Jim Simon's Rentech beating all the other hedge funds(quants or not) again. Genius. The one quant manager I admire the most on so many levels. A supergenius academics. Chern-Simons theory is used in superstring and other areas of modern physics. Deep thinker. A philanthropist too. Articulate and well spoken as well. https://www.zerohedge.com/markets/j...-expects-more-volatility-ahead#comment_stream
But Universa doesn't have 66% annual return for the last two decades or whatever. LOL. Universa only makes money in a crisis black swan event and lose money most of the time.
Yet Ren Tech's other funds seem to have taken a pretty big hit https://www.elitetrader.com/et/thre...t-hit-due-to-coronavirus.342582/#post-5056120 https://nypost.com/2020/03/31/renai...e-fund-takes-17-percent-hit-amid-coronavirus/
https://www.afr.com/markets/equity-...ls-failed-during-march-mayhem-20200418-p54kzp Renaissance quant models failed during March mayhem Miles Weiss Apr 18, 2020 – 9.33am 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. Jim Simons' Renaissance, with assets of $75 billion, is an industry pioneer known for high returns and secrecy. Fred R. Conrad/The New York Times 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. The setback for one of the industry's best known hedge funds is another example of the turmoil wrought by the coronavirus. The pandemic has stalled global commerce, ended a record bull run for stocks and forced the Federal Reserve into an unprecedented multitrillion-dollar rescue of financial markets. Renaissance's Institutional Equities Fund suffered a similar blow in 2007, when the subprime mortgage crisis stung quantitative firms, spurring them to sell assets at fire-sale prices to reduce leverage and stanch losses. Back then, the quant models were confounded by events they hadn't seen before: widening credit spreads amid a plunge in housing prices. This time, the shock is a pandemic that shut large swaths of the economy in a matter of weeks. "Renaissance isn't magic," said Nick Patterson, a former executive at the money-management firm who works as a senior computational biologist at the Broad Institute of MIT and Harvard. "If Martians invade, they haven't got a model for Martians invading." Still, RIEF rebounded in April, gaining almost 5 per cent through Monday, according to a person with knowledge of the matter, who asked not to be identified because the information isn't public. A spokesman for New York-based Renaissance declined to comment. Renaissance, with assets of $75 billion, is an industry pioneer known for high returns and secrecy. Its reputation is based mainly on the performance of its Medallion funds, which are open only to members of the firm and averaged 40 per cent annual returns after fees from 1988 through 2018, outstripping others such as RIEF. RIEF posted a rare loss of almost 1 per cent in 2007, lagging behind the S&P 500 Index's return of 5.6 per cent, with further declines the next year as the bear market kicked in. After investors began pulling cash from RIEF in late 2007, Renaissance for several years considered shutting its external funds to outsiders, but ultimately decided to keep running them at reduced fees. While Medallion makes thousands of split-second trades in the equities and futures markets based on computer algorithms, RIEF holds stocks for weeks or months in an effort to outperform the S&P 500 with less volatility. RIEF targets a beta of no more than 0.4, meaning a 10 per cent drop in the S&P 500 should translate into a loss of 4 per cent or less. As the coronavirus spread from China around the globe last quarter, businesses closed, U.S. unemployment soared, oil prices tumbled and the S&P 500 fell 20 per cent. RIEF slid about 14% for the quarter, according to the person. Had RIEF stayed within its targeted beta, the maximum loss would have been 8 per cent. RIEF investors aren't pulling capital from the fund in this year's tumult, the person said. Last month "exceeded the amount of dislocation that occurred in August of 2007," based on a preliminary analysis, said Andrew Lo, founder of the quant firm AlphaSimplex Group and a finance professor at MIT's Sloan School of Management. "We were seeing very significant ripple effects from a variety of macro shocks, including but not limited to COVID-19. "Renaissance offered few specifics about went wrong, though the firm updated its summary of risks to include several developments that affected money managers last month. One new disclosure centered on circuit breakers, which exchanges use to halt trading when benchmark index declines reach certain levels. Circuit breakers can affect futures markets, making it difficult to trade or liquidate positions, potentially resulting in "significant losses," Renaissance said in its filing. The breakers for US stocks were tripped four times last month, triggering market-wide halts for the first time in more than 20 years. Large financial firms including Morgan Stanley and BlackRock may seek changes in the way the mechanisms work, the Wall Street Journal reported this week.
If you read the book Simons said that funds open to public are very different from medallion. Still everyone rushed to invest. One of the most important books for algo traders ever published. Amazing Job Medallion!!!!
Simons long term performance is incredible. I know of a CTA - Quant from Bell Labs with a 10 year ROR of 43% & very shallow & brief draw-downs. This Quant has a pile of Noble prizes & patents related to SP in telecom networks. A few engineers from Bell labs/Telcordia, that worked on signal processing(SP) - the filtering of noise from telecom networks, have had incredible performance in the market. Many banks & hedge funds have hired SP engineers, this includes James Simons. I am a content discretionary trader, as a hobby I have been reading patents & Telcordia pubs related to SP, trying systems rooted in SP protocols which I sees as the systematic version of classic TA in many respects.
The question to ask is ... why is his own fund reserved for himself and employees doing much better than the fund for outside investors? What happened to fiduciary duty to clients? Money managers have no fiduciary duty to their clients?