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LikeOnLike


Total Posts: 5
Joined: Jun 2020
 
Posted: 2021-01-08 15:53
Early on the systems were based on predicting the short-term trajectory of futures prices. Then came along market neutral strategies - a very short term one akin to market making and a longer one with 6 month holding time (the closest to stat arb)

Jurassic


Total Posts: 389
Joined: Mar 2018
 
Posted: 2021-01-08 19:46
6 months holding period for stat arb?


LikeOnLike


Total Posts: 5
Joined: Jun 2020
 
Posted: 2021-01-09 07:35
yes, that's the Equimetrics strategy. Not sure about it now but at the time it was based on empirical analysis of the relative performance of the minimum variance portfolio and the S&P 500.

powerforward


Total Posts: 6
Joined: Dec 2015
 
Posted: 2021-01-13 23:31
any chance you can share those letters?

Azx


Total Posts: 46
Joined: Sep 2009
 
Posted: 2021-01-14 07:36
Up 76%
https://www.institutionalinvestor.com/article/b1q3fndg77d0tg/Renaissance-s-Medallion-Fund-Surged-76-in-2020-But-Funds-Open-to-Outsiders-Tanked

zee4


Total Posts: 81
Joined: May 2010
 
Posted: 2021-01-14 15:26
The only thing they have in common is that they are operated using the same software and have the same senior management team. Everything else about them is uncorrelated.

Big SmileBig SmileBig Smile

Бухарский

deeds


Total Posts: 497
Joined: Dec 2008
 
Posted: 2021-01-14 16:40

same software?

pj


Total Posts: 3567
Joined: Jun 2004
 
Posted: 2021-01-14 17:45
> same software?
Excel 32

The older I grow, the more I distrust the familiar doctrine that age brings wisdom Henry L. Mencken
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