Hedge-fund managers that do the most research will post the best returns • Hacker News Board

Re: Hedge-fund managers that do the most research will post the best returns

#81

Post by smittywerben » Thu, Mar 22, 2018, 4:52 PM UTC

dsacco wrote: post #28

osrec wrote: post #19

Earlier quoted context omitted.

Having worked with AQR, I would say they are more HF + coupled with some tend following than anything else. What makes you say they are not?

To be clear, when you say AQR is primarily a "high frequency" firm, do you mean they are mostly position neutral with execution in (at most) a few microseconds?

I do not think HFT has a very clear definition anyways. I'm pretty sure most we hear of comes from regulatory cases/exposure.

This is how the SEC characterizes HFT firms.

1. Use of extraordinarily high speed and sophisticated programs for generating, routing, and executing orders.

2. Use of co-location services and individual data feeds offered by exchanges and others to minimize network and other latencies.

3. Very short time-frames for establishing and liquidating positions.

4. Submission of numerous orders that are cancelled shortly after submission.

5. Ending the trading day in as close to a flat position as possible (that is, not carrying significant, unhedged positions overnight).

From pages 4-5 https://www.sec.gov/marketstructure/research/hft_lit_review_...

Re: Hedge-fund managers that do the most research will post the best returns

#82

Post by scarletham » Thu, Mar 22, 2018, 4:58 PM UTC

dsacco wrote: post #30

scarletham wrote: post #12

Earlier quoted context omitted.

They're not HFT, although they are more blackbox / quant than the "traditional" hedge fund, which I think still supports OP's point.

Most "black box" quantitative hedge funds still use massive amounts of public data, even public data that might appear somewhat obvious. They absolutely develop new insights from that data.

Yeah, to clarify I was agreeing that those firms certainly pull and use that data, but not necessarily in the same traditional fashion that paper seems to imply.

Re: Hedge-fund managers that do the most research will post the best returns

#83

Post by mfoy_ » Thu, Mar 22, 2018, 5:01 PM UTC

gameswithgo wrote: post #79

nugget wrote: post #68

Earlier quoted context omitted.

If there were less political intervention into financial markets then solid financial analysis would win almost every time. Maybe that's the way the world should be. Since the GFC a lot of macro bets in both US and EU have been bets on political will and central bank actions. In late 2010 Bank of America was technically insolvent (based on analysis similar to yours), but the Fed went to work and backstopped the marke…

>If there were less political intervention into financial markets then solid financial analysis would win almost every time What empirical evidence exists to support this belief?

"Bailout"

Re: Hedge-fund managers that do the most research will post the best returns

#84

Post by MagnumOpus » Thu, Mar 22, 2018, 5:15 PM UTC

sseveran wrote: post #59

fwdpropaganda wrote: post #6

Earlier quoted context omitted.

I assumed the sophisticated shops ran their own datacenters. Can you imagine RenTech running their code on other people's computers? I can't.

Why? The reasons for having their own datacenters are either legacy or needing some sort of specialized hardware that is not available at a cloud provider. Mana which is a new pure quant fund uses AWS extensively.

The reason for having your own computers is assured secrecy of your algorithms, and complete control over redundancy, latency and network linkages.

The reason for not having your own computers is because you can't afford them. A consideration for upstart funds, not a problem for RenTec.

Re: Hedge-fund managers that do the most research will post the best returns

#85

Post by ojr » Thu, Mar 22, 2018, 5:17 PM UTC

charlesdm wrote: post #70

padobson wrote: post #65

Earlier quoted context omitted.

Are there any possible holes in the making you see now? I was curious for a while if crypto was going to pose a systemic risk, but the total market cap[0] was never really high enough. [0] https://coinmarketcap.com/

You say that as if it's over. I'm willing to bet a significant amount of money that it will pose a systemic risk in a few years.

there are CFTC regulated bitcoin futures (CME/CBOE) where you can bet on the price dropping in a scenario where it becomes a systemic risk

Re: Hedge-fund managers that do the most research will post the best returns

#86

Post by radnam » Thu, Mar 22, 2018, 5:19 PM UTC

Is there a good resource to help understand how to read/interpret SEC filings?

Re: Hedge-fund managers that do the most research will post the best returns

#87

Post by charlesdm » Thu, Mar 22, 2018, 5:21 PM UTC

ojr wrote: post #85

charlesdm wrote: post #70

Earlier quoted context omitted.

You say that as if it's over. I'm willing to bet a significant amount of money that it will pose a systemic risk in a few years.

there are CFTC regulated bitcoin futures (CME/CBOE) where you can bet on the price dropping in a scenario where it becomes a systemic risk

Before the price can drop like that, it needs to become a systemic risk first. Meaning I think it will first still go up significantly before coming down.

Re: Hedge-fund managers that do the most research will post the best returns

#88

Post by source99 » Thu, Mar 22, 2018, 5:26 PM UTC

How did the university get the IP addresses of computers that access the SEC website?

Re: Hedge-fund managers that do the most research will post the best returns

#89

Post by 3pt14159 » Thu, Mar 22, 2018, 5:28 PM UTC

dsacco wrote: post #76

thedevil wrote: post #47

Around 2008, I read some public filings by banks. I made only two back-of-the-napkin adjustments: 1) I combined off-balance sheet assets and liabilities into the balance sheet, and 2) I changed the expected % losses to approximately that of Wells Fargo. With those two simple adjustments, I saw that some big banks were in the hole by (combined) tens of billions of dollars. The market prices for these banks made it cle…

> Around 2008, I read some public filings by banks. I made only two back-of-the-napkin adjustments: 1) I combined off-balance sheet assets and liabilities into the balance sheet, and 2) I changed the expected % losses to approximately that of Wells Fargo. With those two simple adjustments, I saw that some big banks were in the hole by (combined) tens of billions of dollars. The market prices for these banks made it c…

Eh. It works if you're a bear. You get in early, you sell in 2006 while shaking your head. Maybe you leave a bit in with extra exposure to volatility so you win either way, maybe not. Then when 2009 hits you pile in again. It's pretty easy to make way above average returns on the stock market. Just look for the classic signs that it is peaking (low unemployment, high P/E, high leverage, bad demographic trends, etc).

Re: Hedge-fund managers that do the most research will post the best returns

#90

Post by fwdpropaganda » Thu, Mar 22, 2018, 5:29 PM UTC

sseveran wrote: post #59

fwdpropaganda wrote: post #6

Earlier quoted context omitted.

I assumed the sophisticated shops ran their own datacenters. Can you imagine RenTech running their code on other people's computers? I can't.

Why? The reasons for having their own datacenters are either legacy or needing some sort of specialized hardware that is not available at a cloud provider. Mana which is a new pure quant fund uses AWS extensively.

> Why?

Because you don't want anyone to have access to your code and data.

If you found out that Facebook is running on AWS, wouldn't you find that strange?