$100B hedge fund

[trader99]

Quote from buzzy2:

Exactly, I don't get why some funds hire academic prima donnas. All they want to do is to "prove" *their* research is so hot and brilliant, but how much money do they expect to make using stuff everyone else knows already.



I don't know any people there but I had a brief conversation once with a newly hired physics phd, the guy was polite, nice and quiet, seemed hard working and competent. did not sound arrogant at all. but he didn't seem too ambitious either like wanting to strike on his own some day, or expecting huge bonuses down the line. i definitely would like to employ this guy LMAO.

Well, a lot of finance profs who write in Journal of Finance are rehashing stuff that has been around.

About the new dude, I think the reason he doesn't sound ambitious cuz it's probably totally new to him. They hire on brilliance and talent. In fact, most of their employees never worked on Wall St before but are brilliant researchers.

The reason he's not expecting much now, b/c it's like going to work for a thinktank. You sit there and play and think. They have a "campus" as their corporate building. Beautifull lawns and labs etc. Looks like a nondescript university building. Perhaps one day he'll come up with something that makes money. Maybe not. Who knows. But in the meantime, he gets paid multiples of what he would have gotten as a researcher at a leading university.

The typical guy who goes to i-banking and Wall St is expecting to cash in huge. But ironically, the quiet thinking type at RenTech probably makes MULTIPLES of the typical guy on Wall St. haha.

It's not always the loud mouth type A who wins in the market. It's quite deep...

But get this. These geniuses who knew nothing about markets. After a few years they know quite a bit about markets combined with their math proprietary ideas. That's where the spark comes...

 

[PoundTheRock]

Quote from cakulev:

Perhaps my English is weak as I still don’t understand.
Is 34% net or gross return? If is net, then his gross is 5+ 34/0.56 =60%. If is gross investors are pocketing 34*.56 – 5 = 14%.

Net, as required by law.

 

[richardyu301]

I googled the web and found this website:
http://www.statsoft.com/textbook/sttimser.html

The chart really gives me a shock. Even though I believe time series work in some extent, I at least though that the real world is more noisy and thus it is difficult to spot the pattern... You must take a look at this chart, it is simply amazing.

- below is the description for this chart
This general pattern is well illustrated in a "classic" Series G data set (Box and Jenkins, 1976, p. 531) representing monthly international airline passenger totals (measured in thousands) in twelve consecutive years from 1949 to 1960 (see example data file G.sta and graph above). If you plot the successive observations (months) of airline passenger totals, a clear, almost linear trend emerges, indicating that the airline industry enjoyed a steady growth over the years (approximately 4 times more passengers traveled in 1960 than in 1949). At the same time, the monthly figures will follow an almost identical pattern each year (e.g., more people travel during holidays then during any other time of the year). This example data file also illustrates a very common general type of pattern in time series data, where the amplitude of the seasonal changes increases with the overall trend (i.e., the variance is correlated with the mean over the segments of the series). This pattern which is called multiplicative seasonality indicates that the relative amplitude of seasonal changes is constant over time, thus it is related to the trend.

 

[buzzy2]

Quote from trader99:


It's not always the loud mouth type A who wins in the market. It's quite deep...

Yes, but it takes a certain personality type to fade a 20 pt ES news spike, to take losses accepting a mistake or to keep a position or a system through a normal drawdown or retracement.

Intellect is not enough.

 

[richardyu301]

It is interesting to see the argument of different ppl here. Just like the market there are up and down....

Anyone has any advice on how an avg joe can apply it in a simple but profitable way. Personally, I use LSMA and EMA in different time frames to spot the trend and the different S/R levels.

It may just be traditional TA but actually it also has grounds in time-series analysis.

So is there a way that we can merge the TA and time-series analysis together in our everyday trading?

Quote from richardyu301:

sKaLpZ,

I hv followed your thread.

But the pt here is whether James Simons can apply time-series analysis to such a huge amt and still make it.

I hv heard that even the FED is applying this method and if their target object is the entire US economy maybe it is a matter that works for all time-frames and all market size.

I am just an average trader and I hv no idea understanding the details. But I think that some common techniques we are using are actually applying fractal/time-series/high-freq finance/chaos (I hv no idea where their differences are anyway):
- study the trend in all time frames
- volatility breakdown is a good indicator
- risk management should NOT be purely based on % of capital at risk but the support/resistance levels... which may be determined by the different EMAs of different time frames (or other methods) which is actually related to time-series analysis in nature.

thx.

 

[stephencrowley]

Dude, this is standard timeseries analysis. There are numerious books on this subject and they are using very well known methods.

Quote from richardyu301:

I googled the web and found this website:
http://www.statsoft.com/textbook/sttimser.html

The chart really gives me a shock. Even though I believe time series work in some extent, I at least though that the real world is more noisy and thus it is difficult to spot the pattern... You must take a look at this chart, it is simply amazing.

- below is the description for this chart
This general pattern is well illustrated in a "classic" Series G data set (Box and Jenkins, 1976, p. 531) representing monthly international airline passenger totals (measured in thousands) in twelve consecutive years from 1949 to 1960 (see example data file G.sta and graph above). If you plot the successive observations (months) of airline passenger totals, a clear, almost linear trend emerges, indicating that the airline industry enjoyed a steady growth over the years (approximately 4 times more passengers traveled in 1960 than in 1949). At the same time, the monthly figures will follow an almost identical pattern each year (e.g., more people travel during holidays then during any other time of the year). This example data file also illustrates a very common general type of pattern in time series data, where the amplitude of the seasonal changes increases with the overall trend (i.e., the variance is correlated with the mean over the segments of the series). This pattern which is called multiplicative seasonality indicates that the relative amplitude of seasonal changes is constant over time, thus it is related to the trend.

 

[bladerunner]

i always knew that math/physics grad degrees are more valuable than most mbas out there.
too bad that these so called phds waste their time/efforts making money instead finding cures for some of the incurable diseases in the world.

 

[trader99]

Quote from bladerunner:

i always knew that math/physics grad degrees are more valuable than most mbas out there.
too bad that these so called phds waste their time/efforts making money instead finding cures for some of the incurable diseases in the world.

They are math/physics phds. WTF do they know about incurable diseases? They didn't go to med school. duh.

But they could have. And probably could make great contribution. Too bad how society/markets misallocate resources. It used to be if you are really smart and go to med school you could do really well. But the definition of really well in that field can't even begin to compare to really well in hf world. RenTech/Jim Simon made $750M last year alone. Geez.

Sad. But true. Smart people could and probably SHOULD devote their time and energy doing more useful thing for society as a whole. But sometimes it's not all their fault. Thanks to politicians cutting back on basic research. Else we would have nuclear fusion or even cold fusion by now. Who knows.

 

[trader99]

Quote from stephencrowley:

Dude, this is standard timeseries analysis. There are numerious books on this subject and they are using very well known methods.

stephen,

you are right. That stuff is Time Series 101. I'm sure it's not what RenTech uses.. LOL

 

[buzzy2]

it's not always a waste. think about it, if your net worth is in the millions, then you can fund medical research labs and since you have a vested interest that your own money has the desired impact on society, you will probably do a better job financing research than some stupid bureaucrat