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The Algorithm Behind Jim Simons's Success

103 点作者 SirLJ12 个月前

11 条评论

jexp12 个月前
RenTec was covered in much depth at the Acquired podcast. Basically algorithms from signal processing applied to huge volumes of historical and current data to determine buy and sell signals. Originally developed for national defense.<p>Very secretive all external partners were bought out. Only hundred or so people benefited in the billions per person. Including Robert Mercer of Trump campaign financing and Cambridge Analytica fame.<p>Very interesting but also disheartening episode about smart people only caring about getting richer.<p><a href="https:&#x2F;&#x2F;www.acquired.fm&#x2F;episodes&#x2F;renaissance-technologies" rel="nofollow">https:&#x2F;&#x2F;www.acquired.fm&#x2F;episodes&#x2F;renaissance-technologies</a>
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lordnacho12 个月前
Great book about his that is mentioned in the article, well worth reading. I read it and recognized a lot of interesting things in the evolution of his thinking, in terms of strategies. I think most of what they do will be recognizable to someone in the business.<p>In the end though, it&#x27;s not about the specific strategies. If I steal the recipe of a Michelin chef, I will still not be able to make a sufflé, since I don&#x27;t have the prerequisite skills. I might be able to give it to someone who does, and maybe he will make something similar to the original, but even this person would not be able to follow the evolution of the original chef into making new, innovative dishes.<p>In the end it seems that this highly technically proficient guy actually succeeded in building something as nebulous as a winning culture.
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DeathArrow12 个月前
Assembling a team and keep working on something for 10 years when you are unsure whether it will work or not, requires a huge amount of passion, dedication and patience. I think most people would quit early if they don&#x27;t see a rapid pay off.
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clpmsf12 个月前
I listened to a talk to that Jim Simons gave at San Francisco State University about a decade ago in which he mostly recounts his life and career. Towards the end when he was describing the state of the fully realized RenTech firm, he mentioned that they collect approximately 7TB of data <i>per day</i>, and that the #1 investment rule is that a human never, under any circumstances, intervenes with what the model (he said &quot;the computer&quot;) decides.
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lencastre12 个月前
Be humble, work with smart people, don’t give up too quickly, appreciate that luck plays a factor.<p>Simmons, Charlie, and surely others have said that, maybe did that as well, and… got lucky.
JSimonsIsJCrow12 个月前
Money laundering?<p>Tax evasion?<p>Political bribery racket?<p><a href="https:&#x2F;&#x2F;news.ycombinator.com&#x2F;item?id=40348393">https:&#x2F;&#x2F;news.ycombinator.com&#x2F;item?id=40348393</a>
keithalewis12 个月前
There is also this: <a href="https:&#x2F;&#x2F;www.reuters.com&#x2F;business&#x2F;finance&#x2F;renaissance-executives-pay-about-7-bln-settle-tax-probe-wsj-2021-09-02&#x2F;" rel="nofollow">https:&#x2F;&#x2F;www.reuters.com&#x2F;business&#x2F;finance&#x2F;renaissance-executi...</a>. Fancy-pants maths and platitudes are not needed to make 20-40% returns when you are cheating the government out of taxes.
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smarm5212 个月前
Obligatory: The set of investors is huge, some are bound to get lucky.<p><a href="https:&#x2F;&#x2F;en.wikipedia.org&#x2F;wiki&#x2F;The_Black_Swan:_The_Impact_of_the_Highly_Improbable" rel="nofollow">https:&#x2F;&#x2F;en.wikipedia.org&#x2F;wiki&#x2F;The_Black_Swan:_The_Impact_of_...</a><p><a href="https:&#x2F;&#x2F;en.wikipedia.org&#x2F;wiki&#x2F;Black_swan_theory" rel="nofollow">https:&#x2F;&#x2F;en.wikipedia.org&#x2F;wiki&#x2F;Black_swan_theory</a><p>And, the more money you have, the easier it is to get more; the curve is exponential.<p>Piketty, T. (2014). Capital in the twenty-first century. Harvard University Press.
earnesti12 个月前
Wasn&#x27;t he also a chain smoker?
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Lio12 个月前
<i>“I did a lot of math, I made a lot of money,” he reflected on his life, “and I gave almost all of it away.2 That&#x27;s the story of my life.” And what a life it was.</i><p>-<p>This has got to be the dream hasn’t it.<p>Making money not because you want a gaudy gold bathroom in a New York or London flat but because you can and because it’s fun to do.
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sashank_150912 个月前
It still feels very fishy to me that a closed capped fund has insane returns while the public fund that investors can invest in, has lukewarm results (not even beating the market from what I recall).<p>Seems like too many people, especially those that have no experience in the industry bought into the myth that genius mathematicians beat the market etc. The truth is that the market is mostly a zero sum competition between its participants. If RenTech is so good, they should have people that are a class above everyone else. Does someone claim that RenTech has more smart traders than Jane Street, Citadel etc? All of these people hire IMO Gold Medallists etc, and after a point there are diminishing returns on intelligence, someone who won IMO gold is not that much better than someone who got silver in intelligence. Even assuming RenTech got the cream of the cream, only golds while Jane street got the Silvers, I doubt there is enough alpha there for RenTech to have the insane spectacular market performance that they show. But that is likely not the case, they have people of similar caliber to Jane Street, Citadel etc which makes their outsized performance even more intriguing.<p>The only possibilities I can think of, is 1 they are cooking the books, this would be insanely risky but not something unheard of in this industry. 2 they have discovered a few trading strats that they have maintained as a closely guarded secret all these years that allows them to get their edge on the market. Or similarly, some of their founding team are just godlike traders who always beat the market and once they’re gone RenTech will also fall. This feels even more unlikely, considering employee attrition and such but might be possible.<p>For what it’s worth, I’ve had friends that interviewed with RenTech mention to me that it was an okay interview, heavily focused on C++ technical details (especially latest C++11 features and above) but not harder than an equivalent Citadel interview etc.
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