Hacker News Board Hacker News, browsed like a classic message board
Live data from Hacker News

The making of Jim Simons

wsj.com

Post reply on HN
Print view View original

31–40 of 49 posts

Re: The making of Jim Simons

#31

Post by mbostleman »

neplus wrote: post #11
hnhg wrote: post #9

Earlier quoted context omitted.

In what timescale though? There are huge differences between the timescales of "realtime" (say HFT), a second later, a minute later, an hour later, a week later and so on. Do they operate at all of them? I have no specialist knowledge, btw, I'd sincerely like to know!

If you're interested in this, you'll likely enjoy Gregory's interview on Masters in Business (a Bloomberg podcast) from last Wednesday. Also, Gregory's book will be out in a few days. If memory serves, in the aforementioned podcast Gregory mentions that the RenTech generally holds most things for a few days (sometimes a few hours). However, they don't engage in HFT or HFT-like trading. This was surprising to me as I…

In the podcast he said two days was average. And on frequency, he called them medium.

Re: The making of Jim Simons

#32

Post by throwawaymath »

VladimirIvanov wrote: post #30
Ragib_Zaman wrote: post #28

Earlier quoted context omitted.

Flip side to this - I remember studying a series of papers in statistics/optimisation/machine learning with highly non-trivial content published between 1998 and 2008 by the Della Pietra brothers. I had assumed they were mathematicians/statisticians at some major research university. At the bottom of one of these papers it had some personal blurbs which stated they had both been at RenTech since 1995 working on "stat…

Do you remember what the titles of papers? I'd like to read them.

You can find a bunch of papers published by people at RenTec. Search MathSciNet for "Renaissance Technologies" as the corporate affiliation for the author.

Likewise, search Google Scholar for "@rentec.com", or "Renaissance Technologies."

Re: The making of Jim Simons

#33

Post by qeternity »

melling wrote: post #2

“Jim Simons looked to math and computers as ways to eliminate the emotional ups and downs of investing. “I don’t want to have to worry about the market every minute. I want models that will make money while I sleep.” “ Mr. Simons developed a unique perspective. He was accustomed to scrutinizing large data sets and detecting order where others saw randomness. Scientists and mathematicians are trained to dig below the…

Warren Buffet was not a math professor...

Re: The making of Jim Simons

#34

Post by doctorpangloss »

rjdagost wrote: post #21
arzt wrote: post #6

I wonder if anyone has insight into how they have been able to do this consistently in the modern era of quantitative trading (this article had scant detail)? His returns are such an outlier and strategies such a closely guarded secret that they leave people on Wall Street in awe.

To my knowledge, all he has ever said on the subject is: "I think people would be quite surprised if they knew how simple our methods are". You probably won't ever hear more information than that, until their strategies stop working.

> anyone has insight

In a world where all their statistical arbitrage has ceased to be viable, financial professionals believe that the outsize returns of the Medallion fund in recent history are siphoned from their institutional funds via shell games.

Then, their famous ability to make money even in down markets is attributed to how they smooth out an extremely profitable short term trade, that may have occurred years ago, over the course of many years. This sort of surfaced in their tax avoidance lawsuit too.

You too can make a "Medallion Fund." First, make a venture investment in something that turns out to be Facebook. Keep that equity secret, even when Facebook goes public. All that time, say that your fund has gained 15% year over year, even during a recession. Do this for years until you have taken your 2% management fee to your liking. You've turned your 200x return that happened all at once into something that looks like the world's greatest hedge fund. Lawfully of course.

Re: The making of Jim Simons

#35

Post by throwawaymath »

qeternity wrote: post #33
melling wrote: post #2

“Jim Simons looked to math and computers as ways to eliminate the emotional ups and downs of investing. “I don’t want to have to worry about the market every minute. I want models that will make money while I sleep.” “ Mr. Simons developed a unique perspective. He was accustomed to scrutinizing large data sets and detecting order where others saw randomness. Scientists and mathematicians are trained to dig below the…

Warren Buffet was not a math professor...

They're referring to Simons; over a 30 year period RenTec's Medallion Fund has beaten Berkshire Hathaway.

Re: The making of Jim Simons

#36

Post by throwawaymath »

doctorpangloss wrote: post #34
rjdagost wrote: post #21

Earlier quoted context omitted.

To my knowledge, all he has ever said on the subject is: "I think people would be quite surprised if they knew how simple our methods are". You probably won't ever hear more information than that, until their strategies stop working.

> anyone has insight In a world where all their statistical arbitrage has ceased to be viable, financial professionals believe that the outsize returns of the Medallion fund in recent history are siphoned from their institutional funds via shell games. Then, their famous ability to make money even in down markets is attributed to how they smooth out an extremely profitable short term trade, that may have occurred yea…

No, that wouldn't work. The options basket strategy you refer to did have nontrivial tax advantages, but

1) Those tax advantages can only improve returns which are already fundamentally strong, and

2) There is no "smoothing" effect achieved; the options baskets do not defer returns for years at a time.

I get that the cynical take is, as ever, the attractive one on Hacker News. But speaking frankly, what you're saying doesn't actually make sense. Among other problems with your explanation, there's a straightforward wrinkle. While it's not available to the general public, other institutions like Bloomberg and WSJ have had (and still have) access to audited attestations of Medallion's track record over a timespan of 25 years.

Re: The making of Jim Simons

#37

Post by dmix »

SkyMarshal wrote: post #27
bradleyjg wrote: post #18

Earlier quoted context omitted.

Bill Gates? Haven't read an even slightly negative article about him in more than a decade.

B/c for the past decade he’s been eradicating malaria and being a legit hero. Not a whole lot to complain about Gates during that time frame.

So basically yes, other billionaires have indeed generated plenty of positive coverage while doing legitimate good in the process.

Jim Simons is not yet a household name yet like other billionaires, such as most of the ones who've donated at least half-their-wealth.

Re: The making of Jim Simons

#38

Post by codingslave »

throwawaymath wrote: post #26
codingslave wrote: post #7

Earlier quoted context omitted.

They built a system where any data set can be pushed in, joined with the rest of the data, and then automatically made inferences off of for trading.

This isn't really correct. Renaissance has always put massive personnel and technology investment into its data processing and analysis pipeline. But there is no "automatic inference" generation. It's not so much brute forcing alpha as it is streamlining the process of hypothesis testing for research scientists so that strategies can be very rapidly generated and examined. Automatic inferences would be susceptible to…

I work at the intersection of quant finance and fundamental analysis, it can absolutely be automated. The question of what can be determined from raw data like credit card transactions and mobile phone locations is a whole topic in itself, but thinking that you need manual intervention to trade on those signals is completely misguided and its a waste of time for me to argue with you

Re: The making of Jim Simons

#39

Post by jandrewrogers »

arzt wrote: post #6

I wonder if anyone has insight into how they have been able to do this consistently in the modern era of quantitative trading (this article had scant detail)? His returns are such an outlier and strategies such a closely guarded secret that they leave people on Wall Street in awe.

I have anecdotal insight. Many years ago I met with Jim Simons a few times. He had taken an interest in some of my theoretical computer science research (by referral, it was never published). I don't know any details of their strategies but one could infer it from their specific theoretical interests in those conversations.

My impression was that they were doing sophisticated sparse signal reconstruction and then applying some pattern induction algorithms against those signals. The former was, to the best I could discern, absolute state-of-the-art; the latter was merely competent (I've never talked to anyone that was exceptional at this bit). It has been a while but my impression was that a real strength was that this process was highly automated and general, so it could be thrown against almost arbitrary data sources. It is not difficult to imagine how one could build a sustainable and significant edge with this capability. I could be wrong but I don't think I am that far off. Very good math brains, even compared to many of their peers, based on my limited exposure.

I find their performance believable, given the above.

Re: The making of Jim Simons

#40

Post by spac »

doctorpangloss wrote: post #34
rjdagost wrote: post #21

Earlier quoted context omitted.

To my knowledge, all he has ever said on the subject is: "I think people would be quite surprised if they knew how simple our methods are". You probably won't ever hear more information than that, until their strategies stop working.

> anyone has insight In a world where all their statistical arbitrage has ceased to be viable, financial professionals believe that the outsize returns of the Medallion fund in recent history are siphoned from their institutional funds via shell games. Then, their famous ability to make money even in down markets is attributed to how they smooth out an extremely profitable short term trade, that may have occurred yea…

“The fund has been closed to outside investors since 1993 and is available only to current and past employees and their families. “ https://en.m.wikipedia.org/wiki/Renaissance_Technologies
Post reply on HN