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Re: Renaissance Technologies - Inside a Moneymaking Machine Like No Other

Posted: Wed Nov 23, 2016 11:25 pm
by Yesterdaysnews
These guys used "basket options" and other similar shady methods to avoid taxes and boost returns. These are not legit returns in the way individual investors think of things fiddling around on their fidelity account online. Us average folk individual investors have no hope as it is far from a level playing field. Thank goodness for Jack and Vanguard at least giving us an option to not play the game at all.

Re: Renaissance Technologies - Inside a Moneymaking Machine Like No Other

Posted: Thu Nov 24, 2016 12:55 am
by jalbert
From: https://ideas.repec.org/p/een/camaaa/2010-08.html

This paper tests the random walk hypothesis and weak form market efficiency in the VIX futures market using a variety of tests. A unit root in the aggregated market price series suggests that the VIX futures market is efficient. For the individual VIX futures price series, 51 of 54 futures contracts meet the sufficient condition for an efficient market: the prices are found to follow a random walk either because there is a unit root or because the increments are not correlated. Overall, the market for VIX futures has been efficient since the first day of trading.
A time series like VIX can have high internal correlation and still be a random walk.

Re: Renaissance Technologies - Inside a Moneymaking Machine Like No Other

Posted: Thu Nov 24, 2016 9:05 am
by Tanelorn
Yesterdaysnews wrote:These guys used "basket options" and other similar shady methods to avoid taxes and boost returns.
Seemed legal (and smart) and I'm sure they had millions of dollars of legal opinions on their side. The case hasn't been settled or resolved, but the IRS now requires such options to be reported for extra scrutiny and the banks have largely stopped selling them. Here's a bit of background.

http://www.withum.com/kc/hedge-fund-fun ... -planning/
http://www.bloomberg.com/news/articles/ ... ws-irs-ire

Re: Renaissance Technologies - Inside a Moneymaking Machine Like No Other

Posted: Thu Nov 24, 2016 12:56 pm
by ProfessorX
There was a really good even much better in depth article about what RT does maybe five years ago.

I would guess that they are doing a lot of legal front running in the medallion fund. Making pennies on every trade. They have more computing power than the NSA or something and they can just jump in front of lots of big trades all day every day.

That's the main way you can legally never have a down year. Not the kind of investing that almost any other people can pull off.

Re: Renaissance Technologies - Inside a Moneymaking Machine Like No Other

Posted: Thu Nov 24, 2016 1:05 pm
by livesoft
ProfessorX wrote:There was a really good even much better in depth article about what RT does maybe five years ago.

I would guess that they are doing a lot of legal front running in the medallion fund. Making pennies on every trade. They have more computing power than the NSA or something and they can just jump in front of lots of big trades all day every day.
I don't think they can do this as much anymore. There are lots of places that can jump in front of lots of big trades all day every day. It is actually quite a crowded space. See all the books by Scott Patterson on this. I presume you have read the book by Michael Lewis that came after these books already.