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macrocephalopod
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macrocephalopod

@macrocephalopod

Paul Allen, Vice President M&A, Pierce & Pierce (Sie/Hir) | Vegan | Silence is Violence | Women’s Rights Are Human Rights | ACAB (Assigned Cephalopod At Birth)

Joined December 2020

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    1. Quantian‏ @quantian1 13 Jan 2021

      Quantian Retweeted tae kim

      Did you guys know that different funds with different investment strategies run by the same management company can have wildly different returns, even in the same year? Vanguard should consider themselves ON NOTICE!https://twitter.com/firstadopter/status/1349563052027473920 …

      Quantian added,

      tae kimVerified account @firstadopter
      Internal fund for employees soared 76%, while funds for external investors lost 23% to 34% 🤷‍♂️ https://www.institutionalinvestor.com/article/b1q3fndg77d0tg/Renaissance-s-Medallion-Fund-Surged-76-in-2020-But-Funds-Open-to-Outsiders-Tanked …
      7 replies 2 retweets 127 likes
      Show this thread
    2. Quantian‏ @quantian1 13 Jan 2021

      Medallion is basically a HFT fund (my HFT friends will yell at me for this) in that it produces optically high (NON COMPOUNDING) returns because of massive spend on PhDs and computing power which doesn’t get factored into the denominator of the 76% figure. They’re not comparable!

      4 replies 2 retweets 68 likes
      Show this thread
    3. Quantian‏ @quantian1 13 Jan 2021

      If you had invested $1mm in Medallion in 2000, you would have received a return of about $15mm today, because your 70% earnings would have been paid out as a dividend every year and you couldn’t reinvest. That effectively works out to a 20 year CAGR of 14%- hardly mind blowing.

      9 replies 3 retweets 93 likes
      Show this thread
    4. ONAN‏ @ONAN_OUS 13 Jan 2021
      Replying to @quantian1

      Someone once told me of an options market maker - a Sharpe of 4.0 or something insane, never loses money, but the implied ‘expense ratio’ is like 30% of capital. Returns are incredible if you think of it like a fund. But it’s more like an operating business.

      4 replies 0 retweets 12 likes
    5. macrocephalopod‏ @macrocephalopod 14 Jan 2021
      Replying to @ONAN_OUS @quantian1

      Fun fact, 4-8 is a reasonable range for annualized Sharpe of a high frequency MN business which implies daily Sharpe of 0.25-0.5 so you expect they shd lose money on quite a few days, but in practice they don’t - explanation is their PnL is super highly correlated day to day

      1 reply 0 retweets 0 likes
      macrocephalopod‏ @macrocephalopod 14 Jan 2021
      Replying to @macrocephalopod @ONAN_OUS @quantian1

      You could structure a fund around this strategy but (a) why would you? (b) no institutions would invest because they wouldn’t be able to get the huge management fee past their board.

      4:21 AM - 14 Jan 2021
      0 replies 0 retweets 0 likes

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