associate level), and low level (analyst/entry level) types of work along the value chain. We will then demonstrate how we will handle each portion and then sum the whole. Hope that paints a clear picture of our goals and objectives.Hope you guys can help!Regards,Stratamad