Quote from: Kiwibird on July 15, 2019, 10:49:28 PM

Quote from: unwashed on July 14, 2019, 04:00:53 PM

So, something to share, a number of years ago I read an article about an investment fund that constantly beat the market. It is a private fund only offered to employees to the Company. The interesting part is the people who ran the fund had created a system solely on science, numbers and correlations. They only hired "Quants", for the people who do not know what quants are ,they are Phd's of various fields, specifically Mathematicians, Physics and Science. Wall street started using them in the mid 2000's but this fund have been using them for much longer. The company also required the quants to NOT have any financial background. At the time their investing record was very very impressive, they always beat the market with returns and performance in the double digit area. Since 1994-2014 their average return was 71%, wow how do I get in, lol. You can't, you have to work for them, Angry

. what's more interesting is they since opened two funds to the general public but doesn't even come close to the performance of their flag ship fund, Medallion fund and the Company's name Renaissance Technologies.

Quote

n 1988, the firm established its most profitable portfolio, the Medallion Fund, which used an improved and expanded form of Leonard Baum's mathematical models, improved by algebraist James Ax, to explore correlations from which they could profit. Simons and Ax started a hedge fund and named it Medallion in honor of the math awards that they had won.
enaissance's flagship Medallion fund, which is run mostly for fund employees,[8] "is famed for one of the best records in investing history, returning more than 35 percent annualized over a 20-year span".[5] From 1994 through mid-2014 it averaged a 71.8% annual return.

My point is Why would anyone want to sell a system that almost doubles your returns every year? It seems Renaissance Technologies isn't willing to give up their secret trading system to anyone. Which I don't blame them.

https://en.wikipedia.org/wiki/Renaissance_Technologies

https://www.armstrongeconomics.com/armstrongeconomics101/basic-concepts/understanding-performance/

'Understanding Performance - Socrates v Medallion

QUESTION: Marty; I invested in your Deutsche Bank hedge fund and the performance was about 3 times that of even the Renaissances Medallion fund. Your employees said for the public fund you closed positions early because you were making too much in 1998. Yet that was still about 3 times what Medallion produced in 1998. Medallion is closed since 2005 and nobody has been able to duplicate their returns no less yours. You said at the WEC you had no interest in returning to managing funds. Why is it that the only two quantitative funds to be successful, you and Renaissance, do not take on more clients?

ANSWER: Performance declines the larger a fund becomes. There is a limit to the amount of money one can manage on the same scenario. Conspiracy theorists do not want to hear that. But this is reality. Someone can return 50% with $10 million and lose money with $100 million. As I will point out, the scope of trading is paramount to fund management.
To set the record straight, yes I had to close out positions early in 1998 in the public fund because we made way too much money. That may sound nuts, but in a public open fund you cannot post gains in the hundreds or percent for a two months. It would upset the entire industry cause all sorts of problems even with regulators. The model correctly forecast the Long-Term Capital Management Crash. I sold $1 billion worth of Japanese yen at 147 against the Yearly Bullish Reversal in addition to numerous other markets. They began calling me Mr. Yen for that trade....

As others have said, Rentech can be verified, has been audited and performance is documented. MA mentions only 1 year but Rentech has been consistently returning on average 71% a year. Geez, a 10K investment makes you a multi-millionaire in 10 years. Can MA show this of his system? I do agree that size is a factor so shouldn't an individual with a system like this return 200% a year?