Falkenblog wrote down his musings on the amazing Medallion Fund of Jim Simons's Renaissance that has made a consistent 45% per year. Simons is a mathematician who discovered something called the Chern-Simons form or invariants. Among the possibilities Falken mentions is that the fund is applying (1) superfast computers, (2) a pair finding algorithm, (3) market making in that specific segment (intensive selling and buying) and (4) an algoritm to exploit opportunities. The technique is obviously not scalable and must be kept secret to maintain it viable longer.
Falkenstein's thought-stream suddenly stops in the middle of a sentence, which is strange as he is a very well-rounded prosist. Maybe he suddenly he had insight of the "secret" and forgot he was writing down his thoughts. Good luck!
3 comments:
I don't think it's just one algorithm; if it were, he wouldn't have a big staff of highly paid gnomes working for him.
Somebody said "Medallion is a volatility pumping strategy, relying primarily on short-term mean reversion; RIEF is a fundamental factor-based model, though not one built in a strictly beta-controlled way as most factor quants do."
Another said Medallion is employee owned and skims other funds managed by the same group. Lech teda... as we say in hebrew.
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