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Do they still outperform? I can imagine 10 years ago they were ahead of everyone but now quant investing is everywhere I would be surprised if they have a big e

by rb808 7y ago

Do they still outperform? I can imagine 10 years ago they were ahead of everyone but now quant investing is everywhere I would be surprised if they have a big edge.

HSO 7y ago
10 years ago „quant“ investing was already everywhere
smabie 7y ago
I can't find any recent numbers but the last number I can find is 36% after fees of like 5%/45% in 2015. I would assume they are still killing it, but can't find any info.
jdross 7y ago
Yes table in article and cropped here on Twitter, which might have spurred this post: https://twitter.com/justindross/status/1193737152997183488?s=20 https://twitter.com/justindross/status/1193737152997183488?s... Their returns have been as good or better in the last 10 years even after doubling the fund size
hogFeast 7y ago
I would read the recent book. Competition really started in the mid-1990s (and quant funds existed way before that point), and Renaissance actually picked up steam far later than everyone else (and had trouble raising capital because everyone thought the space was already tapped out). Btw, the point to investing isn't an absolute level of knowledge but relative knowledge. If you keep moving ahead because you are smarter then you will keep outperforming. The view of most investors, not just in quant, is: I went to X university, I am very smart, anyone who does better than me is cheating/insider trading/committing fraud/etc. But the majority of people won't outperform regardless of "intelligence". AHL has been doing quant for nearly four decades now, they only hire the elite, they even have their own quant finance institute at Oxford...results? Still shit because it isn't as easy as just hiring a ton of "intelligent" people. For some reason, smart people tend to believe that the real world is like university or government where success is achieved by other people thinking you are smart...it isn't like that. Obtaining results is the combination of many things (i.e. most quant firms churn and burn employees, most quant firms have trouble retaining staff, etc.).
- tomp 7y ago
  Companies like AHL and Winton have completely different goals and ways of making money... they got into the “quant” (a.k.a. trend following) industry very early and still reap the benefits, they have big AUMs, scalable strategies, etc, but (AFAIK) their actual performance isn’t that amazing (compared to RenTech, Two Sigma, Citadel, ...). I only interviewed at AHL so I cannot speak of the quality/intelligence of people working there, but judging by the difficulty of the interview, compared to some other companies, my conclusion is that their hiring bar isn’t that high. I also wonder how limited these companies are in their investment strategies - either they cannot invest into more sophisticated strategies (limited by investor agreements), or they don’t want to, because poor known returns are easier to justify (“trend following just had a bad year, nothing we can do about it”) than poor unknown returns (“we tried thes completely new thing that we have no experience in, and it didn’t work and we lost a lot of your money”).
  - hogFeast 7y ago
    Winton is fundamentally dissimilar to AHL. Winton have a reputation for skill and outperformance. AHL have a reputation for blundering incompetence (that is why the 'H' in AHL left to start Winton, and became a billionaire doing so). The only goal is to make money. I understand your point in that AHL are dissimilar to RenTech but I didn't say any way was correct. The right way is whatever makes money. You have firms that look like AHL and do better. I would look at who they actually hire. From what I know, there is almost no-one in their quant team who didn't go into Oxbridge (at least for PG). That is not a low bar. Btw, I have seen this elsewhere. I know of non-quant firms that only hire from Oxbridge, and they get the same result as firms that don't have a specific analyst program (i.e. everyone rotates through admin/sales/marketing). The point isn't that this doesn't work. RenTech have a high bar, it works. The point is that you have to really understand why you are doing it. Hiring "smart" people without thought only results in a higher wage bill. And if we are going to get into it: one big issue with AHL has been the management (that is why David Harding left). They have got better but I don't think they are totally out the woods (I have heard they are trying to do momo in illiquid and esoteric markets...which won't work). Saying it is the clients is one of the worst excuses in investment management. That is actually true one time in a hundred (BlueCrest is one). It is like the crap football teams complaining about good teams having all the money. Good fund managers have good clients because they don't fuck up all the time. The issue is AHL, for whatever reason, kept trying to do the same thing for decades, and expected to print money.

by rb808 7y ago

Do they still outperform? I can imagine 10 years ago they were ahead of everyone but now quant investing is everywhere I would be surprised if they have a big edge.

HSO 7y ago

10 years ago „quant“ investing was already everywhere

smabie 7y ago

I can't find any recent numbers but the last number I can find is 36% after fees of like 5%/45% in 2015. I would assume they are still killing it, but can't find any info.

jdross 7y ago

Yes table in article and cropped here on Twitter, which might have spurred this post: https://twitter.com/justindross/status/1193737152997183488?s=20 https://twitter.com/justindross/status/1193737152997183488?s... Their returns have been as good or better in the last 10 years even after doubling the fund size

hogFeast 7y ago

I would read the recent book. Competition really started in the mid-1990s (and quant funds existed way before that point), and Renaissance actually picked up steam far later than everyone else (and had trouble raising capital because everyone thought the space was already tapped out). Btw, the point to investing isn't an absolute level of knowledge but relative knowledge. If you keep moving ahead because you are smarter then you will keep outperforming. The view of most investors, not just in quant, is: I went to X university, I am very smart, anyone who does better than me is cheating/insider trading/committing fraud/etc. But the majority of people won't outperform regardless of "intelligence". AHL has been doing quant for nearly four decades now, they only hire the elite, they even have their own quant finance institute at Oxford...results? Still shit because it isn't as easy as just hiring a ton of "intelligent" people. For some reason, smart people tend to believe that the real world is like university or government where success is achieved by other people thinking you are smart...it isn't like that. Obtaining results is the combination of many things (i.e. most quant firms churn and burn employees, most quant firms have trouble retaining staff, etc.).

tomp 7y ago
Companies like AHL and Winton have completely different goals and ways of making money... they got into the “quant” (a.k.a. trend following) industry very early and still reap the benefits, they have big AUMs, scalable strategies, etc, but (AFAIK) their actual performance isn’t that amazing (compared to RenTech, Two Sigma, Citadel, ...). I only interviewed at AHL so I cannot speak of the quality/intelligence of people working there, but judging by the difficulty of the interview, compared to some other companies, my conclusion is that their hiring bar isn’t that high. I also wonder how limited these companies are in their investment strategies - either they cannot invest into more sophisticated strategies (limited by investor agreements), or they don’t want to, because poor known returns are easier to justify (“trend following just had a bad year, nothing we can do about it”) than poor unknown returns (“we tried thes completely new thing that we have no experience in, and it didn’t work and we lost a lot of your money”).
- hogFeast 7y ago
  Winton is fundamentally dissimilar to AHL. Winton have a reputation for skill and outperformance. AHL have a reputation for blundering incompetence (that is why the 'H' in AHL left to start Winton, and became a billionaire doing so). The only goal is to make money. I understand your point in that AHL are dissimilar to RenTech but I didn't say any way was correct. The right way is whatever makes money. You have firms that look like AHL and do better. I would look at who they actually hire. From what I know, there is almost no-one in their quant team who didn't go into Oxbridge (at least for PG). That is not a low bar. Btw, I have seen this elsewhere. I know of non-quant firms that only hire from Oxbridge, and they get the same result as firms that don't have a specific analyst program (i.e. everyone rotates through admin/sales/marketing). The point isn't that this doesn't work. RenTech have a high bar, it works. The point is that you have to really understand why you are doing it. Hiring "smart" people without thought only results in a higher wage bill. And if we are going to get into it: one big issue with AHL has been the management (that is why David Harding left). They have got better but I don't think they are totally out the woods (I have heard they are trying to do momo in illiquid and esoteric markets...which won't work). Saying it is the clients is one of the worst excuses in investment management. That is actually true one time in a hundred (BlueCrest is one). It is like the crap football teams complaining about good teams having all the money. Good fund managers have good clients because they don't fuck up all the time. The issue is AHL, for whatever reason, kept trying to do the same thing for decades, and expected to print money.