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I can recommend "The Man Who Solved the Market: How Jim Simons Launched the Quant Revolution" by Gregory Zuckerman, but of course don't expect to learn any mark

I can recommend "The Man Who Solved the Market: How Jim Simons Launched the Quant Revolution" by Gregory Zuckerman, but of course don't expect to learn any market-beating strategies from it. Quanta Magazine, a source for articles often linked here, is funded by his foundation.

barrenko 4y ago
Nice bit about Quanta.
lordnacho 4y ago
Actually the book mentions several market beating strategies, you just need to have read some other books to tie them together. Naturally it's not all there for you as a nice GitHub library, but I recognised the skeleton of a stat arb strategy in there.
- maest 4y ago
  I agree that the book indicates the type of data and maybe setup that rentech is trading, but, imo, it still doesn't fully explain the mystery. I've worked many years in a top systematic fund (~30% yoy, high sharpe return for the internal fund). And this fund was also trading everything that I could see mentioned when people talk about Medallion. Despite this, they were only reaching 30% return on USD 1B (and had to limit the fund's capacity). Medallion is something like 40% on 5-10B. It's the size of the returns together with the size of the fund that I find baffling re RenTech.
  - lordnacho 4y ago
    I agree that last part is what requires explanation, how can they have a bit more return on a lot more money. Answer is probably a combination of getting there first, thus leaving fewer opportunities for others in the data, and slight variation in how they approach the problem leading to discovery of extra capacity. Once you find something you have opportunity cost in changing your system. Island hopping an archipelago, once you find an island with a bunch of fruit, how likely are you to find another even better island?
  - bmitc 4y ago
    Could it be that they simply got there first? With such a huge fund that pushes the market around but a strategy that starts to lose above that, couldn't it make sense that the market has "settled around" them, so to speak? That plus having decades of experience in automating signal discovery.

barrenko 4y ago

Nice bit about Quanta.

lordnacho 4y ago

Actually the book mentions several market beating strategies, you just need to have read some other books to tie them together. Naturally it's not all there for you as a nice GitHub library, but I recognised the skeleton of a stat arb strategy in there.

maest 4y ago
I agree that the book indicates the type of data and maybe setup that rentech is trading, but, imo, it still doesn't fully explain the mystery. I've worked many years in a top systematic fund (~30% yoy, high sharpe return for the internal fund). And this fund was also trading everything that I could see mentioned when people talk about Medallion. Despite this, they were only reaching 30% return on USD 1B (and had to limit the fund's capacity). Medallion is something like 40% on 5-10B. It's the size of the returns together with the size of the fund that I find baffling re RenTech.
- lordnacho 4y ago
  I agree that last part is what requires explanation, how can they have a bit more return on a lot more money. Answer is probably a combination of getting there first, thus leaving fewer opportunities for others in the data, and slight variation in how they approach the problem leading to discovery of extra capacity. Once you find something you have opportunity cost in changing your system. Island hopping an archipelago, once you find an island with a bunch of fruit, how likely are you to find another even better island?
- bmitc 4y ago
  Could it be that they simply got there first? With such a huge fund that pushes the market around but a strategy that starts to lose above that, couldn't it make sense that the market has "settled around" them, so to speak? That plus having decades of experience in automating signal discovery.