This page has been archived and commenting is disabled.
Quant Giant RenTec Has Best Month Ever In October Thanks To... Shorts
For all purists still stuck in a world in which humans are the most efficient allocators of capital, and where, under Ben Bernanke's centrally-planned New Normal, shorting stocks has become blasphemy, the following table showing the monthly return of quant giant RenTec's chief equity fund open to the outside world, the Renaissance Institutional Equities Fund (RIEF B), whose AUM has ballooned to $8.7 billion in the past few years, will come as a shock. Because the quant strategy-driven fund, which does not look at fundamentals but purely at technical relationships and quant arbs, just posted its best month in history in October returning 8.65% nearly doubling the 4.60% return of the broader market.
But the truly stunning aspect of RenTec's October performance is that it was not driven by a highly levered beta position (2x leverage on the S&P would do it easily) which is how virtually everyone else does it (a strategy that works great as long as the market is going higher), but instead thanks to that nearly forgotten aspect of a "hedge" fund's exposure - shorts.
From RenTec:
Where did RIEF’s alpha come from? The answer is that it came from the short portfolio. In fact, we made so much alpha in the short portfolio that we made positive profits from our short positions despite the S&P 500’s 4.6% return in October. Drilling down further, we note that almost half of RIEF’s alpha was made in the Barra Biotechnology and Drugs industries. Within those industries, RIEF is short in many of the smaller and (presumably) more speculative names. Those issues fared particularly poorly in October as the two industries combined had a cap-weighted return of 2.8% but a flat-weighted return of -4.3%. Since RIEF is long overall in Biotechnology and Drugs, but made its alpha in the short portfolio, the fund’s gains are a result of stock selection rather than sector or industry selection.
The good news: alpha generation still works. The bad news: one has to be a math genius or a robot to figure out how to do it. For everyone else - especially those 90% of hedge funds underperforming the S&P for the fifth year in a row - the Pied Piper of Marriner Eccles has an unbeatable deal on all time high beta-chasing margin debt.
- 16308 reads
- Printer-friendly version
- Send to friend
- advertisements -




its all coming unravled. there is weakness in them thar charts. i can see it like neo in the matrix. s&p 1000 by feb
it's times like these that I need to go to my happy place.....
http://imgur.com/INr4M7T
2 n 20 - Meh!
Doesnt this fund get 5 n 45?
Very very few come close to Jim Simons.
I am amazed that he is such a smart guy with more money than God and he still smokes cigs. Weird.
Jimmy once said that everyone dies eventually and that cigs help him calm down. His one vice, and he would rather go out knowing what kills him. Guy is pretty high strung on a good day with a famous short fuse.
Bigger point is that with everything going sigma-1 and fed is the only signal that matters, of course signal-driven funds would be blowing the doors off the world.
The takeaway from this is that TD & the strategists are correct in that a Keynsian world is replicating the signal trading of the old USSR bond markets, on a meta level.
Good times for quant jocks and econometric parallel trading.
Charts are meaningless these days. Until Benny stops printing, It's all Bullshit!!!!
still trailling the S&P YTD
The math is not all that difficult. You do not have to be a math genius for this. You do need the right infrastructure, which is not all that expensive either.
Exactly right, that's why medallions returns are so middle of the road /sarc.
folks are missing the point. The math is not that difficult. You can figure it out and game the HFTs. Why is everyone throwing their hands in the air like they've lost?
Look, you probably cannot compete with their speed. BUT, the math and strategy??? Game on.
OK, I'll bite. Explain it to me like I'm a 3rd grader.
You build things based on what you know. This is true for you, and it is true for the physicists that are building HFT models. If you scan through tic level data, it comes alive with signatures of real physical systems. You can still find a lot in much longer time-scale data. Try telling me that people naturally trade as if they were a 'driven particle in a viscoelastic medium.' This is just one example (but a very common one), there are plenty more.
You have to find the catalyst that sparks one of these algos. It appears that algorithms based on different physical systems are initiated by different catalysts. And it makes sense how this could benefit an HFT firm in different cases. At any rate, principle component analysis of several dimensions of the market can point you to the catalyst in many cases.
This is brief and terse, but you get the idea
Don't even try farFromEq, they won't get it. Unless it involves P2P cryptography, or some other penny stock-type scam then it's the fucking devil for this group.
They are the chosen digital ones, not HFT.
Over.
I'm new to posting here. Is there that much paranoia? I'm just trying to point out something that is going on and can be eploited with a little effort. Fill me in Bing.
Almost from day one they have been anti-HFT, it's direct competition. Keep your head low. Say 'yes massa, I be luv'in my bitcoin' , a lot. And you'll be ok.
Over.
dude, why u down vote'in me bro?
Over.
Wasn't me.
Particle in a viscoelastic medium? No. Particle in an electromagnetic field? Yes.
Wrong, if you're trying to derail the argument then be specific. What if you're 'particle' was non-metallic, huh??
Over.
Sorry I don't follow. I am derailing... what exactly?
People use my description in finance all the time. There is nothing to do with "metallic."
Potential doesn't need metal to act upon.
Like I said, many physical models.
Man makes a good point. It's not like Tyler&Tyler&Tyler etc haven't been highlighting these trigger areas for the benefit and amusement of a wide audience.
Try telling me that people naturally trade as if they were a 'driven particle in a viscoelastic medium.' This is just one example (but a very common one), there are plenty more.
Right, because this is basic physics. And it's one thing to point out general patterns it's another to effectively run a system to trade them.
I'm with you. Of course, their goal is not price discovery/efficient markets. They are just trying to make money.
You cannot program true randomness in code.
Example of true randomness:
Interface a Geiger counter to your computer, capture signals, move a smoke detector near the device to increase signals.
System::Random is not random.
The same is true with algos. You can sleuth their patterns, it happens all the time. Spy v. Spy.
Over.
the dizzy herd walks off the cliff...if the herd jumps off the bridge...? Who consistently beats the S&P?
Tides of Empire
The American middle class is about to be awoken, and it’s not going to like what it sees, having worked so hard to float downstream with the empire. Labor is migrating to a 24 hr workweek, by eliminating compliance entitlements, whether anyone likes it or not, because capital’s demographic ponzi has passed top-dead-center, globally. Look at the data.
America as an empire is a scam, as are all empires. Capital presents the economic lifecycle as labor, middle class, capital, creating the perception of upward middle class mobility toward capital, the rising tide, with a rigged lottery compliance ponzi, and associated corruption everywhere. Now that the ponzi is collapsing, middle class participants are falling, competing to be last to fall, throwing each other under the bus, hoping for another iteration, which is not coming, which is why you are looking at Nazi outcomes.
The cycle, beginning to end, is labor, capital, and middle class, which repeats with the so-distilled kernel. The capital education propaganda system simply shifts the point of origin to capital and employs the credit debt system to run the media presented economy backwards, delaying only the outcome perception.
Normally, capital would reverse Family Law polarity at this pint, to favor males again, and continue priming the ponzi with new shills imported for the purpose. The problem/solution is globalization.
Accept a lower standard of living because the rest of humanity suffers from a lower standard, equality under global law, and bow to government for privilege, on the way back to the DNA churn pool, NOT. China is not the future. That empire had its turn.
America was the rabbit, and the dogs caught it. A little common sense folks…capital isn’t formed in an office building with words on a piece of paper. The beginning, middle and end of capital’s plan is greed, which works until it doesn’t, depending upon how much gravity you want at TDC.
Capital is a derivative of labor. It’s not about the job and it’s not about the property. It’s about people, and you cannot change human herd behavior in real time, which is why capital is always seeking another shell to hide under. Don’t expect Silicon Valley to change course as the cliff erodes to its position. The peak exposes the reef in the valley. That’s why all those ships are down there.
Accounting paper profit on artificial asset inflation, a dance between Wall Street and the Fed, is not a business. Corporations are just pieces of paper with bankruptcy preference over people in a ponzi that is always bankrupt. Summers and Yellen wouldn’t have jobs if the critters didn’t want to use their house as an ATM machine to get something for nothing, sunk purchasing power.
You only need a constitution and money to grow a middle class beyond natural proportion. Labor doesn’t suffer from such a lack of constitutional character. A paper contract is not worth the paper it is printed on. Time, not money or property, is the measure of human endeavor.
You may want to adjust to the new workweek before the lights go out. Discount your RE values, the distillation gradient slope of Police State Power, beginning with the natural course of water, to close out the empire developers. Sometimes, you start over, as an investment in your children, to show them the process.
The Internet is just the Xth derivative of the global communication system, implementation of QEInfinity, reaching for the limit of diminishing returns. Opensource has been training kids since before Kissinger’s Monsanto Crop of Bay Area programmers were born. Let’s see who ends this war. Communication doesn’t begin with a handshake by accident; watch out for the current, The Imperative.
It always floods after the drought. Wire around it beforehand, so you have lights while you work. Run a temporary to the new motor, add features by floor, and put on the dress. It’s always the same process, and it helps to have a new motor, with new forward gears, ready to go.
There is always an economy being built and an economy being dismantled. Dismantling is a job. Building is a lifetime avocation. They run in opposite directions. The empire teaches dc. Find an old-timer with patience if you want to learn ac.
Remember driver’s ed, how the critters looking in the rear view mirror always ran the red light? Farm kids learn to drive when they are 5. Let the critters in a hurry pass you by; they are all going to the VIX casino, to be shorted by another short squeeze until they are slaughtered.
Don’t waste your time trying to explain the kernel. It’s About Time. Render unto Caesar, and get on with your own life, minus the artificial anxiety.
What are you, sniffing glue?
I don't even know. Once I see more than 5 or so lines, I'm done. I can't invest that much time in it, it's too risky. What if it's some manifesto from some CIA spook?
Sorry Charlie, Tweet it out BRO!
Over.
The trading algos constantly look to exploit the shorts. Run it to short covering.
it's all in the charts.. no further explanation necessary.
Neoliberal dictatorship threatens Venezuela
Indications that the US incite a Chile-type coup
http://failedevolution.blogspot.gr/2013/11/neoliberal-dictatorship-threa...
Brazil just bought a whole bunch of Russian tanks and air defense systems, and I beleive they have a discrete nuclear program.
Brazil going full retard Socialist is fait accompli.
Oh look, the co-CEOs wife is Commisioner of the FDA!!
And they made all their money shorting biotech and drug companies!
LOL!!!
Here she is:
http://en.wikipedia.org/wiki/Margaret_A._Hamburg
WSJ article explaining why she had to dump her family's position in RIEF:
http://online.wsj.com/news/articles/SB124328188115551961
this is funny, when Republicans surrendered I dumped all my biotec & drugs too, that was a no-brainer, the private medical insurance market is strapped in, lubed up & ready to be raped.
Think the American people will care about their "former" insurance carriers? (lynchmob comes to mind)
LOL
I went long gold & oil, gold is cheap, you can still buy it with fiat (amazing I know) but why buy the gold and not the mine?
Babylon
LO fuckin L. I should have known.
I always figured TPTB would keep the ponzi running indefinitely simply by front running their own policy actions but it's kind of a non-exclusive business model, with the Snowden revelations lots of people can be insiders too, add in google's AlGorerythems and you can actually front run the insiders own activities.
This book will introduce the reader to the "Quant" concept:
ISBN# - 978-1935436201
Still workin' through it myself...
Not a bad read... good intro for those uninitiated to the workings of algos and colocation.
Very few quants can see the forest through the trees, or the reverse of that.
The dangerous quants are those that can do the math, but also communicate it to peoplle in relative/intelligible terms.
That is a true gift and those people should be fear.
God generally taketh from one area and provide abundance in another (all smarts, no personal). But when they got both - watch out and hope they use it for 'good' (yes, that's relative term... but you get the point).
I LOLed when I read "Comprehensive examination..quant" in a 74 page book.
Sure guys, that'll help ya.. lulz.
Amazon reviews are not too friendly toward it. though, relatively small sample size.
If you think you're going to find RenTec secrets in a $20 book , or anywhere for that matter, you're dreaming more than the sheeple are of a recovery....
Agreed - but automatic -1 for use of the idiotic "sheeple".