How much is Renaissance's trading algorithms worthy ?

Discussion in 'Strategy Development' started by jimshaw, Mar 26, 2009.

  1. jimshaw

    jimshaw

    This is a hypothetical question.

    How much is Renaissance Technologies’ trading algorithms (methods/strategies) worthy ? Particularly trading algorithms (methods /strategies ) of its Medallion fund.

    In other words, how much do you think the market would like to pay for the algorithms/methods/strategies (the secrete of Renaissance ) ? (Assume they will be sold to an exclusive buyer).

    A: <1 Million$
    B: <10 Million$
    C: <100 Million$
    D: <1 Billion$
    E: > 1 Billion$
     
  2. tgtrader

    tgtrader

    definitely more than $1 billion. Simons has said that the funds trading strategy could handle upto $100 billion... His returns are insane (in 2008 WELL over 100% before fees) with very small equity retracements (giving the funds insane sharpe ratios as well). I know a few fund managers off the top of my head who would do or pay almost anything for the secret behind that place
     
  3. Why doesn't Jim have any offshore funds?

    Any thoughts?
     
  4. well, medallion gained about $7 billion dollars in 2008.
    With P/E ratio of 10 the fair price is approx. $70 billion.

    however since all this is 'historical' and most of the stuff is 'backtested' and some probably GOD PROTECT US ALL FROM THIS EVIL :D - optimized, the average Elite Trader would be willing to pay between $1.99 and 9.99

    simons admited that they change their models on a weekly basis, so this makes these algos difficult to swallow for most traders because they all think like this:

    "what?? i have to throw these great systems so frequently or modify them? in this case they are worth nothing! i want a single system which will work forever without any changes, give me it! and if there's none of that kind, then all these systems and backtesting is crap"

    big institutions are no better: their main focus is to rob the investors using mostly churning....

    in light of all this Medallion is really exceptional, they have the capital, the knowledge, no outside investors to exploit and most importantly -a common sense :)
    assuming of course they are not running some bizzare ponzi
     
  5. jimshaw

    jimshaw

    I guess they changed the models in a predefined way. For example, to tune some parameters according to feedback from recent transactions, not completely re-invent the model.
     
  6. Euler

    Euler

    Rentec's best algos only run Medallion -- essentially, Simons' own money and that of some other Rentec employees -- and can't run anywhere near $100 billion.
     
  7. jimshaw

    jimshaw

    What is the size of capital of Medallion at the end of 2007 ?
     
  8. There's no "secret".

    They are just applying classic relative value arbitrage...
    But doing it in an extremely optimized way.

    Anyone doing this well...
    Would have had huge windfall profits in 2008 because of...

    (1) Ridiculous market inefficiencies.

    (2) Expanded bid/ask spreads.

    And lots of volatility to exploit the above.

    Only total amateurs...
    Believe there's a "secret" behind the Top Quant Funds...
    They are all doing the same thing...
    But the hard part is scaling up once you are in the billions.
     
  9. jimshaw

    jimshaw

    But why lot of Quant Funds failed last year ?

     
  10. How do you RenTech won't fail this year? Or next year?

    Anybody else noticed that RenTech shows up multiple times on the Madoff client list?
     
    #10     Mar 27, 2009