Hedge-fund managers that do the most research will post the best returns
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Re: Hedge-fund managers that do the most research will post the best returns
#2Wouldn't some sophisticated shops potentially use crawlers, etc. hosted from cloud providers (i.e., third-party IPs) that might significantly skew this data?
Re: Hedge-fund managers that do the most research will post the best returns
#3I don't think they can really draw this conclusion. There are a great number of additional factors at play and accessing public sec records is a bit of a red herring. Especially considering that the funds they have listed as examples are primarily large high frequency algo funds (Renaissance and AQR) and are even less likely to find much utility in intermittent public filings. This may however be an indicator of diligence, but trying to link public information to a big increase in performance is somewhat far fetched.
Re: Hedge-fund managers that do the most research will post the best returns
#4I don't think they can really draw this conclusion. There are a great number of additional factors at play and accessing public sec records is a bit of a red herring. Especially considering that the funds they have listed as examples are primarily large high frequency algo funds (Renaissance and AQR) and are even less likely to find much utility in intermittent public filings. This may however be an indicator of dili…
Tradeworx is HFT. Yes, the premise of this paper is completely absurd. Drawing a line between overnight batch jobs for internal databases and performance is a quantum leap to say the least.
Re: Hedge-fund managers that do the most research will post the best returns
#5Wouldn't some sophisticated shops potentially use crawlers, etc. hosted from cloud providers (i.e., third-party IPs) that might significantly skew this data?
Yes, exactly. Wouldn't surprise me if most of these firms were rescraping the data every night and overwriting.
Re: Hedge-fund managers that do the most research will post the best returns
#6Wouldn't some sophisticated shops potentially use crawlers, etc. hosted from cloud providers (i.e., third-party IPs) that might significantly skew this data?
I assumed the sophisticated shops ran their own datacenters. Can you imagine RenTech running their code on other people's computers? I can't.
Re: Hedge-fund managers that do the most research will post the best returns
#7Wouldn't some sophisticated shops potentially use crawlers, etc. hosted from cloud providers (i.e., third-party IPs) that might significantly skew this data?
Yes, exactly. Wouldn't surprise me if most of these firms were rescraping the data every night and overwriting.
Why would they do that?
Re: Hedge-fund managers that do the most research will post the best returns
#8I don't think they can really draw this conclusion. There are a great number of additional factors at play and accessing public sec records is a bit of a red herring. Especially considering that the funds they have listed as examples are primarily large high frequency algo funds (Renaissance and AQR) and are even less likely to find much utility in intermittent public filings. This may however be an indicator of dili…
Do you know how these algo funds keep a competitive edge for so many years (e.g. Renaissance 30+ years)? I am trying to understand their "kind" of product innovation as in what are the biggest factors they are continuously trying to improve?
Re: Hedge-fund managers that do the most research will post the best returns
#9I don't think they can really draw this conclusion. There are a great number of additional factors at play and accessing public sec records is a bit of a red herring. Especially considering that the funds they have listed as examples are primarily large high frequency algo funds (Renaissance and AQR) and are even less likely to find much utility in intermittent public filings. This may however be an indicator of dili…
AQR is algorithmic but not high frequency, as far as I know. No one knows what strategies Renaissance employs.
Re: Hedge-fund managers that do the most research will post the best returns
#10I don't think they can really draw this conclusion. There are a great number of additional factors at play and accessing public sec records is a bit of a red herring. Especially considering that the funds they have listed as examples are primarily large high frequency algo funds (Renaissance and AQR) and are even less likely to find much utility in intermittent public filings. This may however be an indicator of dili…
AQR are certainly not a high frequency trading firm, and Renaissance may do some high frequency trading, but they are not primarily a high frequency trading firm. Where did you get that idea?
The paper explicitly addresses the point that large-scale systematic collection of public records may be indicative of the kind of fund that outperforms, rather than an indication that the public records add alpha in and of themselves - it's in the abstract
> The effect is not due to differences in fund type as the results hold within-fund.
I think you need a more convincing argument than just saying "There are a great number of additional factors at play" and "Trying to link public information to an increase in performance is far fetched".