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Hedge Fund Uses Algae to Reap 21% Return

bloomberg.com

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Re: Hedge Fund Uses Algae to Reap 21% Return

#41

Post by wbl »

chollida1 wrote: post #7

> As the genome project produced reams of data, Lun saw an opportunity to break ground in computational biology and in 2006 joined the Broad Institute of MIT and Harvard, a crossroads for scientists and hedge fund managers. There Lun met senior computational biologist Nick Patterson, a former cryptographer who had spent a decade at Renaissance Technologies making mathematical models. Another Lun colleague, genomic re…

As the joke goes with a Sharpe ratio of 2.0 what marketing department, with 3.0 what investors?

Re: Hedge Fund Uses Algae to Reap 21% Return

#43

Post by dsacco »

chollida1 wrote: post #35
dsacco wrote: post #29

Earlier quoted context omitted.

> A 3 year track record is plenty long enough to prove out a system and provide a track record. It's a troubling sign that there is only $20 million in his fund if. I'm curious as to why you say a 3 year track record is long enough to prove a system. I don't necessarily disagree (though I think number of trades executed in that timespan and the type of trading strategy might be as important as the timespan itself), b…

Sure, great question. It's important to note that 3 years doesn't mean 3 data points. It really depends on the funds average trade horizon. Which is, I think, exactly what you were referring to. An HFT firm trades at such small scales that it can use its daily returns such that each year actually provides 252 data points. On the other side of the coin, Berkshire Hathaway would need benchmark times longer than a singl…

Yeah, that all makes sense, thanks. I figured you were using that 3 year figure with an implicit acknowledgement that it would provide greater or lesser rigor depending on the number of trades and the holding time. Thanks for the resources as well.

Re: Hedge Fund Uses Algae to Reap 21% Return

#46

Post by avisser »

platz wrote: post #13

Was disappointed because title is misleading; I had hoped the fund was using actual Algae (i.e. computation in biological medium) to produce market decisions. Instead it is just biologists that are creating algos with their existing machine-learning knowledge. Apparently deep-learning and algae are the same thing.

I hoped that the fund was investing in companies producing GMO algae to solve large problems: carbon sequestration, energy production, toxin remediation, etc.

Re: Hedge Fund Uses Algae to Reap 21% Return

#48

Post by synaesthesisx »

This looks like satire - these guys are literally underperforming the S&P. My own personal investing returns as an individual surpass theirs!

Where can I sign up to gamble with other peoples money with my black-box AI algorithms based on fungal evolutionary genomics?

“It’s hard to explain simply why and how it works"

Re: Hedge Fund Uses Algae to Reap 21% Return

#50

Post by CreepGin »

rockostrich wrote: post #19
frozenport wrote: post #16

Earlier quoted context omitted.

Well 1.05x0.85x1.30x1.10x1.00=1.27 Wow, so they are ~27% off the mean! The part that isn't clear is how this compared to typical performance variation - then we can run our p-tests. But I suspect its pretty good, given the news worthiness of the article.

Wouldn't 1.27^0.2=~1.05 be a better indicator?

Yes. 1.05 over the mean.

Also for the actual return:

    2013   +22%
    2014    -2%
    2015   +33%
    2016   +22%
    2017   +10% (til June)
(1.22 * 0.98 * 1.33 * 1.22 * 1.1) ^ 0.2 = 1.16

Or for the 4 whole years:

(1.22 * 0.98 * 1.33 * 1.22) ^ 0.25 = 1.18

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