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Renaissance Technologies, Two Sigma Drop as Quants Navigate Chaos
- smabie 6y agoWhile medium term (days/months) quantitative equity has done quite poorly (especially market neutral funds it seems), quantitative market makers (which some call HFT firms) have made a killing with the high volumes and staggering volatility. The shorter your time horizon (seconds or maybe hours instead of days or years) and less historical data you use (maybe you don't use any at all), the less exposed you are to paradigm shifts in the market. For the most part you don't hear about these kinds of firms in the media (except when the disaster of a book Flash Boys was published), making a casual observer think that all of "quant finance" is in disarray when the quant hedge funds perform poorly. Not exactly sure where I'm going with this, but I think I just wanted to impress upon people that there's an entire separate class of quantitative finance firms: trading/market making firms. They often have no outside investors and are often capacity constrained such that their returns don't compound. But let me tell you, their (maybe uncompoundable) returns can be absolutely staggering. Better than RenTec type staggering. And they are certainly doing well right now.
- fractionalhare 6y ago> For the most part you don't hear about these kinds of firms in the media (except when the disaster of a book Flash Boys was published) +1. Most of the best known trading firms and investment funds in tech circles are simply well marketed to software engineers. They may perform well (especially relative to the vast majority of other players, who are mostly lemons), but they don't tend to be the places with the best track records. The best firms are usually very small, very discreet and basically only hire through direct referral.