Demo case file · Technical
Quantitative hedge fund
Quantitative Researcher
This is a demo case file: a realistic example written from commonly known interview formats, not a real candidate's interview experience.
Questions asked
- A signal has a 0.05 correlation with next-day returns. Is that useful? What else would you need to know?
- Explain how a backtest can be overfit, and how you would detect it.
- Derive the ordinary least squares estimator and explain when it is biased.
What to expect
Heavy on statistics and research judgment rather than finance knowledge. The overfitting question turned into a long discussion of out-of-sample testing, multiple testing and transaction costs. They asked for the derivation on a whiteboard, step by step.
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