161–170 of 261 posts
Earlier quoted context omitted.
Think there are many others (you mentioned one of them e.g., TGS) but they are not in the same league as RenTec's medallion fund.
TGS is comparable to Medallion. The two have competed for talent in the past, and TGS actually spreads higher AUM over fewer people. TGS just doesn't have satellite funds, so they're quieter.
Note 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.
There's no way the incentives from something like this SEC program could outweigh the economics of being high up within Rentec. [No dog in this fight about theorizing fraud vs. legit, just saying the SEC gap is multiple orders of magnitude in incentives here.]
While I understand there are moral and ethical complications with the vast sums of wealth and influence attached to RenTec, the tone in these comments is disappointing... There is no fraud at RenTec, and there is nothing magical about what they do. It's simply an amazing technical and scientific organization, operating with almost unthinkable efficiency and scale. I haven't read the book, but I'm pretty sure this isn…
We're hurtling at an accelerating rate to ecological ruin, with millions (hundreds of millions?) of deaths a plausible outcome in the next 100 years, not to mention a fall in the standard of living for basically everyone, and our best and brightest are doing the Manhattan Project of cash.
As a stupid person, I can't do much other than shrug - hell, I can't even say I wouldn't do the same as these brain-genius PhDs if I had their capabilities. But it still kinda sucks, is all.
I use to service pools back in high school on the north shore of long island. And I remember doing Simons house, unbelievable property. The house keepers house was 5x bigger then mine..and the pool was massive, right on the edge of a cliff overlooking the long island sound. Sry if its offtopic but this read made me think of it!
My bet it's some Frankenstein advanced brain machine interface device using the combined consciousness of 10,000 cryogenically preserved heads in a secret cliffside bunker. /s
Note 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…
To be frank, running this sham for 30 years sounds less plausible to me than beating the market the boring way. How would you stop investors in your two public funds (and their accountants) from asking pointed questions about disbursements from one fund to the others? Do you plan to fool them for this amount of time, or bring them into the conspiracy? And how will you sustain the conspiracy when your other two funds…
Earlier quoted context omitted.
There would be no disbursements from one fund to the other. Fund A would purchase an asset slowly over time. When it has finished purchasing the asset, fund B would purchase that asset quickly at a scale large enough to increase the market price of it. As the price rose, fund A would sell its position. The net effect is that fund A sees increased returns and fund B sees decreased returns.
This is throwing any efficient-market hypothesis out the window. Msybe this would work for a year, but why would anyone invest in fund B if it is a consistent loser. If you can figure out a way to slowly buy an asset and then quickly buy more of it and make both strategies profitable at all, then you're onto something huge. Almost as huge as Ren Tech
It blows my mind how much RenTech does with some ~300 employees. I recently had a phone screen with them (no offer otherwise I wouldn’t be writing this) and all of my communication was with this MIT math PhD. No HR, just the PhD. Compare them with a Big N that has 10,000s of SWE’s. It’s a safe assumption that each engineer is individually less talented but even so, how do they iterate/experiment with such few employe…
Faster!
I’m not a bot but I am always posting relevant and recent (2017) New Yorker articles that are worth reading: https://www.newyorker.com/magazine/2017/12/18/jim-simons-the... And this interesting theme: > Foundations are not taxed, so much of the money that supports them is money that otherwise would have gone to the government. Scientific mega-donors answer to no one but themselves. Private institutes tend to have boa…
Earlier quoted context omitted.
The point of Sharpe is that it’s invariant with respect to leverage. Anything with sharpe 3+ is extremely impressive - that’s 3 sigma, assuming normal returns that’s like 2% tail event.
Yes, but Sharpe calculated ex post is also subject to survivorship bias. For example, you might make a (successful) bet that works only in a low-volatility environment; if it works, your ex post Sharpe ratio will look ingenious.
But, if a given fund (Medallion in this case) is able to thrive/survive during the 1998 Russian financial crisis (which felled LTCM), the 2000-2004 tech bubble bursting, the 2007 quant quake, the 2008 financial crisis, and 2010 flash crash, it would seem to suggest that their statistical arbitrage strategy performs well in all manner of environments.
After their very hefty 5/40 fees, their worst year between 2001 and 2013 was a 21% gain [1].
I understand that there are all manner of epistemic and mathematical problems that prevent us ever from completely disentangling luck and skill, but a conceptual framework like "The Superinvestors of Graham and Doddsville" would seem to apply here. I.e., after a long period of consistent overperformance, the case for skill starts to look much more likely.
A great book about RenTec and Jim Simons came out recently: The Man Who Solved the Market: How Jim Simons Launched the Quant Revolution. Everyone in the industry worships Simons and RenTec as practically god-like. What they've managed to do shouldn't really be possible and is out of this world. According to Wikipedia over a 20 year period between 1994 and 2014, RenTec realized an 71.9% annualized return in their inte…
Hold on, it's not comparable to the ~10$ CAGR of the SP500 is it? RenTec's fund is capped so it's an average return of 71.9% but not an annualized return, since the returns are not compounded. Correct?