Renaissance Says Quant Models Misfired During March Mayhem

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dealmaker

Renaissance Says Quant Models Misfired During March Mayhem (Bloomberg)
For Jim Simons, history is repeating itself, at least when it comes to meltdowns in the quant fund world. Computer models at Renaissance Technologies, the firm founded by the mathematician and former codebreaker, misfired when volatility surged this year, contributing to a first-quarter loss at its largest hedge fund. The beta models, which help determine portfolio exposure at funds for outside investors, “in recent volatile markets have not performed as expected,” Renaissance said in a March 30 filing.
 
Kinda horseshit article. The beta models for their non-Medallion funds screwed up, big deal.

That filing has some interesting stuff though on Medallion. It's explicitly short-term, trades ETFs and also Bitcoin futures.
 
dealmaker said:
Renaissance Says Quant Models Misfired During March Mayhem (Bloomberg)
For Jim Simons, history is repeating itself, at least when it comes to meltdowns in the quant fund world. Computer models at Renaissance Technologies, the firm founded by the mathematician and former codebreaker, misfired when volatility surged this year, contributing to a first-quarter loss at its largest hedge fund. The beta models, which help determine portfolio exposure at funds for outside investors, “in recent volatile markets have not performed as expected,” Renaissance said in a March 30 filing.
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That's waht i've rea. Fundamentalists make more money during a crisis than quants. May explain these slow movements of the market to when it comes to information digestion.
 
Medallion is just a $10 billion fund, and they make around 3Billion a year from it most years.

Yeah is good, that they have been doing that for so many years. But its a limited size strategy.

And relies on secrecy.

If those secrets got out the edges would be gone in no time and Rentec would be like any other fund struggling to beat the S&P.
 
southall said:
Medallion is just a $10 billion fund, and they make around 3Billion a year from it most years.

Yeah is good, that they have been doing that for so many years. But its a limited size strategy.

And relies on secrecy.

If those secrets got out the edges would be gone in no time and Rentec would be like any other fund struggling to beat the S&P.
More...

DOesn't smell right to me. They reserve the best fund for themselves to maximize their earnings. They reserve the inferior funds to outside investors. For these inferior funds, if RenTech cannot make money from the markets, RenTech can at least make money from outside investors who have to pay for inferior performance regardless of returns.

Very good business model. Disgusting way to make a living. Having said that, I do like RenTech's transparency. They're completely honest with outside investors about this one-sided business model. So, if these rich suckers decide to take up RenTech's offer, don't blame RenTech. Blame themselves. YOu have a choice whether you want to be a sucker or not.
 
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