James
|
| NP High Priest |
| Total Posts: 2024 |
| Joined: May 2004 |
| |
|
Jim Simons runs the sort of house I expect the majority of us would like to be in. His style appears to be high-frequency of only deeply liquid futures.
But in all my readings about him, I still am not sure what approach he takes as he looks at historical data. My guess is that he has constructed a very large database of correlations across the most deeply liquid contracts and moves in and out of them accordingly. But still am not sure.
I suppose we've all read this:
http://www.charttricks.com/Articles/jim_simons.pdf
So, what do you think he does, and how does he do it.
I will leave 'why aren't we doing it?' to a conversation on the 'party plane' for the first one of us to buy a jet.  |
Prior to the publication of the Black-Scholes model in 1973, the quest for a valuation formula that would describe option prices reflected one of the most elusive goals in financial economics. Though much work was done in the 1960s, many of the insights and techniques used to solve the problem were presented or anticipated at the beginning of the twentieth century by Louis Bachelier, an obscure French mathematician. These innovations include the first graphical representation of option pricing, a mathematical description of stock prices utilizing Brownian motion and anticipating the efficient market hypothesis, and the first formal option pricing formula. |
|
|
 |
chiral3
|
| Founding Member |
| Total Posts: 5122 |
| Joined: Mar 2004 |
| |
|
| See James, I thought that was a place that everyone of us would like to work, where they have tea and colloquia every friday (reminds me of running to IAS for lectures). Then everyone was like "Ah, HF. You'd be a DB jockey". They are very secretive, and I have never interviewed there. I live on the north shore of long island, and the thought of commuting in the opposite direction is very appealing (Setauket), not to metion that I am trying to get to a fund now. Regardless, I guess people are torn on what they think they do out there. |
Nonius is Satoshi Nakamoto. 物の哀れ |
|
 |
Crassus
|
|
| Total Posts: 1194 |
| Joined: May 2004 |
| |
|
| I guess that he's not fooled by randomness. |
|
|
|
|
DW
|
|
| Total Posts: 507 |
| Joined: Jun 2004 |
| |
|
Whatever methodologies they are using it has certainly stirred some interest with their competitors. One rather well known hedge fund in chicago that I have undertaken some work for in the past was offering a sizeable bounty on anyone from Rentec, the same for the Timber Hill (Now part of IB) guys responsible for the automated equity vol trading systems. |
|
|
|
DW
|
|
| Total Posts: 507 |
| Joined: Jun 2004 |
| |
|
| Also James - I dont suppose that in addition to the article you have on Jim Simmonds you might also have the Institutional Investor article on David Shaw? There is an equally interesting one on Ken Griffin too. |
|
|
|
|
Johnny
|
| Founding Member |
| Total Posts: 4333 |
| Joined: May 2004 |
| |
|
| I've read the Ken Griffin article, but not the David Shaw one. I'd be interested to read it if you've got it. |
|
|
|
kr
|
| Founding MemberNP Raider |
| Total Posts: 3561 |
| Joined: Apr 2004 |
| |
|
| is there a well-known hedge fund in chi whose name does NOT represent "a fortress in a commanding position in or near a city"? |
my bank got pwnd |
|
|
|
RFMontraz
|
| NP Italian Stallion |
| Total Posts: 2019 |
| Joined: Mar 2004 |
| |
|
Could you also post the link to the Griffin article if you get hold of it? Thx dude. |
Badabin badabum |
|
|
James
|
| NP High Priest |
| Total Posts: 2024 |
| Joined: May 2004 |
| |
| |
|
chiral3
|
| Founding Member |
| Total Posts: 5122 |
| Joined: Mar 2004 |
| |
|
| The funny thing is that I recognize words in those three links 1) from that one story written and 2) from their *old* website. That makes it two counted sources in history that I know of on rentec. Now only one exists. |
Nonius is Satoshi Nakamoto. 物の哀れ |
|
|
DW
|
|
| Total Posts: 507 |
| Joined: Jun 2004 |
| |
|
"is there a well-known hedge fund in chi whose name does NOT represent "a fortress in a commanding position in or near a city"?
Nope - you've hit the nail on the head. |
|
|
|
|
chiral3
|
| Founding Member |
| Total Posts: 5122 |
| Joined: Mar 2004 |
| |
|
I thought we agreed, only French HF - 20% + 10% of assets. I am on my way to Paris. My fund will be called
Maginot Investments. |
Nonius is Satoshi Nakamoto. 物の哀れ |
|
|
chiral3
|
| Founding Member |
| Total Posts: 5122 |
| Joined: Mar 2004 |
| |
|
| Oh, wait, that was an impenetrable wall too. Darn. |
Nonius is Satoshi Nakamoto. 物の哀れ |
|
|
|
LongTheta
|
| The Snowman |
| Total Posts: 3150 |
| Joined: Mar 2004 |
| |
|
| Does RenTec trade futures and only futures? I was told that RenTec makes its money in FX. |
Time is on my side. |
|
|
|
there was an article in ABsoluteREturn in April i guess or March, about a guy with a ?russian name, he is in chicago, is that him /
in this very same publication, same month, there was an article about the fact taht Simons sued a former trader or I expert for leaving and bringing out secrets from Renaissance, etc. |
я, конечно, вернусь |
|
|
|
|
| i think renaissance tries to exploit inefficiencies whereever they can find one. forex, stocks, options, commodites ... if i were them i had a team for each and every opportunity out there. |
|
|
|
opmtrader
|
| Founding Member |
| Total Posts: 1333 |
| Joined: Mar 2004 |
| |
|
It's good to be Jim Simons:
Three Hedge Fund Managers Made $500 Mln, Alpha Says (Update2)
2004-07-20 09:41 (New York)
Three Hedge Fund Managers Made $500 Mln, Alpha Says (Update2)
(Adds that Cohen declined to comment in 10th paragraph.)
By Samantha Lafferty
July 20 (Bloomberg) -- Three hedge fund managers made at least
$500 million last year, led by Hungarian-born George Soros and
David Tepper of Appaloosa Management, according to a survey by
Institutional Investor's Alpha magazine.
Soros earned an estimated $750 million, regaining the top spot
after failing to make the list of the 25 highest-paid managers in
2002, Institutional Investor said in a statement. Soros's flagship
$8.3 billion Quantum Endowment Fund climbed 15 percent in 2003.
Soros, 73, is the biggest investor in the Quantum fund.
Tepper, 46, a former Goldman Sachs Group Inc. junk bond trader
who founded Appaloosa in Chatham, New Jersey, made $510 million and
James Simons of New York-based Renaissance Technologies Corp.
pulled in about $500 million, Alpha reported.
``The wealth being created by hedge fund managers is simply
staggering,'' Institutional Investor said in the statement. ``Never
have so few made so much so fast.''
Seventeen managers earned more than $100 million in 2003, up
from seven in 2002, the magazine said. Institutional Investor said
it compiled the rankings from estimates of fees generated by the
funds that they manage, plus estimated gains from their own capital
in the funds.
Hedge funds tend to charge the highest fees in the asset
management industry, taking 20 percent of any investment gain, plus
1 percent of assets under management. The average take-home pay for
the top 25 managers in 2003 was $207 million, almost double that of
2002, Institutional Investor said.
Lampert and Kovner
Hedge funds, which can profit from falling as well as rising
market prices, attracted a record $60 billion of new investments
last year from clients including pension funds and insurers,
according to Tremont Capital Management in Rye, New York.
Edward Lampert, founder and chief executive of ESL Investments
Inc., made $420 million, ranking behind Soros, Tepper and Simons,
Institutional Investor said.
Bruce Kovner of New York-based Caxton Associates is tied in
fifth place with Steven Cohen of SAC Capital Advisors in Stamford,
Connecticut, with earnings of $350 million. In 2002, Kovner was the
biggest earner, Institutional Investor said.
Cohen declined to comment through a company spokesman, and the
rest of the money managers weren't available for comment.
Below is a table of the top 10 earners in the hedge fund
industry in 2003, according to Institutional Investor:
George Soros $750 million Soros Fund Management
David Tepper $510 million Appaloosa Management
James Simons $500 million Renaissance Technologies
Edward Lampert $420 million ESL Investments
Steven Cohen $350 million SAC Capital Advisors
Bruce Kovner $350 million Caxton Associates
Paul Tudor Jones $300 million Tudor Investment
Kenneth Griffin $230 million Citadel Investment
Daniel Och $150 million OCH-Ziff Capital Management
Leon Cooperman $145 million Omega Advisors |
|
|
|
|
chiral3
|
| Founding Member |
| Total Posts: 5122 |
| Joined: Mar 2004 |
| |
|
| Fuck Me. Fuck Me. What the hell am I doing wasting my life where I am. Damn, Damn, Damn, Damn, Damn, Damn, Damn, Damn, Damn, Damn, Damn, Damn, Damn, Damn, Damn |
Nonius is Satoshi Nakamoto. 物の哀れ |
|
|
|
| Don't be so harsh with yourself just because you couldn't make it into the top ten with your $144m... |
Truck driver, Toxic Waste Capital Management LLC. Trash is our business. |
|
|
|
chiral3
|
| Founding Member |
| Total Posts: 5122 |
| Joined: Mar 2004 |
| |
|
| I should have made 144mm. Everyone on this board should. We should rule the world. This forum has more brains, education, experience, and ability than entire departments at banks. FUK!!!!!!!!!!!!!!!! 500mm |
Nonius is Satoshi Nakamoto. 物の哀れ |
|
|
Martingale
|
| NP House Mouse |
| Total Posts: 2643 |
| Joined: Jun 2004 |
| |
|
I just killed myself 1 million times  |
|
|
|
|
chiral3
|
| Founding Member |
| Total Posts: 5122 |
| Joined: Mar 2004 |
| |
|
| No joke, this just fucked up my day. |
Nonius is Satoshi Nakamoto. 物の哀れ |
|
|
chiral3
|
| Founding Member |
| Total Posts: 5122 |
| Joined: Mar 2004 |
| |
|
| I just called them. Some young woman with a very attractive voice, as well as a confidence that she knew why I was calling, informed me that they ar not hiring right now. |
Nonius is Satoshi Nakamoto. 物の哀れ |
|
|
|
Martingale
|
| NP House Mouse |
| Total Posts: 2643 |
| Joined: Jun 2004 |
| |
| |
|
chiral3
|
| Founding Member |
| Total Posts: 5122 |
| Joined: Mar 2004 |
| |
|
| Actually Martigale, there is a guy there publishing papers that sound suspiciously like your thesis..... I think you have been robbed. |
Nonius is Satoshi Nakamoto. 物の哀れ |
|
|
|
