Althucher guesses: trend funds to disappear within the next 10 years...

Quote from trader99:

http://news.yahoo.com/s/usatoday/20060526/bs_usatoday/363misaveragepayfortophedgefundmanagers

"James Simons, a mathematician turned money manager who prefers hiring Ph.D.s over MBAs, inched out oil tycoon T. Boone Pickens Jr. as the world's best-paid hedge fund manager in 2005, collecting an estimated $1.5 billion, according to rankings released today by Institutional Investor's Alpha magazine."

You can say whatever you want to say about Jim Simons, but he's now the highest paid hf manager in HISTORY. He beat out Lampert. $1.5B is nice change for one year's worth of work.

Finally, a quant guy comes out on top.

-99
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Better Link with stats

http://www.dailyii.com/article.asp?PositionID=&ArticleID=1040590&p=1
 
Quote from CPTrader:
So what's the snake oil part??
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Numerous public statements from Simons that are either
demonstrably false, misleading, incomplete, contradictory,
or just don't make any sense.

Numbers surrounding the Renaissance fund that don't
add up.

A monthly return series that shows stong evidence of
either return smoothing or unexploited structure. I vote
for the smoothing, especially since a near-optimal universal
portfolio of "small and ephemeral edges" (Simon's words)
should show more month-to-month variability.

There is something wrong with the Renaissance story.
It rings only slightly more true than Eddie Lampert's
kidnap story.


Quote from CPTrader:
I am curious about the Axcom connection...any
more insights on this?
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Axcom was renamed Medallion. They are the same fund.
The graph shown on this page:

http://math.berkeley.edu/~berlek/fin.html

used to be titled "Renaissance Medallion Fund." Berlekamp
took off the title earlier this year after I posted about
the connection on another forum. He did mention the
connection in a widely read review of "Fotune's Formula"
for American Scientist. Here is the link:

http://www.americanscientist.org/te...etail/assetid/47321;jsessionid=baa9OLgyl1RbGr

read the last sentence of the review.

Berlekamp has a background in Information Theory. His
graduate advisor was Claude Shannon. He also worked
closely with John Kelly, of Kelly Criteria fame. What he
brought to Renaisance was the risk/position/allocation
management, the volatility pumping third of the equation.
Simons already had the statistical mining for small edges
part, and he developed the perception management part
over the years -- now he has that part down to a science!


.
 
Quote from trader99:

"James Simons, an estimated $1.5 billion....$1.5B is
nice change for one year's worth of work.
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Yes, $1.5 billion is a nice payday.

Too bad it doesn't add up. It is either too high or too low.

Medallion fund has no outside investors. Simons gave that
money back. ALL of the money in Medallion belongs to Simons,
his current and ex-employees and family. If the $1.5 billion
includes the earnings on his share of the fund, then the number
is too low and should be over $2 billion.

On the other hand, if it is only what he was paid by Renaissance,
then it is too high. $1.5 billion is the entire management plus
incentive fees combined for 2005 with no overhead (160
employees on LI and in Manhattan, 50 acre campus...etc.)
taken out, no profit sharing, no ownership interest for even
long term executives who have been with the firm 15 years...
A more realistic figure for what he was "paid" is probably
under $1 billion.

Also, interestingly, Forbes has his wealth dropping by $100
million between this year and last. I guess they missed the
Alpha survey. By my calculations his net worth should have
increased by over $2 billion, even taking into account his
considerable charitable donations. Either I am missing
something, or Forbes is.

.
 
Thx, Kevin! Very insightful responses. Yes I agree with you, I've been following Simons since 1994 and I too have noticed the funds that went bonk and the various contradictory statements.


I wonder how the Berkeley prof feels about selling out his stake in Medallion/Rentec....
 
Quote from Kevin Schmit:



There is something wrong with the Renaissance story.
It rings only slightly more true than Eddie Lampert's
kidnap story.
More...

What's your take on the Lampert kidnapping?
 
Quote from Kevin Schmit:

Renaissance returns = 1/3rd small edges + 1/3rd volatility
pumping + 1/3rd snake oil

For the small edges SPlus has put out a few white papers
on financial time series modeling. For the volatility pump
anything by Thomas Cover.
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thanks Kevin, i have looked up the Splus paper; not sure if i have found the right one (it was on the FX crosses), but it's nice to get at least a remote idea of what they are doing.

would someone knowledgeable be kind to explain / summarize in layman's terms (or otherwise) what "volatility pump" might be? i have looked up Thomas Cover's book on amazon, but i am not sure that i have sufficient math background to fully comprehend it.
 
Quote from fader:

thanks Kevin, i have looked up the Splus paper; not sure if i have found the right one (it was on the FX crosses), but it's nice to get at least a remote idea of what they are doing.

would someone knowledgeable be kind to explain / summarize in layman's terms (or otherwise) what "volatility pump" might be? i have looked up Thomas Cover's book on amazon, but i am not sure that i have sufficient math background to fully comprehend it.
More...

I also fail to see the connection between "volatility pump" and Thomas Cover's book on information theory. Can anyone explain?
 
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