Performance of the 100bln fund is given at
Renaissance Technologies
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Re: Renaissance Technologies
#92A 66% annualized return over 30 years - from a completely opaque investment strategy. Extraordinary result for sure, how did he do it? Run by Robert Mercer, the money man who associated with prominent money launderers. Based on my priors, Occams Razor says Rentech is a laundromat, not a hedge fund.
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Re: Renaissance Technologies
#93Re: Renaissance Technologies
#94A related promising company in this field is Numerai: https://numer.ai
Building a meta model from predictions submitted by the community (based on encrypted training data provided by Numerai).
More info in their video below. Also Howard Morgan the Co-Founder of Renaissance Technologies too is talking about them and a group of investors led by him invested $1.5m in the company:
https://www.youtube.com/watch?v=dhJnt0N497c
Their performance is not public, the only hint you can find about it is in their recent video about some backtests (which doesn't mean it's their real-world performance):
Re: Renaissance Technologies
#95Do they still outperform? I can imagine 10 years ago they were ahead of everyone but now quant investing is everywhere I would be surprised if they have a big edge.
I would read the recent book. Competition really started in the mid-1990s (and quant funds existed way before that point), and Renaissance actually picked up steam far later than everyone else (and had trouble raising capital because everyone thought the space was already tapped out).
Btw, the point to investing isn't an absolute level of knowledge but relative knowledge. If you keep moving ahead because you are smarter then you will keep outperforming. The view of most investors, not just in quant, is: I went to X university, I am very smart, anyone who does better than me is cheating/insider trading/committing fraud/etc. But the majority of people won't outperform regardless of "intelligence".
AHL has been doing quant for nearly four decades now, they only hire the elite, they even have their own quant finance institute at Oxford...results? Still shit because it isn't as easy as just hiring a ton of "intelligent" people. For some reason, smart people tend to believe that the real world is like university or government where success is achieved by other people thinking you are smart...it isn't like that. Obtaining results is the combination of many things (i.e. most quant firms churn and burn employees, most quant firms have trouble retaining staff, etc.).
Re: Renaissance Technologies
#96Earlier quoted context omitted.
Every five - 10 years the up to date track record is provided to reputable third parties to curate publicity. For example, Bloomberg and WSJ. Generally speaking though, most firms with a track record like RenTech's prefer to keep it quiet because they don't solicit outside investment. In particular: RenTech likes to keep a handle on this publicity for the purposes of courting extremely good talent from academia and i…
Medallion also had a few external investors until 2010ish, who could be a source for some of the numbers. IIRC, Bill Ziemba published their returns in the mid 2000s sometime. Also, what Princeton Alpha offshoots? IIRC, Princeton Alpha was a PDT spinoff that closed due to poor performance. Maybe you mean Princeton/Newport offshoots?
Yes, I meant Newport. The Thorpe folks and such.
Re: Renaissance Technologies
#97Note that RenTec also runs two other funds that are larger than the Medallion Fund, but both under perform the index. On a completely unrelated note, if I were interested in creating a fund that appeared to have market beating returns for decades and I wasn't concerned about the legal consequences, here's one way I might do it: I would create fund A and B and seed them with some initial capital. For fund A, I would c…
Aren't SEC whistleblower awards setup to combat the scenario you're proposing? The first individual to defect would presumably earn vastly more money than continuing with the scheme.
Thing is, it could happen semi-inadvertently even, such that there’s nothing to blow the whistle on. Basically, the incentives are aligned to support the above scenario. If the thinking going into the public funds is geared toward how “big money” works, and the small, private fund is designed to exploit features of “big money” moving around the market, and you get some cross-pollination of those hypothesis about what “big money” should do, the scenario described above emerges naturally. No grand conspiracy in a smoke-filled room is necessary.
Re: Renaissance Technologies
#98The tone of many comments here is disappointing. I'm really surprised at the number of people suggesting illegal activity.
Why is it so hard to accept that someone did the math?
Re: Renaissance Technologies
#99Earlier quoted context omitted.
Yes, but on a $ basis rather than a % basis.
What do you think the $ figures are? Have you tried to see whether the numbers add up for your theory?
Well reports are that the Medallion Fund is capped at $10B with a 66% annual return before fees and a 39% annual return after fees, so the other funds would need to underperform by an average of at least $3.9B per year. If we include the fees in the performance (it's not clear to me that we should, since it's just an accounting measure that RenTec claims to pay itself) then it's at least $6.6B.
Wikipedia says RenTec AUM is $110B. $10B for the Medallion Fund leaves $100B for the other two. So they would need to underperform by either >3.9% or >6.6%. I have had trouble finding exact numbers for those funds, so I can't determine if that's really the case or not.
However, this assumes RenTec is unable to beat the market at all. Maybe they really can beat it, but by only 2-3% per year. They can still funnel that outperformance into the smaller fund to turn it into 66%/39%.
Re: Renaissance Technologies
#100Note that RenTec also runs two other funds that are larger than the Medallion Fund, but both under perform the index. On a completely unrelated note, if I were interested in creating a fund that appeared to have market beating returns for decades and I wasn't concerned about the legal consequences, here's one way I might do it: I would create fund A and B and seed them with some initial capital. For fund A, I would c…
In the scenario you're outlining, the Medallion Fund's yearly returns would be capped by the underperformance of the other RenTec funds. There are two problems with this scenario: 1) The Medallion fund has been outperforming since the 90s, while the other funds opened in 2005. 2) The Medallion fund has extracted vastly more than would be available from RIEF/RIFF underperformance.
Not necessarily. Using the weight of the big funds to put your thumb on the scale of the market could absolutely shift market prices in a way that can be exploited to reap more reward than is lost. In fact, it is a good explanation for why the medallion fund is size-limited.
Also, as someone else noted, there is a 10x size difference between the two pools of money. So the big fund can “lose” 1% which generates a 10% increase in the small fund. Then you advertise that you are capable of incredible returns to induce people to invest in the big fund. Another reason why the small private fund is limited in size.