Cantab finds ‘value-add’ in alternative datasets

Quant firm estimates how much alpha new data can add before putting it to use

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Finding nuggets of value in vast sets of alternative data has proven to be difficult

A large quant firm has found a simple way to assess the value of alternative datasets, which it uses to trade commodities and interest rate swaps.

Cantab Capital estimates a “value-add” figure for each dataset it finds to determine roughly how much alpha it could contribute to its strategies.

“Data doesn’t have an obligation to make us money,” said Chris Longworth, a senior scientist at Cantab, so the firm has to be convinced new datasets have value before it starts working with them.  

When

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