Strange that I had to scroll to the bottom of the page to see Mercer's name mentioned. I think is high time we stop idolizing companies that enable scum people like Mercer to make tons of money and to negatively influence the lives of millions.
Strange that I think that a sarcastic reply that goes a bit further in moral punishment would be indistinguishable from a real reply these days. Mercer was practically forced to resign due to the backlash that his democratic political views generated against RenTech, but you deem the company as beyond redemption. You speak as if commenters here are idolizing, while being black-and-white religious and faux-cult-collec…
I can only call “idolizing” the act of speaking good of someone only because he has had “outsized financial returns”. Where’s the “hacker” spirit in that? Why is that important for the alleged audience of this website?
Cry me a river for poor Mercer who was “forced” to resign. Was that comment satire? Had Simmons not known who his CEO was before the “backlash”? Of course he did.
I didn’t get the corner part, must be an US thing. Apparently if you demand some intellectual decency you’re “religious” (?!?)
Thing is, with the amount of leverage they are running, it's more luck than skill. Luck means making big returns, skill means doing it with low volatility and high Sharpe.
You really don’t know what you are saying. The leverage is to boost absolute returns. Sharpe isn’t changed by leveraging. They are automated black box strategies making 1000s of trades a day with massive undeniable statistically significant information content.
Sharpe is actually changed by leverage due to volatility drag. Your Sharpe ratio gets worse and worse the more leverage you apply
Thing is, with the amount of leverage they are running, it's more luck than skill. Luck means making big returns, skill means doing it with low volatility and high Sharpe.
You really don’t know what you are saying. The leverage is to boost absolute returns. Sharpe isn’t changed by leveraging. They are automated black box strategies making 1000s of trades a day with massive undeniable statistically significant information content.
Thing is, with the amount of leverage they are running, it's more luck than skill. Luck means making big returns, skill means doing it with low volatility and high Sharpe.
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.
Sure, but volatility is not, hence the "low volatility" part of my comment.
Thing is, with the amount of leverage they are running, it's more luck than skill. Luck means making big returns, skill means doing it with low volatility and high Sharpe.
You really don’t know what you are saying. The leverage is to boost absolute returns. Sharpe isn’t changed by leveraging. They are automated black box strategies making 1000s of trades a day with massive undeniable statistically significant information content.
Someone's going to say this eventually, so it may as well be me. Rentech is not the only hyper successful fund. There are others, like TGS management ( https://www.google.com/amp/s/www.cnbc.com/amp/2014/05/09/mys... ) that are just as successful and who you've never heard of. What rentech has done is to have built an excellent data processing engine that automatically extracts signal from noise. Other, much more secr…
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.
hmm, I did not know that. Do you have some external links or returns to back this claim?
TGS is famously secretive. They went prop in the early 90s; no external investors. You won't find their returns anywhere. The only public data available (that I know of) is related to their charitable giving. https://www.bloomberg.com/news/articles/2014-05-08/three-mys...
No public data in recent years but if you dig a little deeper you can find bits and pieces here and there about their past. Not sure what name they trade under these days because I can't even find a 13-F.
Thing is, with the amount of leverage they are running, it's more luck than skill. Luck means making big returns, skill means doing it with low volatility and high Sharpe.
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.
Sharpe isn’t invariant with respect to leverage. Volatility drag implies that a leverage will always decrease your Sharpe, unless your volatility is 0.
I should add that Renaissance Technologies is hiring! https://www.rentec.com/Careers.action My group is looking for very strong Java/Kotlin developers.
Would you consider applicants that started off with a bad GPA in math and computer science courses but then made significant improvements as they progressed?
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 pre…
My experience is limited, so take with a grain of salt: my sense so far is that it helps stamp out any statistical/numerical inefficiencies in the markets that humans would otherwise be inefficient/slow to adjust to. For instance, if a straight up arbitrage opportunity exists across exchanges, automated strategies ensure that it goes away very quickly, much more quickly than discretionary human traders would. If there are proven statistical trends to the markets, then those should be acted on as well, because it means we'll arrive at the fair price of an asset sooner rather than later. A simple example: if a stock closely tracks the price of oil, and there's a quick uptick in the price of oil, it's better for the price of the stock to get immediately adjusted upwards rather than after a delay (and purely quantitative, automated strategies make this happen). I think the name of the game is that you have a bunch of people acting in their best interest, and thereby giving us an efficient market, which benefits the rest of the world by ensuring low slippage, fair prices, high liquidity, etc.