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>it seems clear to me that there are few quant hedge funds that can have consistently outperformed the market that disproves the null hypothesis (no out perform

>it seems clear to me that there are few quant hedge funds that can have consistently outperformed the market that disproves the null hypothesis (no out performance) with a P < 0.05 The meaning p < 0.05 is that by random chance you expect to find 5% of companies doing this well relative to the rest with no actual underlying cause. The existence of a few companies that manage this is proof of exactly nothing about those companies.

mikeyouse 8y ago
There's also a strong hint that the most prominent and successful Funds with long records of market over-performance were actually just insider trading all along and their continued success is an indictment of our ability to effectively police white collar criminals: https://www.newyorker.com/magazine/2017/01/16/when-the-feds-went-after-the-hedge-fund-legend-steven-a-cohen https://www.newyorker.com/magazine/2017/01/16/when-the-feds-...
- mruts 8y ago
  Comparing SAC/Point 72 with RenTech or Bridgewater is a joke. SAC is/was run by stupid goons (I know a couple of them, they’re dumb). Bridgewater and RenTech employ top down systematic quantitative strategies (I also know a couple of them, they’re quite smart) that consistently generate alpha. It’s easy to discredit people/industries that you are not familiar with. But I work in it, and awhile a lot of hedge funds are full of shit, there are a few that are the real deal. You can systematically outperform the market year over year, and just because you might be more familiar with SV than Wall St doesn’t mean we are a bunch of crooks. I work day in, day out, trying to make money for our funds investors. And honestly, I find it extremely insulting that you are calling all of us a bunch of criminals. Edit: I’m sorry I sounded s little hostile, but I take pride in my work and believe I am helping the world. I think a lot of HNers are unfamiliar with the tech people on Wall St. And that’s okay, but we are just like you: trying to make money for the firm using technology and quantitative reasoning. The same kind of work you might do at FAANG, we do on Wall St.
TuringNYC 8y ago
Notice how many stock-picking darlings suddenly started losing money once regulators started finally enforcing insider trading rules. The likelihood is that crazy stock picking performance pre-2008 was mostly on insider knowledge, not on charting prowess.
mruts 8y ago
The thing is, there are large extinction events with hedge funds. The chance that RenTech (run by Jim Simons, former NSA cryptologist), beats all competitors, year over year, for over 35 years against a different set of hedge funds each year is much less than 5%. Also, to think that RenTech is insider trading is borderline ludicrous. They don’t even hire finance people. Most of their original employees come from the IBM linguistics lab. I work in the industry, and to be honest, many/most hedge funds are full of shit. They have high fees and enrich themselves at the expense of their clients. But let me tell you, RenTech is the real fucking deal. No one can match their returns. In fact, they make so much money that their main money maker (the Medallion Fund), isn’t even open to outside investors (only employees get to contribute). Look at their historical return stream, it’s ridiculous. According to Wikipedia, from 1994 to 2014 it averaged an annual return of over 70%. I don’t know what the P value is of that off the top of my head but it must be under .00005. https://en.m.wikipedia.org/wiki/Renaissance_Technologies https://en.m.wikipedia.org/wiki/Renaissance_Technologies

mikeyouse 8y ago

There's also a strong hint that the most prominent and successful Funds with long records of market over-performance were actually just insider trading all along and their continued success is an indictment of our ability to effectively police white collar criminals: https://www.newyorker.com/magazine/2017/01/16/when-the-feds-went-after-the-hedge-fund-legend-steven-a-cohen https://www.newyorker.com/magazine/2017/01/16/when-the-feds-...

mruts 8y ago
Comparing SAC/Point 72 with RenTech or Bridgewater is a joke. SAC is/was run by stupid goons (I know a couple of them, they’re dumb). Bridgewater and RenTech employ top down systematic quantitative strategies (I also know a couple of them, they’re quite smart) that consistently generate alpha. It’s easy to discredit people/industries that you are not familiar with. But I work in it, and awhile a lot of hedge funds are full of shit, there are a few that are the real deal. You can systematically outperform the market year over year, and just because you might be more familiar with SV than Wall St doesn’t mean we are a bunch of crooks. I work day in, day out, trying to make money for our funds investors. And honestly, I find it extremely insulting that you are calling all of us a bunch of criminals. Edit: I’m sorry I sounded s little hostile, but I take pride in my work and believe I am helping the world. I think a lot of HNers are unfamiliar with the tech people on Wall St. And that’s okay, but we are just like you: trying to make money for the firm using technology and quantitative reasoning. The same kind of work you might do at FAANG, we do on Wall St.

TuringNYC 8y ago

Notice how many stock-picking darlings suddenly started losing money once regulators started finally enforcing insider trading rules. The likelihood is that crazy stock picking performance pre-2008 was mostly on insider knowledge, not on charting prowess.

mruts 8y ago

The thing is, there are large extinction events with hedge funds. The chance that RenTech (run by Jim Simons, former NSA cryptologist), beats all competitors, year over year, for over 35 years against a different set of hedge funds each year is much less than 5%. Also, to think that RenTech is insider trading is borderline ludicrous. They don’t even hire finance people. Most of their original employees come from the IBM linguistics lab. I work in the industry, and to be honest, many/most hedge funds are full of shit. They have high fees and enrich themselves at the expense of their clients. But let me tell you, RenTech is the real fucking deal. No one can match their returns. In fact, they make so much money that their main money maker (the Medallion Fund), isn’t even open to outside investors (only employees get to contribute). Look at their historical return stream, it’s ridiculous. According to Wikipedia, from 1994 to 2014 it averaged an annual return of over 70%. I don’t know what the P value is of that off the top of my head but it must be under .00005. https://en.m.wikipedia.org/wiki/Renaissance_Technologies https://en.m.wikipedia.org/wiki/Renaissance_Technologies