Buffett's Alpha (2018) [pdf]
docs.lhpedersen.com
Buffett's Alpha (2018) [pdf]
1–10 of 24 posts
Re: Buffett's Alpha (2018) [pdf]
#2From what I have seen, only certain quant funds like Renaissance Technologies and TGS Management have actually truly managed to beat the market in a consistent non-random manner.
And they do exactly what you'd expect someone who has a money making machine to do- shut up and at some point kick out your external investors.
Re: Buffett's Alpha (2018) [pdf]
#3From what I have seen, only certain quant funds like Renaissance Technologies and TGS Management have actually truly managed to beat the market in a consistent non-random manner. And they do exactly what you'd expect someone who has a money making machine to do- shut up and at some point kick out your external investors.
Quant trading strategy like Medallion Fund uses don't scale. That's why Warren Buffet has more personal wealth than Medallion Fund has AUM.
Outside finance, but similar business is sports betting syndicates. They can make 30-70% yearly return with low volatility. If you bet in 100 events per week and the expected return from each bet is just 0.5% (after expenses) you make consistent 30% return with very low volatility. If you make 1% per week you get almost 70%.
That's great return for the investment but the size of investment is typically limited to tens of millions. Brokers don't like it and close accounts when they notice them. There is increasing amount of work involved when the amount of money increases.
Re: Buffett's Alpha (2018) [pdf]
#4From what I have seen, only certain quant funds like Renaissance Technologies and TGS Management have actually truly managed to beat the market in a consistent non-random manner. And they do exactly what you'd expect someone who has a money making machine to do- shut up and at some point kick out your external investors.
Quant trading strategy like Medallion Fund uses don't scale. That's why Warren Buffet has more personal wealth than Medallion Fund has AUM. Outside finance, but similar business is sports betting syndicates. They can make 30-70% yearly return with low volatility. If you bet in 100 events per week and the expected return from each bet is just 0.5% (after expenses) you make consistent 30% return with very low volatilit…
Do you have more information about this?
I thought "the bank always wins" (or the broker in this case).
Re: Buffett's Alpha (2018) [pdf]
#5Earlier quoted context omitted.
Quant trading strategy like Medallion Fund uses don't scale. That's why Warren Buffet has more personal wealth than Medallion Fund has AUM. Outside finance, but similar business is sports betting syndicates. They can make 30-70% yearly return with low volatility. If you bet in 100 events per week and the expected return from each bet is just 0.5% (after expenses) you make consistent 30% return with very low volatilit…
Do you have more information about this? I thought "the bank always wins" (or the broker in this case).
Jim Simons
https://news.ycombinator.com/item?id=21423845
Maybe Ed Thorp too:
Re: Buffett's Alpha (2018) [pdf]
#6Earlier quoted context omitted.
Quant trading strategy like Medallion Fund uses don't scale. That's why Warren Buffet has more personal wealth than Medallion Fund has AUM. Outside finance, but similar business is sports betting syndicates. They can make 30-70% yearly return with low volatility. If you bet in 100 events per week and the expected return from each bet is just 0.5% (after expenses) you make consistent 30% return with very low volatilit…
Do you have more information about this? I thought "the bank always wins" (or the broker in this case).
Bookmakers make their profit from the margin between the odds they give.
Example. If the probability of outcome is exactly 50-50, he odds they give are 1.9 and 2.11 and they pocket the difference (completely fair odds without margin would be 2.0 both sides) It does not matter what the outcome is. If they balance the bets for and against perfectly, there is no risk. They generally try to balance their liability but having preferred winner can increase profits with some additional risk.
If people place bets on the other side more, bookmakers move the odds to balance the bets from both sides. At some point the odds can be skewed so much that professional better can make money even after the bookmaker takes his margin. That money is taken from other betters. But if the bookmaker is not fully balanced it can come from the bookmakers pocket.
Re: Buffett's Alpha (2018) [pdf]
#7Earlier quoted context omitted.
Do you have more information about this? I thought "the bank always wins" (or the broker in this case).
Bookmakers make their profit from the margin between the odds they give. Example. If the probability of outcome is exactly 50-50, he odds they give are 1.9 and 2.11 and they pocket the difference (completely fair odds without margin would be 2.0 both sides) It does not matter what the outcome is. If they balance the bets for and against perfectly, there is no risk. They generally try to balance their liability but ha…
Thank you.
Re: Buffett's Alpha (2018) [pdf]
#8Earlier quoted context omitted.
Do you have more information about this? I thought "the bank always wins" (or the broker in this case).
Jim Simons https://news.ycombinator.com/item?id=21423845 Maybe Ed Thorp too: https://en.m.wikipedia.org/wiki/Edward_O._Thorp
And barely a drop about TGS on the clearnet (aside from some paywalled BBG articles). They are basically the continuation of Ed Thorps business Princeton Newport Partners.
Re: Buffett's Alpha (2018) [pdf]
#9From what I have seen, only certain quant funds like Renaissance Technologies and TGS Management have actually truly managed to beat the market in a consistent non-random manner. And they do exactly what you'd expect someone who has a money making machine to do- shut up and at some point kick out your external investors.
If you have 1 billion on spare money, you can easily replicate their "black-boxes" strategies for fun. Some of my ML research work (I work for a hedge fund) points exactly on their trading behaviors and relations with different instruments during the past 25 years. Is not fraud or insider trading, is just everyone involved in the economic world benefits from this, that there is no real incentive to call it fraud.
PS: If you have 1 billion to invest, call me ;)
Re: Buffett's Alpha (2018) [pdf]
#10From what I have seen, only certain quant funds like Renaissance Technologies and TGS Management have actually truly managed to beat the market in a consistent non-random manner. And they do exactly what you'd expect someone who has a money making machine to do- shut up and at some point kick out your external investors.
If you have 1 billion on spare money, you can easily replicate their "black-boxes" strategies for fun. Some of my ML research work (I work for a hedge fund) points exactly on their trading behaviors and relations with different instruments during the past 25 years. Is not fraud or insider trading, is just everyone involved in the economic world benefits from this, that there is no real incentive to call it fraud. PS:…
Call me if you only have $500 mil ;)