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Renaissance Technologies

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211–220 of 261 posts

Re: Renaissance Technologies

#211

Earlier quoted context omitted.

> here's no outside investors in the Medallion fund anymore, so if it is a scam, they would only be scamming their own employees The "it's a scam" theory that I heard had nothing to do with it being a Ponzi scheme, instead it was about laundering high-tax income into low-tax capital gains while maintaining a plausibly deniable investment cover story. It didn't have to beat the market, it just had to beat regulators.…

The book actually covers this. What they did is somewhat complex and involved obtaining leverage as much as the tax savings but basically they turned short-term capital gains into long-term gains. That saved something like $7bn, iirc, out of the $100bn in net profit they have generated...so it is not significant.

> What they did is somewhat complex and involved obtaining leverage as much as the tax savings but basically they turned short-term capital gains into long-term gains.

That sounds like misdirection. It's very common for hedge funds to use tons of leverage. It's not like getting this level of leverage is an unsolved problem.

On the other hand reducing your tax rate from 37% to 20% increases your returns by 27%. Even that would be valuable, but the real number is probably even more than 27%.

Re: Renaissance Technologies

#212
post #18

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…

> And before someone says that it's a scam, there's no outside investors in the Medallion fund anymore, so if it is a scam, they would only be scamming their own employees. And if that was the case, I think we would know.

There are other possibilities. For example shifting profitable trades that occurred in their external funds to their internal funds. In which case it is partly a 'scam' and they would not be scamming their own employees.

Re: Renaissance Technologies

#213
post #200

Earlier quoted context omitted.

Sounds like you've assumed that rentech are running the same volatility as the S&P 500. That's very unlikely to be true - most systematic hedge funds ran crazy high risk in the '80s and '90s. But even if you assume it's a coin toss as to whether they perform well in any given year, twenty good years in a row is impressive. My best guess is that it's a combination of luck, skill, and hindsight bias. Rentech probably h…

I'd be curious what their risk-adjusted returns are, especially in a leverage free environment. Anybody know where to find such information for RenTec (or other hedge/mutual funds for that matter)?

idk about medallian but capacity-capped HFAT funds can be near zero risk. I remember one HFAT firm went public and their S1 filing revealed they had lost money on like 5 days out of 5 years. It's not really 'prediction' or 'investing' in the sense generally implied

Re: Renaissance Technologies

#214
post #140
post #18

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…

The "it's a scam" angle is they're insider trading.

SAC Capital says hi

Re: Renaissance Technologies

#215
Back in late 2017, RenTec made an unusual move of raising capital to capitalize on "market opportunities arising from Trump’s presidential victory":

https://www.bloombergquint.com/business/renaissance-s-medall...

By Occam's razor, it is more likely that Robert Mercer made use of his close ties with Trump administration to gain insider knowledge, than RenTec consistently having superior quantitative analysis than their competitors in an extremely competitive and saturated industry.

Re: Renaissance Technologies

#216

Earlier quoted context omitted.

This is really interesting, and what I'm about to say makes me feel more bleeding-heart than I feel I am most days, but there's something deeply melancholy about the fact that this collection of the best intelligence our species has to offer, working together to achieve something utterly unheard of - so unheard of that many other smart people think there's something criminal going on - is exerting its collective effo…

The problem is that our society is terrible at rewarding positive externalities. Even worse than we are at punishing negative externalities. I do object to your phrasing. Quantitative finance isn't hacking a casino. It does generate actual value. The problem is that finance is one of the few fields where you can expect to be rewarded in proportion to the value you generate because the amount of value you generate is…

Thanks for this. What you say about proportion of compensation makes a sort of sense, but I don't have the chops or the knowledge of the field to evaluate it. The 'easy to measure' thing is definitely insightful and useful to me as I think about it. Money does have that clarity to it.

The "hacking a casino" thing I'll defend, though: to the extent that getting better at gambling games and finance both can involve prediction, probabilities, data collection, and the like, I don't see how the analogy fails on anything but its crudeness, which I'll happily grant (while also saying I was going for a chuckle with it). I didn't mean to imply that getting good at either is something to be embarrassed about, only that it feels a little ... maybe "small", next to other concerns. I think that superlatively intelligent people do have god-given opportunities the rest of us don't have, and that while they're free to do as they please, the rest of us sometimes hope they'll use them wisely (and, selfishly in this case, to our benefit in some small way).

I'll also say that I meant "hack" in the older, more optimistic 1970's way, like "figure out what makes it tick and do cool things with it" instead of the more sinister modern sense. I don't attribute any malice or ill intent to Simons/RenTec, at least not without evidence.

I guess I could reinterpret/update my comment in light of what you've said to now say that "whatever value these men and women are creating inside this secretive firm, there's a strong case to be made that it's not the most urgent or needed kind these days".

I'm curious and sincerely so, though, when I ask: what actual value does quantitative finance create?

Re: Renaissance Technologies

#217

Earlier quoted context omitted.

I would argue its because academic success is more related to having a great memory than having novel intelligence

I am sure I have no idea why this it is the case. But I would characterise the "novel intelligence" as a combination of creativity and common sense. RenTech aren't hiring smart people. They are hiring people with technical ability and with a proven track record for solving very open-ended problems. AHL is mainly hiring grads, definitely very smart people with strong postgrad quals but with no real track record. This…

Right, I've worked at quant funds and met a ton of people at different funds. The weird thing about hedge funds, is that until recently, prestige and outward appearance have been traditionally more important than returns. This is changing now, especially with ETFs and the explosion of passive management and the media exposure/public discussion about how finance has really been about money managers making themselves rich, at the expense of institutional investors and pension funds. Its a business, where the model is not returns, but instead the appearance of a coherent brilliant investment philosophy.

For example, AQR (which is more of a mutual fund I know, but its a prime example) is known for hiring based on academic prestige, and the returns have been absolutely dismal. But they have a specific "investment philosophy" and a brand name, so the game is to never admit that their strategy is a failed one. They cant outwardly say their strategies dont work. Its the same with replacing a bad portfolio manager, funds whos portfolio managers are well known cannot switch them easily, as soon as investors discover a big internal change (like high up management/PMs leaving) they know something is wrong and may pull their money.

This all ties in to how they hire, with school prestige usually the most important criteria. I worked at one place where everyone on my team went to either princeton, yale, or wharton. They were all intelligent, energetic, on the ball. None of them were "exceptional". Whats worse, none of them could program, none really knew statistics, etc, but they were all "Data Scientists". I was appalled at the amount of money being made and how much these guys were being paid.

This is in contrast to places like Citadel or Two Sigma. Whose business model still holds prestige, but is basically already a well oiled machine. Citadel doesnt need a brilliant mathematician like Jim Simmons, they need a smart guy that can crank out work, who fits as a cog inside their money printing machine. Citadel is better at things like HFT, some alternative data etc, but its a calculated better, they know where to get their edge, how to get it, and who to hire for it. Its a business where the employees can be plugged in.

Re: Renaissance Technologies

#218

The 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?

Maybe because no one sees the working.

Re: Renaissance Technologies

#219
post #199
post #132

Earlier quoted context omitted.

Don't forget the yachts in the Stony Brook marina! I always smiled as I passed the giant 'Matrix Rose'. No need to ask where the money for that one came from.

Just googled the yacht - its pretty small for someone of his wealth. Check out the late Paul Allen's yacht Octopus or MY Eclipse for what some billionaires go for.

Let's see Paul Allen's yacht...

...look at that tasteful off-white coloring, the thickness of it. Oh my god -- it even has a water mark.

Re: Renaissance Technologies

#220
post #131

Earlier quoted context omitted.

In the book (“The Man Who Solved the Markets”), the author actually provides the Sharpe ratios for their flagship fund (“Medallion”). Medallion’s Sharpe Ratio has almost never been below 2.0, and has been as high as 7.0 (!!!) in some years. I’ll link to the Wikipedia page below for the math, but these figures would highly suggest that their returns are much less likely the result of luck, and more likely the result o…

Well I'm saying it's both skill and luck, combined with hindsight bias. They're famous because Medallion is the best performing quant fund . Even if quant funds were just chumps tossing coins, if you pick the best of a number of them, you'll get something that looks good. Now that maths still doesn't stack up that they were just lucky - they probably had skill too. But I think it's more likely that they had a modest…

Given that they're selected for being the very best returns, it's probably a decent (but not completely exceptional) combination of every factor- skill, luck, laundering, connections, etc.

https://www.lesswrong.com/posts/dC7mP5nSwvpL65Qu5/why-the-ta...

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