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Jim Simons has died

simonsfoundation.org

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Re: Jim Simons has died

#281

Post by eru »

agumonkey wrote: post #90
1024core wrote: post #44

Earlier quoted context omitted.

IIRC his fund averaged around 30% gains per year, every year, over 30 years. (I'm going from memory here, too lazy to look it up). That is just such an unbelievable performance number.

I'd still wish to have details on this (I too heard of similar numbers for his fund before), because in my newb eyes .. such returns would mean they could absorb a huge chunk of the planet liquidity.

How do you 'absorb' liquidity? Are they like some kind of financial kitchen towel?

Re: Jim Simons has died

#282

Post by eru »

chronic640201 wrote: post #141
tombert wrote: post #103

Earlier quoted context omitted.

That is insane . Like, completely insane, shouldn't-be-possible insane. I guess the theoretical limit to how much money you could make in the market is "the sum of all volatility", but I wonder how realistically possible it would be to even dream of beating 62% yearly.

Mathematics can only take you so far. At the end of the day, people run the exchanges. Not math. The returns of modern HFT market makers are even higher. With their unfair “business” advantages such as PFOF, privileged dark pool and block trade access, and military internet infrastructure. Think 60%+, per year, at least. Over 10-20 years, of course.

> The returns of modern HFT market makers are even higher.

The returns of a child's lemonade stand are even higher...

Market makers and lemonade stands are mostly about paying for labour (and ideas etc, but let's call that 'labour', too). Capital requirements are rather low. So taking all the profit and attributing it to capital returns tends to give you weird numbers.

Re: Jim Simons has died

#283

Post by eru »

tombert wrote: post #263
chronic640201 wrote: post #141

Earlier quoted context omitted.

Mathematics can only take you so far. At the end of the day, people run the exchanges. Not math. The returns of modern HFT market makers are even higher. With their unfair “business” advantages such as PFOF, privileged dark pool and block trade access, and military internet infrastructure. Think 60%+, per year, at least. Over 10-20 years, of course.

That doesn't surprise me; doesn't Citadel keep the entire bid-ask spread for every transaction they facilitate? Presumably between that and arbitrage opportunities that pop up from option contracts alone, I have no doubt that market makers clean up pretty well. They wouldn't hire me either!

Citadel has plenty of competition, eg from Jane Street. The markets for market making are some of the most efficient markets on the planet.

Re: Jim Simons has died

#284

Post by mgfist »

TeaBrain wrote: post #160
chollida1 wrote: post #101

Earlier quoted context omitted.

it was 62% per year for 33 years.

Their returns worked out to something like an average of 39% per year after fees, which is the figure I've heard cited. This may be what they were thinking of. Renaissance was/is known for having higher fees than likely the entirety of their competition, which they can get away with since their returns still outstrip the rest after the higher fees.

The fund is closed off to outsiders, so the fees are don't matter in the same way they do for most funds. In the podcast episode on Rentec done by Acquired, the hosts speculated that rentec kept the high fees as a way to ensure they have enough to handsomely pay less tenured employees who don't yet have much money in the fund.

Re: Jim Simons has died

#285

Post by mgfist »

real0mar wrote: post #215
filoleg wrote: post #18

Earlier quoted context omitted.

His whole RenTech story was fascinating. Effectively an outsider in finance who gathered a bunch of other outsiders (aka big mathematicians), and decided to start a hedge fund that takes zero interest in the actual companies and trades solely on math. Which makes sense, since none of the main people involved in its creation had any corporate or finance experience, but tons of math experience and knowledge. This is ov…

Does the book cover anything about how the fund actually works? It's understandable that they'd want to keep a tight lid on it, but I'm so curious

The book covers some earlier aspects of the strategy. And I think the "spirit" of the strategies exists today, though tangibly very different and not actionable.

Re: Jim Simons has died

#286

Post by mgfist »

FredPret wrote: post #79
infecto wrote: post #69

Earlier quoted context omitted.

And RT has been around for about twice as long as Google. Has a headcount of around ~300.

It's truly inspiring that they've been able to keep their headcount low over a long period of spectacular success. Most organizations would have choked themselves on tens of thousands of bad hires long ago.

The incentives at rentec favor low employee counts. The main fund is both limited to insiders and limited in total capital, so every new hire is judged by how much they can improve returns, if they cost more than they improve, than they're a pure net negative.

This is different from most orgs who can grow revenue through expansion of some sort, in which case the incentive often favors adding new employees. Not to mention the tendency for people in tech to be evaluated by how many people are in their org, further incentivizing adding headcount to signify your importance.

Re: Jim Simons has died

#287

Post by mgfist »

bcherny wrote: post #273
mushufasa wrote: post #16

Last month an amazing biographical podcast came out describing his personal journey to starting rentech, and the factors that make the business so competitive. Certainly worth a listen https://www.acquired.fm/episodes/renaissance-technologies

I listen to Acquired religiously, but felt this particular episode was pretty weak. They went through Zuckerman's The Man Who Solved the Market [0] chapter by chapter, butchering a few parts because the hosts don't know quant finance well (though they seem to know VC and product very well). I'd recommend just reading the book instead. I'd also recommend Derman's My Life as a Quant [1] for a broader take at other firm…

It's tough because of how little material is out there.

I will say, I thought their hypothesis on why the fees are so high was very astute. Can't know if it's true or not, but it feels very compelling.

Re: Jim Simons has died

#288

Post by bcherny »

mgfist wrote: post #287
bcherny wrote: post #273

Earlier quoted context omitted.

I listen to Acquired religiously, but felt this particular episode was pretty weak. They went through Zuckerman's The Man Who Solved the Market [0] chapter by chapter, butchering a few parts because the hosts don't know quant finance well (though they seem to know VC and product very well). I'd recommend just reading the book instead. I'd also recommend Derman's My Life as a Quant [1] for a broader take at other firm…

It's tough because of how little material is out there. I will say, I thought their hypothesis on why the fees are so high was very astute. Can't know if it's true or not, but it feels very compelling.

The wealth transfer hypothesis I didn’t really get, but their other hypothesis that it’s a way to nudge non-employees out of the fund is probably right.

Re: Jim Simons has died

#289

Post by eigenvalue »

paulpauper wrote: post #221
qq66 wrote: post #100

Earlier quoted context omitted.

The thing is that he genuinely loved math. I don't think there's really anyone in his orbit who loves math as much. His family is his family and his colleagues love money. We'll see in the coming months and years whether he was able to create a structure that continues his legacy but usually the answer to that question is no.

I think it's doable. Institutions under top leadership can thrive long after its founders die. This is true of almost every Fortune 500 company. I am sure there is enough redundancy to continue the foundation's goal. Carnegie foundation or Ford foundation, or Apple computers after jobs died .

I’d argue that Ford and Carnegie foundations are not good examples here, having veered very far from the intention/goals of the original donors into directions that are arguably diametrically opposed. Essentially they were hijacked from within by hired “professional managers” who pursued their own agendas. Maybe in the future we can set up AIs to make the decisions on our behalf after we’re gone, because humans are extremely unreliable over longer time frames!

Re: Jim Simons has died

#290

Post by richrichie »

anonu wrote: post #192
benreesman wrote: post #167

What a loss. I hope I join the community in wishing the best for his loved ones. But also what a life. He could have quit 10, 20, 30, 40, 50 years ago and been in the history books. What’s now called Chern-Simons is a monumental result in topology that IIRC dates to the mid-60s. Then he empirically disproved the strong-form EMH, a result in economics of which I’m unaware of any peer in its conclusiveness. Then he bui…

> Then he empirically disproved the strong-form EMH Not clear as we do not really know exactly how RenTech works. It is believed that there are substantial tax loopholes that were taken advantage of - which would go a long way (not all the way) to explaining the incredible performance of his fund.

Rentec gets a lot of leverage and gets ridiculous pricing on option trades from the banking desks because of the flow they bring.
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