RenTec vs LTCM

Discussion in 'Professional Trading' started by vergdb, Jan 11, 2009.

  1. vergdb


    I've been trying to look for information about rentec all this time but only Wikipedia has some information about them. How are their mathematical approach differ from the style of LTCM? also, is there a way that they are also using a little bit of technical analysis in their approach since I read one time that they're hiring astrophysicist who studies movement of stars to be applied on movement of prices.
  2. We won't find out until they blow up and Michael Lewis writes his book. :) There are (so far unsubstantiated) rumblings...
  3. Euler


    LTCM and Renaissance aren't really comparable, in my opinion. These two names represent totally different management styles, organizational structures, and levels of sophistication (Renaissance's being orders of magnitude above that of LTCM, whose core "strategy" seems to have been overleverage of substragegies deemed "safe" by simplistic, incorrect models). And it seems pretty unlikely that Renaissance faked their returns of the past couple of decades, given that a lot of academics with nothing to gain have come out of Rentec and rejoined academia with no complaints. But that's just my opinion so take it with a grain of salt :D

    Mathematically, it seems to me that they are probably as different as night and day as well. Of course, it's not public info as to how Renaissance makes its decisions, but the people who wrote the algos have certain backgrounds that you can figure out for yourself, if you have the inclination. Or, for a much more accessible account, consider reading "Fortune's Formula" with "Fooled by Randomness" (for the LTCM side) -- a pairing worthy of at least two Michelin stars if not three :cool:
  4. RecTec runs an arbitrage based on earnings estimates and earnings actuals. It's highly quantified. LTCM ran a reversion to the mean strategy based on interest rates. These are two entirely different strategies and should not be lumped together. RenTec makes a huge amount of small trades. LTCM made a small number of huge trades.
  5. IMO the only math RenTec uses are Ponzi calculations (new deposits/old customer withdrawals).
  6. vergdb


    I'm getting a thread of good answer till you came
  7. TraDaToR


    Medallion trades futures, right? Are you talking about REIT?