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Just looking for some advice on a recent interview question I got for a junior quant trading role. In particular, I was asked by this quant trading/market making firm:

If I gave you 100 million dollars for 3 years, what would you do? What if it was 3 days?

I am just curious if anyone in the industry had any idea what kind of answers they were looking for and how to approach answering it?

Thank you.

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  • $\begingroup$ Not a quant trader but it might be a comment on sharpe ratio (eg something even with a good sharpe can blow up in the short term but won't in the long term). Could be asking if you'd disappear to an island with the money $\endgroup$
    – Rylan
    Commented Sep 5 at 8:11
  • $\begingroup$ They asked what you would do. It seems unfair for us to tell you what you would do. If they don't like what you would do with it then maybe they shouldn't hire you? $\endgroup$
    – D Stanley
    Commented Sep 5 at 18:17

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There's one optimal strategy to minimize your loss function.

  • Pocket it.
  • Buy some politicians along the way.
  • Set aside a portion of it to drag out your litigation defense forever.
  • Set up a rival firm in China where having a litigation history with your previous employer and taking trading secrets with you is actually street cred. (Not a political statement.)
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On the surface, sounds like a problem of maximizing expected return over a certain horizon. If you have a shorter (longer) horizon, you can take less (more) risk to maximize the expected returns.

However, since they are a market-making firm, there are probably market-making solutions that make more given the same parameters. I would probably Google how market-making firms make money given a specified horizon.

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    $\begingroup$ For 3 days: Tbills, for 3 years 60% stocks and 40% bonds :-) $\endgroup$
    – nbbo2
    Commented Sep 5 at 7:18
  • $\begingroup$ For 3 days: long Bunds. For 3 years: long Bunds :D :D :D $\endgroup$
    – Jan Stuller
    Commented Sep 5 at 7:39

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