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ronin


Total Posts: 689
Joined: May 2006
 
Posted: 2018-11-23 20:35
It's not nice to laugh at other people.

Even when they are Igor.


"There is a SIX am?" -- Arthur

KitsuneMakai


Total Posts: 1
Joined: Mar 2019
 
Posted: 2019-03-18 22:28
Neither numerai or quantopian have posted performance of any note

HitmanH


Total Posts: 498
Joined: Apr 2005
 
Posted: 2019-03-19 02:20
"Neither numerai or quantopian have posted performance of any note"

Or ANY PERFORMANCE


HitmanH


Total Posts: 498
Joined: Apr 2005
 
Posted: 2019-03-19 02:27
Talking Igor, as some did, and then Quantopian.

So, within WQ, as I understand, there are some PM teams who are restricted to only use the alpha from students, WorldQuant University, WebSim etc. And it's not doing too bad (not as good as the core, but not bad).

So why doesn't Stevie C / P72 / Cubist put aside maybe 100 bucks (rounding error), and tell a couple of PMs that they have to ONLY use those Quantopian 'alphas' (i'm sceptical on quality). If it works, he can tell everyone, which will greatly increase his stake in Quantopian, if not, then can still make public statements about how great a public alpha contribution / payment model can be.

As a secondary step, could make junior researchers use / improve the backtesting / portfolio construction tools, which is surely a win/win?

ronin


Total Posts: 689
Joined: May 2006
 
Posted: 2019-03-20 14:57
> So, within WQ, as I understand, there are some PM teams who are restricted to only use the alpha from students, WorldQuant University, WebSim etc

I thought it was impossible to add anything on the topic of "Igor is weird", but touche. What fun it must be being a pm at WQ.

Don't know about SC. But in most of that stuff, hype >> reality. Actually putting it to the test would ruin the hype and wipe out 99% of the value.

"There is a SIX am?" -- Arthur

Maggette


Total Posts: 1325
Joined: Jun 2007
 
Posted: 2021-11-08 08:59
Jesus. I outperform "market neutral hedge fund" indices. I mean, who doesn't :).


https://medium.com/numerai/numerai-outperforms-market-neutral-hedge-funds-by-29-raises-up-to-150m-9df9a0ce642

Ich kam hierher und sah dich und deine Leute lächeln, und sagte mir: Maggette, scheiss auf den small talk, lass lieber deine Fäuste sprechen...

ronin


Total Posts: 689
Joined: May 2006
 
Posted: 2021-11-09 09:22
"I made *two* basis points! Take that, index."

But, in all seriousness, I didn't realise all they have in AUM is twenty bucks. Who cares what a twenty buck shop does?

My shop is bigger than that, and nobody cares what we do. And rightly so.

"There is a SIX am?" -- Arthur

EspressoLover


Total Posts: 490
Joined: Jan 2015
 
Posted: 2021-11-09 21:26
Fair enough criticism. And I've been a well known skeptic of Numerai on this forum. And I mostly continue to hold this attitude. But I am genuinely curious what drove their returns. Does anyone have color on this?

30% returns on beta-neutral with $20mn AUM certainly may not be Earth-shattering, but it certainly isn't nothing. TBH I'm kinda surprised they're able to generate any alpha with the process at all.

Either they're loading up on some sort of hidden beta. (Selling tail-risk maybe?) Or they're distilling out alpha from a process that doesn't seem like it should work. Either way, I'd really like to know more about what's going on here.

Good questions outrank easy answers. -Paul Samuelson

Maggette


Total Posts: 1325
Joined: Jun 2007
 
Posted: 2021-11-10 10:59
Would be my guess. Somewhere under the hood somebody is short Gamma ;).

But I am still intruiged. I am still not sure how they think they kept all information in their data set. I think it would be interesting to get more details on how they alloacate money.

Will have to take a closer look in the near future.

Found this one interesting too
https://forum.numer.ai/t/model-diagnostics-feature-exposure/899


Ich kam hierher und sah dich und deine Leute lächeln, und sagte mir: Maggette, scheiss auf den small talk, lass lieber deine Fäuste sprechen...
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