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10 votes

Strategy of Renaissance Technologies Medallion fund: Holy Grail or next Madoff?

There is an extensive discussion of what is publicly known in Paul Wilmott's new book (which is a very enlightening and enjoyable read, btw): Wilmott, P., Orrell, D.: The Money Formula: Dodgy Finance,...
vonjd's user avatar
  • 27.5k
4 votes

Does inflows to ETF affect equity prices?

Most likely. If the ETF has more buyers than sellers, the sponsor or authorized participants will have to create units of the ETF. In order to create units of the ETF, they will have to go to the ...
AlRacoon's user avatar
  • 6,612
2 votes

Fund size and alpha

The main reason in the academic literature for alphas to decrease with fund size has to do with decreasing returns to ability. Think about it this way: Managers first allocate funds to the most ...
phdstudent's user avatar
  • 8,381
2 votes

Fund size and alpha

Most of this will be the sheer nature of statistics. Big funds tend to have more average results, small funds have more variance and thus have more of the high returns, but also likely more of the ...
Phil H's user avatar
  • 3,669
2 votes

How do I officially track the performance of my quant strategy? Do I need to be GIPS compliant for my performance to be legitimate?

Put your 100k in an account. Do not run any other strategy in the account. Run the account the same exact way you would run investor capital--same leverage, same risk parameters, same products, etc. ...
amdopt's user avatar
  • 4,348
2 votes

Retail Algorithmic Trading

Is there a risk management budget imposed on the trader beyond that which they impose on themselves, or is there a compliance or risk management department that enforces this? Usually there's ...
madilyn's user avatar
  • 5,240
1 vote

Fund size and alpha

I thought I'd contribute an answer that's more empirical and experience-based. I worked at an asset allocator earlier on in my career, and the company has a very strong bias toward NOT investing in ...
Helin's user avatar
  • 11.7k
1 vote

What is a good way to detect fund manager's active stock picks from his portfolio holdings?

I would like pile on with the recommendations for using activeshare.info. However, active share data is only available for mutual funds, so the use cases are limited. As your question title implies, ...
David Addison's user avatar

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