Me went to a final round interview at a Asset Management firm today. There are two desks. One is Stat Arb. Using time series. Mean reversion strategy.
The second is Quantitative strategy. Using multi-factor model. Both trade liquid global equities.
Book recommended
1. For stat arb: Inside the Blackbox.
2. For multi-factor: Active Portfolio Management. Grinold and Kahn
3. From a friend at Blackrock for HFT: Dark pool: The Rise of the Machine Traders and the Rigging of the U.S. Stock Market.
4. From another industry pro for general HF info: The Hedge Fund Mirage.
Also I learned that the main thing that distinguish hedge funds with traditional asset management is not in the strategy, but in the regulation. So this firm has these two desks, their strategies are implemented in both the Open-ended fund (UCITS to retail investors), and also in the hedge fund format (to fund of funds). The quant desk manage 1B, but only 10mil is in the hedge fund format. The desk side are very small. 3 people for start-arb and 5 people for quant strat.
Another thing is that roughly 84% of profits earned by hedge funds go to hedge fund managers :(. If we take into account that 1/3 of assets are invested by fund of funds, then only 2% of profit actually go to the investors :(((.