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Thank you for appreciating the article; I tried to disclose all that I could! 1. Yes, I did put my own money in it (low 6 figures). 2. It went as described in

Thank you for appreciating the article; I tried to disclose all that I could! 1. Yes, I did put my own money in it (low 6 figures). 2. It went as described in the article - for the capital I allocated to Didact, I beat the market (SPY) by ~20% since inception. 3. If I understand your question correctly, this would be the equivalent of the payoff on an optimal lookback option (https://en.wikipedia.org/wiki/Lookback_option https://en.wikipedia.org/wiki/Lookback_option). I haven't actually done that analysis, but it sounds like a nice idea.

adamsmith143 4y ago
>2. It went as described in the article - for the capital I allocated to Didact, I beat the market (SPY) by ~20% since inception. This seems extremely hard to believe. You should be running a multi-billion $ Quant fund if this is the case. The idea that you would try to push this as a newsletter rather than just taking investor money and becoming a billionaire literally makes the story seem farcical.
- deleted 4y ago
  [deleted]
- muggermuch 4y ago
  >You should be running a multi-billion $ Quant fund if this is the case. You seem to underestimate the level of effort and rigor required to achieve this level of capital allocation. In contrast, beating the market by 20% is table stakes. Folks in the industry do it all the time; the difference here simply is that I built an ML-powered engine to do it systematically.
- colinmhayes 4y ago
  Starting a hedge fund is a lot harder than beating the market by 20%.
- HFguy 4y ago
  It is very easy to believe. I could have flipped a coin, gone long or short at beginning of this year. I would have had a 50% chance of outperforming the market by 40% this year (given it is down roughly 20%).
  - thunky 4y ago
    Right. The difficult part is doing it consistently.
- rohitb91 4y ago
  Definitely possible doing so many things. Following trend and just being in DXY or short SPY. It's a super short time-frame. Anything can happen. Trust test is 10 year + horizons.
- yellowstuff 4y ago
  I've spent the last few years helping to launch a quant fund, so I have a sense of what institutional investors look for. I'm impressed with the thought and hard work that went into Didact, but this guy never had a shot of attracting interest from the types of institutional investors who fund large quant funds. The strategy has a 18% correlation to SPY, so "beating the market" is the wrong benchmark. The proper reference point is probably 0, when correlation is that low it shouldn't matter much whether the market's up or down. The strategy had 14% return and .82 Sharpe ratio, so 17% vol. That's bad. With large asset levels and a long track record a Sharpe of 1 might be OK, for 1 year with minimal assets a Sharpe less than 2 isn't necessarily that impressive. Another huge issue: this strategy was run with less than $1mm. It would certainly perform worse at higher asset levels as market impact becomes meaningful, the only question is how much worse. Finally, results matter, but fund raising is primarily a sales process. Investors aren't just looking for the highest numbers. They're going to evaluate the people and processes involved, the risk management philosophy, really every aspect of the business. OP has some professional finance experience but it doesn't sound like he has the connections or reputation that would help with fund raising. If his sales pitch was anything like this article I don't think most institutional investors would be impressed (EG, minimal references to risk management, frequent comparisons to SPY performance when that's not an appropriate benchmark.)

adamsmith143 4y ago

>2. It went as described in the article - for the capital I allocated to Didact, I beat the market (SPY) by ~20% since inception. This seems extremely hard to believe. You should be running a multi-billion $ Quant fund if this is the case. The idea that you would try to push this as a newsletter rather than just taking investor money and becoming a billionaire literally makes the story seem farcical.

deleted 4y ago
[deleted]
muggermuch 4y ago
>You should be running a multi-billion $ Quant fund if this is the case. You seem to underestimate the level of effort and rigor required to achieve this level of capital allocation. In contrast, beating the market by 20% is table stakes. Folks in the industry do it all the time; the difference here simply is that I built an ML-powered engine to do it systematically.
colinmhayes 4y ago
Starting a hedge fund is a lot harder than beating the market by 20%.
HFguy 4y ago
It is very easy to believe. I could have flipped a coin, gone long or short at beginning of this year. I would have had a 50% chance of outperforming the market by 40% this year (given it is down roughly 20%).
- thunky 4y ago
  Right. The difficult part is doing it consistently.
rohitb91 4y ago
Definitely possible doing so many things. Following trend and just being in DXY or short SPY. It's a super short time-frame. Anything can happen. Trust test is 10 year + horizons.
yellowstuff 4y ago
I've spent the last few years helping to launch a quant fund, so I have a sense of what institutional investors look for. I'm impressed with the thought and hard work that went into Didact, but this guy never had a shot of attracting interest from the types of institutional investors who fund large quant funds. The strategy has a 18% correlation to SPY, so "beating the market" is the wrong benchmark. The proper reference point is probably 0, when correlation is that low it shouldn't matter much whether the market's up or down. The strategy had 14% return and .82 Sharpe ratio, so 17% vol. That's bad. With large asset levels and a long track record a Sharpe of 1 might be OK, for 1 year with minimal assets a Sharpe less than 2 isn't necessarily that impressive. Another huge issue: this strategy was run with less than $1mm. It would certainly perform worse at higher asset levels as market impact becomes meaningful, the only question is how much worse. Finally, results matter, but fund raising is primarily a sales process. Investors aren't just looking for the highest numbers. They're going to evaluate the people and processes involved, the risk management philosophy, really every aspect of the business. OP has some professional finance experience but it doesn't sound like he has the connections or reputation that would help with fund raising. If his sales pitch was anything like this article I don't think most institutional investors would be impressed (EG, minimal references to risk management, frequent comparisons to SPY performance when that's not an appropriate benchmark.)