vt100
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| Total Posts: 4 |
| Joined: Sep 2005 |
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| He got them together, he paid them, he kept them together, and he kept them going, until they succeeded. |
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TSWP
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| Total Posts: 448 |
| Joined: May 2012 |
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would be interesting to see how RenTech is doing during this carnage...
I guess nobody knows... |
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ronin
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| Total Posts: 585 |
| Joined: May 2006 |
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kuebiko
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| Total Posts: 41 |
| Joined: May 2018 |
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Yeah but I think we’re all really curious about medallion,
not the institutional funds... |
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chiral3
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| Founding Member |
| Total Posts: 5163 |
| Joined: Mar 2004 |
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| Since Medallion is essentially a corporate pension fund for geezers by now it’s probably all target dated into cash and fixed income. |
Nonius is Satoshi Nakamoto. 物の哀れ |
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Jurassic
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| Total Posts: 358 |
| Joined: Mar 2018 |
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https://www.cnbc.com/2020/04/17/renaissance-hedge-fund-reportedly-having-one-of-its-best-years-ever.html
Medallion latest
Does this help us work out anymore about it? |
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fxsaber
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| Total Posts: 16 |
| Joined: Sep 2019 |
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A lot of algorithmic traders got super-profits in March 2020.
Statistical Arbitration in March 2020 - Goldmine. |
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doomanx
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| Total Posts: 75 |
| Joined: Jul 2018 |
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https://www.ft.com/content/6ea8207b-b41a-43df-9737-ae481814a8d4
Rentech fiddling with crypto. Not surprising at all, more products just allows horizontal expansion via porting existing strategies over and with CME futures you don't have to deal with silicon valley-esque javascript APIs for market data. |
did you use VWAP or triple-reinforced GAN execution?
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doomanx
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| Total Posts: 75 |
| Joined: Jul 2018 |
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https://www.ft.com/content/6ea8207b-b41a-43df-9737-ae481814a8d4
Rentech fiddling with crypto. Not surprising at all, more products just allows horizontal expansion via porting existing strategies over and with CME futures you don't have to deal with silicon valley-esque javascript APIs for market data. |
did you use VWAP or triple-reinforced GAN execution?
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Jurassic
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| Total Posts: 358 |
| Joined: Mar 2018 |
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@fxsaber i thought lower frequency stat arb funds got hit as well
@doomanx whats the emphasis on js style apis and silicon valley? |
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chiral3
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| Founding Member |
| Total Posts: 5163 |
| Joined: Mar 2004 |
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| 39% ytd before fees. Good on them. |
Nonius is Satoshi Nakamoto. 物の哀れ |
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| @doomanx interesting statement, I would doubt that there will be much if any to port, but they, of course, have the toolkit. |
First Commander of the USS Enterprise |
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fxsaber
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| Total Posts: 16 |
| Joined: Sep 2019 |
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The lower the frequency, the higher the risks.
The higher the frequency, the lower the risks. |
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nikol
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| Total Posts: 1121 |
| Joined: Jun 2005 |
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SEC:
"Bitcoin Futures – The Medallion Funds are permitted to enter into bitcoin futures transactions, which Renaissance will limit to cash-settled futures contracts traded on the CME."
Twitter shortcut
https://t.co/uI8OtOoGUI?amp=1 |
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eric16
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| Total Posts: 6 |
| Joined: Jul 2019 |
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| Two possibilities: 1. hft makes money and 2. their rief signal is slower than medallion so medallion make money from rief. |
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juthica
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| Total Posts: 2 |
| Joined: Apr 2020 |
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Long time lurker here.
@doormanx They'll need the spot exchange data anyway, which is a mess. I'm biased (as a founder of LedgerX) but "physically" settled would serve them better. In any case doubt the opportunity is there for them but makes for fun news. |
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The data is not the highest quality and of course, they will need to have full view or ~99% like ~50 out of ~300 exchanges, but the problem is not significant in my opinion to the size of this market (it's the trading infrastructure matter from the perspective of expanding the usage of the crypto technology - for sure not, even for traders as still everyone plays with the same rules).
There are options like:
(a) acquiring software from coinapi.io (biased) perpetual license for self-hosting + support + source code + sla + maintenance etc - or something similar in the outsourcing fashion
(b) coding it in the house (maybe they are doing it since a long time ago)? They probably have a lot of mediocracy devs right for the job that's often disliked
(c) open source is not an option as it's total shit - people who are writing the open-source code doing a great job, but for the trading like this, it's not useful as they do not care about the latency or tricks that leading for faster information acquisition or indirect interpolation, however, it makes total sense as they are not in the game anyway (open source devs).
I would bet that they have the capacity to be extremely successful, but they are probably (guessing) too big to make it meaningful from the biz dev view at the moment.
Maybe it's too much off-topic - the thread is about the rentec. |
First Commander of the USS Enterprise |
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juthica
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| Joined: Apr 2020 |
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| Agree on the biz dev. The WSJ article mentioned that they were increasing Medallion capacity, so there's not a dearth of opportunity in traditional markets. |
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gamerx
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| Total Posts: 14 |
| Joined: Sep 2012 |
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REIF looks more like a conventional risk premia fund. Read somewhere that they target 40% exposure to market beta.
Medallion on the other hand doesn't seem similar to any well known category. |
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TSWP
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| Total Posts: 448 |
| Joined: May 2012 |
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While reading the book about RenTec/Jim Simons, I remember a passage where they said that they basically did not explain in details to their investors how they invested, and they were being pretty much paranoid about clients even recording the audio of meetings...
I had myself some first-hand experience to these levels of paranoia while visiting some funds, for example once I have been specifically asked to lie to the customs at the airport regarding where I was going, why I was going there and how I knew the fund owners (!)
I think this is a common problem when a firm wants to present a strategy to a client for capital raising, but without giving away too much details, to avoid revealing key information.
How do small firms manage this issue in your experience? (selfish question, but maybe others are interested).
Because if you are not yet a large, established firm, most clients will walk away unless you tell them exactly how you do it, and this will harm your capital raising process... you can't tell them too much, but if you don't... they will not invest in your firm...
and showing a track record is not enough, black boxes are not a good marketing tool...
Anyone sharing the same feelings? |
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dbt
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| Joined: May 2020 |
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Marketing is a real skill that takes time to pick up, and if you have PMs who can both do quality research and describe a disclosure-safe, pedagogical narrative on their feet during an investor pitch, they are worth their weight in gold.
I don't feel your concern is a problem with 3c7-eligible investors. Most institutional investors I've encountered are respectable people. In my entire career speaking to probably 7+% of eligible QPs in the world and hiring researchers, I've only come across 4 large firms and 15~ interviewees whom I felt were more interested in fishing for information. I won't namedrop said firms but they're in the business of funding external managers while having a fairly visible internal team.
At the early stages, I worked around this problem by doing the opposite, and taking it to the extreme. Give a lot of plausible info that it practically became open-ended for interpretation as to what you're actually doing. I see it as the point is to demonstrate to the investors that you're knowledgeable and reliable; to teach them new things about the markets, just not necessarily new things about your strategies.
Another approach I recommend is one I liken to teaching Newtonian physics: mostly accurate from a 10,000 ft view, but inaccurate for the tunneling microscopes on the ground. Many institutional investors' committees and risk managers are schooled in a traditional CFA-style education, and are not going to understand you anyway if you told them how one of your alphas is based on some noble breakthrough in compressive sensing. So rather than expend precious 10 minutes of the call catching them up on unfamiliar theory, you want to share relatable stories like what's wrong with how your top competitors are using Barra risk models or something.
Do we use passive orders? Yes. But we might also use marketable orders and IOCs. How many alphas do we have? Depends how you define an alpha, could be anything from 1 to hundreds of thousands from time to time. |
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Maggette
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| Total Posts: 1233 |
| Joined: Jun 2007 |
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I don't know. That gets pretty annoying pretty fast for the more technical people in the meeting. And that can backfire quickly. The "talk all day but actually say nothing" guys could be perceived as dishonest.
Assuming you have at least one competent person on the other side of the table (which is always a good assumption to make), this might be worse than "I am sorry, I can't talk about it". |
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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dbt
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| Total Posts: 4 |
| Joined: May 2020 |
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| Sure, it's important to read the crowd. Most investors I've worked with actually give you a free pass and preface that they know they might be asking a sensitive question. |
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Maggette
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| Total Posts: 1233 |
| Joined: Jun 2007 |
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| I guess it's a tough spot for everybody. I suck at these kind of things. |
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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gamerx
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| Total Posts: 14 |
| Joined: Sep 2012 |
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Seems like the open funds continue to do badly...
Renaissance Technologies, the quantitative hedge fund firm founded by Jim Simons, lost almost 21% this year through the first week of June in its market-neutral vehicle.
Part of the decline for the Renaissance Institutional Diversified Alpha fund came this month amid volatility brought on by the coronavirus crisis, according to Bloomberg. The fund lost almost 9% in the first week of June.
https://www.marketwatch.com/story/renaissance-technologies-one-of-the-worlds-best-known-hedge-funds-extends-recent-run-of-poor-performance-2020-06-13 |
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