Jim Simons recently participated in three interviews hosted by MIT, covering mathematics, finance, and philanthropy. These are rare and lengthy conversations with one of the industry’s most interesting and private people. As much as I enjoyed the talks, the finance portion reaffirmed my belief that Renaissance’s Medallion fund probably doesn’t owe its success to magic. No methods or technologies they employ would individually shock or awe, and I’d wager there’s no silver bullet or big secret to what they do. Believing this doesn’t diminish what Medallion has achieved, I don’t think, at all.
There was an opinion piece recently posted on Bloomberg titled “Why the Quants Aren’t Adding Up.” In it, Satyajit Das describes why the recent relative underperformance of quantitative strategies (by his measure) is indicative of fundamental problems inherent to the technique. It’s the best, most vivid example I’ve yet found of confusing process (the steps taken to make a decision) and approach (the tools chosen to implement process).
Download as a PDF Introduction There’s a short preference test in this paper that most readers, if not all, will answer incorrectly. It’s a “preference test” (and not a quiz) because selections should be made without calculation or computation. I’m looking to test your intuition. Below I argue for why we should care about where our intuition is leading us, why it might be creating blind spots and how we can do better. Specifically, I attempt to demonstrate the limitations of financial judgement based on return to risk ratios (i.e. Sharpe ratios) and how using the following formula might lead to better outcomes:
At a recent conference I turned to an older colleague and asked, “What did this used to be like?” If you added the context of our setting and conversation, what I really said was, “When this industry was younger, developing, and more dynamic, what did it feel like?”