Cantab finds ‘value-add’ in alternative datasets

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

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.  

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