A Brief History
Founded in late 2021, the OAF Quantitative Strategies division is a platform for talented individuals in quantitative finance to explore their interest in the field.
Our members have secured internships and jobs at leading firms, including Goldman Sachs, Morgan Stanley, Jefferies, Jane Street, Citadel, and D.E. Shaw.
Membership
Entry is contingent on passing a written entry test that includes questions on mathematical problem solving, computer programming and financial analysis - a process similar to Quant interviews in the industry. Most members are pursuing degrees in STEM and proficient in multiple coding languages.
You can also join us through the Quant Bootcamp, which will run in Michaelmas term and cover essential coding and mathematical skills required for core Fund research. The Bootcamp will conclude with a small contest, providing members the opportunity to apply their newly-acquired skills in a competitive environment. Top performers in the Quant Bootcamp will be offered a chance to join the Quantitative Strategies Division in OAF.
QUANTITATIVE BOOTCAMP
Our inaugural Quantitative Bootcamp was launched in Michaelmas 2022, seeking to identify talent without any prior experience.
We received 150+ applications and following CV screening and a mathematics test, we accepted the top performing 28 students.
The Quantitative Bootcamp involves:
Training in: Pandas; options pricing from Black Scholes; data sourcing and processing; theory-driven alpha strategies and portfolio optimisation; and data-driven alpha strategies and machine learning.
Personal development opportunities through initiatives such as our application clinic.
Culmination in a team-based quantitative finance project competition to a panel of OAF Alumni now working at leading firms.
Our Quantitative Bootcamp includes continuation routes to core Fund research teams, with top performers in the Bootcamp invited to join the following term as an Analyst.
Our work
Our research so far has included investment strategies in announcements and momentum.
Announcement strategies have focused on extracting equity premia from corporate and macroeconomic announcements via portfolio optimisation and machine learning.
Momentum strategies build on existing research to account for underlying macroeconomic trends and investor expectations, aiming for excess risk-adjusted returns that avoid momentum crashes.
QUANTITATIVE PITCH DAY
The first OAF Quantitative Pitch Day took place in May 2022. It involved workflows structured around the data sourcing, cleaning, and analysis process, culminating in the formulation of quantitative strategies; strategies are then rigorously back-tested with varied model parameters and samples.
Quantitative pitches often build off of ideas developed by prior teams, enabling their refinement and the development of institutional knowledge. This allows us to build expertise on existing academic literature, and the theoretical and practical benefits and drawbacks of implementing their respective strategies.
Each term, teams will create a scientific research report and present their findings to members of industry.