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I'm talking about Renaissance. Medallion is closed and manages money only for Renaissance employees.

by gaika 18y ago

byrneseyeview 18y ago
Renaissance is the fund management company. It manages several funds, which have different returns because they use different strategies and have different benchmarks. Which fund do you mean? What strategy are you talking about?
- gaika 18y ago
  You're right, it was RIEF down for the year, but even Medallion suffered losses in August, here's his letter to investors explaining it: http://www.dealbreaker.com/2007/08/simons_warns_about_august_resu.php http://www.dealbreaker.com/2007/08/simons_warns_about_august...
  - byrneseyeview 18y ago
    "Medallion's 3.9 percent return during August, though that fund too was whipsawed by volatility, bolstered Simons's reputation as the silver-bearded wizard of quantitative investing." http://www.bloomberg.com/apps/news?pid=20601109&refer=home&sid=ayjImYcoCiH8 http://www.bloomberg.com/apps/news?pid=20601109&refer=ho... So you may mean that they suffered from volatility in August. But making 4% per month is not bad, even if there are 10% swings along the way.
    - gaika 18y ago
      Here's another one - from April this year: http://www.bloomberg.com/apps/news?pid=20601103&sid=a6eSZD5YgDTI&refer=us http://www.bloomberg.com/apps/news?pid=20601103&sid=a6eS...
      - byrneseyeview 18y ago
        Oh no! A fund that correlates with the S&P is down about 12% from peaking in May to early April! Meanwhile, the S&P is down, um, 13.8% from peaking in May to early April! So the fund is slightly outperforming its benchmark, even though it's dropped. I don't think anyone invested in the fund hoping to lose 12%, but this is within the range Simons said to expect. One thing you claimed was that we should expect stable, high returns, and the occasional massive crash. And yet the massive crash you predict has not materialized! Instead, we have a slight decline, mirroring a slightly larger decline in the index one fund follows -- as well as a record-breaking year, in which Medallion appears to have earned over 100% before fees, on over $5 billion in assets. It's suspicious to me that you point to their low-risk institutional fund's losses as proof that their high-risk strategy is dangerous, even as their high-risk fund is posting record gains.
        gaika 18y ago
        I'm trying to make a point about their overall strategy: It is easy to have low returns with low volatility - just buy bonds. It is easy to have hight returns with high volatility - just buy penny stocks or emergent markets. Their Medallion fund was doing something that defied that rule for 20 years, it had high returns with low volatility. Up until August last year.
        byrneseyeview 18y ago
        That is incorrect. It is very hard to use simple rules like that to get high returns, because when enough people follow the rules, they become invalid. Renaissance is using a huge number of strategies, and they're constantly testing them. It's likely that any given strategy will be obsolete soon enough, but less likely that they'll all be wrong at once. It might be useful to think of Renaissance as a market-maker, not a money manager -- given that you described two buy-and-hold strategies, and their average holding period is six minutes, it sounds like they might not be in the business you're talking about. It's possible to get superior returns over time by having such a low cost or such a strong brand that your product is qualitatively different from someone else's: having a brand like Coca-Cola that is, say, 5% more recognizable than Pepsi can give you something that's worth much much more than Pepsi + 5%; being able to make trades 1% faster and 1% cheaper than anyone else (if Rentec can do that) means having a monopoly on taking advantage of one set of market discrepancies. They obviously have to spend a lot of money to maintain that advantage, but the advantage remains.

I'm talking about Renaissance. Medallion is closed and manages money only for Renaissance employees.

by gaika 18y ago

I'm talking about Renaissance. Medallion is closed and manages money only for Renaissance employees.

Renaissance is the fund management company. It manages several funds, which have different returns because they use different strategies and have different benchmarks. Which fund do you mean? What strategy are you talking about?

gaika 18y ago
You're right, it was RIEF down for the year, but even Medallion suffered losses in August, here's his letter to investors explaining it: http://www.dealbreaker.com/2007/08/simons_warns_about_august_resu.php http://www.dealbreaker.com/2007/08/simons_warns_about_august...
- byrneseyeview 18y ago
  "Medallion's 3.9 percent return during August, though that fund too was whipsawed by volatility, bolstered Simons's reputation as the silver-bearded wizard of quantitative investing." http://www.bloomberg.com/apps/news?pid=20601109&refer=home&sid=ayjImYcoCiH8 http://www.bloomberg.com/apps/news?pid=20601109&refer=ho... So you may mean that they suffered from volatility in August. But making 4% per month is not bad, even if there are 10% swings along the way.
  - gaika 18y ago
    Here's another one - from April this year: http://www.bloomberg.com/apps/news?pid=20601103&sid=a6eSZD5YgDTI&refer=us http://www.bloomberg.com/apps/news?pid=20601103&sid=a6eS...
    - byrneseyeview 18y ago
      Oh no! A fund that correlates with the S&P is down about 12% from peaking in May to early April! Meanwhile, the S&P is down, um, 13.8% from peaking in May to early April! So the fund is slightly outperforming its benchmark, even though it's dropped. I don't think anyone invested in the fund hoping to lose 12%, but this is within the range Simons said to expect. One thing you claimed was that we should expect stable, high returns, and the occasional massive crash. And yet the massive crash you predict has not materialized! Instead, we have a slight decline, mirroring a slightly larger decline in the index one fund follows -- as well as a record-breaking year, in which Medallion appears to have earned over 100% before fees, on over $5 billion in assets. It's suspicious to me that you point to their low-risk institutional fund's losses as proof that their high-risk strategy is dangerous, even as their high-risk fund is posting record gains.
      - gaika 18y ago
        I'm trying to make a point about their overall strategy: It is easy to have low returns with low volatility - just buy bonds. It is easy to have hight returns with high volatility - just buy penny stocks or emergent markets. Their Medallion fund was doing something that defied that rule for 20 years, it had high returns with low volatility. Up until August last year.
        byrneseyeview 18y ago
        That is incorrect. It is very hard to use simple rules like that to get high returns, because when enough people follow the rules, they become invalid. Renaissance is using a huge number of strategies, and they're constantly testing them. It's likely that any given strategy will be obsolete soon enough, but less likely that they'll all be wrong at once. It might be useful to think of Renaissance as a market-maker, not a money manager -- given that you described two buy-and-hold strategies, and their average holding period is six minutes, it sounds like they might not be in the business you're talking about. It's possible to get superior returns over time by having such a low cost or such a strong brand that your product is qualitatively different from someone else's: having a brand like Coca-Cola that is, say, 5% more recognizable than Pepsi can give you something that's worth much much more than Pepsi + 5%; being able to make trades 1% faster and 1% cheaper than anyone else (if Rentec can do that) means having a monopoly on taking advantage of one set of market discrepancies. They obviously have to spend a lot of money to maintain that advantage, but the advantage remains.