71–80 of 195 posts
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This was no expert, but an academic... those who can't do, teach...
Yeah, those useless academics. https://en.wikipedia.org/wiki/List_of_Nobel_laureates_by_uni...
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3x leverage ETFs rebalance daily, so you would still have some money since the biggest single day loss of Nasdaq is ~10%.
Incidentally this also means that if you buy the etf on day 1 and the underlying is at 100, on day 2 the underlying falls to 99 then on day 3 goes back to 100 then you would be left with less than 100% of what you started with (assuming perfect tracking and no fees).
https://smabie.github.io/posts/2019/10/04/vol.html
It involves deriving “perfect” leverage ratios and talks about some other interesting (imho!) stuff.
Of the wild theories I've heard to explain the Medallion Fund, my favorite is the "money wormhole." I have no finance qualifications whatsoever -- I just stick my money in index funds -- but I love a good conspiracy theory, so here goes. The idea is that you have two theoretically unrelated funds that take complementary positions with uneven odds. One sacrifices performance for the other, effectively transmitting mon…
Say you have a $200B state pension fund - you invest a portion in the loser fund, earn a portion back as personal wealth on the winner side.
Earlier quoted context omitted.
3x leverage ETFs rebalance daily, so you would still have some money since the biggest single day loss of Nasdaq is ~10%.
Incidentally this also means that if you buy the etf on day 1 and the underlying is at 100, on day 2 the underlying falls to 99 then on day 3 goes back to 100 then you would be left with less than 100% of what you started with (assuming perfect tracking and no fees).
>Robert Mercer, the former co–chief executive of Renaissance Technologies, allegedly told a friend that Medallion was right 50.75 percent of the time when it came to its millions of trades — adding that “you can make billions that way.” Totally not a finance guy, but how can this be true with drawdowns? The losses are worse than the gains- if you had $100 and take a 33% loss, it would take a bit more than a 50% gain…
I'm no finance expert but doesn't this all seem way too good to be true? At first I was reading this and thinking "how is this not exactly like Bernie Madoff?" Then they say "The Medallion fund has been closed to external capital since 1993 ... whatever profit they make, they pay out". So clearly it can't be a ponzie scheme? Still, it seems too good to be true. If financial experts are stumped as well then that also…
OK, what behaves like a Ponzi scheme that lasts too long? Money Laundering of assets on a national scale, e.g., for oligarchs who have taken 95% of a nations' wealth. Their biggest problem is to get it "legitimately" into the international money system. If the fund owners have really discovered a technological "secret sauce", why isn't it working in their other funds? Not a conclusion, but a valid open question.
>Robert Mercer, the former co–chief executive of Renaissance Technologies, allegedly told a friend that Medallion was right 50.75 percent of the time when it came to its millions of trades — adding that “you can make billions that way.” Totally not a finance guy, but how can this be true with drawdowns? The losses are worse than the gains- if you had $100 and take a 33% loss, it would take a bit more than a 50% gain…
((1+bet)^(0.5+edge))*((1-bet)^(0.5-edge)))
= ((1-bet^2)^0.5 * ((1+bet)/(1-bet))^edge
My long standing hypothesis on Medallion is that they figured out how to apply gauge theoretic techniques to financial markets. This fits with Simons work that he did before he founded the fund. The fact that gauge theory is applicable to for example currency trading is folk knowledge in the Havard, Princeton, IAS circles (here is for example the lecture notes of a popular lecture by Maldacena that uses currency trad…
My long standing hypothesis on Medallion is that they figured out how to apply gauge theoretic techniques to financial markets. This fits with Simons work that he did before he founded the fund. The fact that gauge theory is applicable to for example currency trading is folk knowledge in the Havard, Princeton, IAS circles (here is for example the lecture notes of a popular lecture by Maldacena that uses currency trad…
No. Listen to the Talking Machines podcast with Nick Patterson (who was a senior VP in research at RennTech for a long time). To paraphrase he says that the vast majority of their strategies are no more than simple linear regression. The challenge is that even though regression is conceptually simple it still takes smart people to answer questions like "what should you be regressing", or "should you apply any transform" or "how should you clean your data" or "do you understand the process well enough to realize when results are obviously unrealistic".
The thing that makes a firm like Renaissance a league above a firm like Two Sigma is the same thing that makes Two Sigma a league above a firm like Winton. It's not mathematical gnosticism, it's plain old operational excellence. It's things like expansive reliable curated datasets, deep expertise on market structure, good execution systems, powerful research and backtesting software, good access to markets, economies of scale, talented practitioners, and excellent organizational management.
The hedge fund business is and has always been based on insider trading. Ockham’s razor looms large over this conversation.
If that were true, you’d expect that as a group they would have better risk adjusted returns. I personally have not witnessed any insider trading in the industry and suspect it quite rare nowadays. It was more common in the past, though.