The new LTCM
If you could nominate anyone for Long "Term Capital Management 2.0", who would it be?
Which fund is the most quant friendly, highly leveraged, arbitrage centric shop?
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By a mile, 37% annualised returns since 1989 - after a 44% incentive fee......
i don't think that's a complimeny to be called LTCM v 2. RenTech clearly has a way better record than LTCM
seriously though, i'd be pissed to be compared to LTCM
Didn't they post something like 45% returns initially?
who cares? they were rubbish.
The RenTech LTCM comparison isn't bad actually. They are (or were) both blackbox quant funds, run by PhDs, secretive, and make mind boggling returns without giving anyone a clue as to how they do it.
Yes, LTCM had a couple years of 40%+ returns (I think they were '95 and '96)
I'm interested in these kinds of funds. I like their quant approach. The whole personality cult (i.e. Soros, Lynch etc) thing seems like a real turn off.
My favourite fund is Dimensional (http://www.dfaus.com/). Managed by geeks and Nobel laureates, I like how they discount stock picking in favour of science and financial engineering....plus they've got an awesome library on their site and even a interview with Merton Miller
Character wise, DFA is my nominee for LTCM 2.0
...it also helps that they've been posting record returns for the last decade..and the kicker? Unlike personality cults, these shops can be expected to do so in the future
I think it's fair to say that LTCM had a great arb strategy to start with and were obviously secretive about it but as they applied the strategy the market naturally became more efficient and returns dropped so they leveraged up more etc until obviously the fat tail slapped them in the face.
As I understand it Renaissance finds correlations between any instruments and trades that, changing frequently and with no regard for the underlyings, it's all stats
this whole board is a rennaisance love fest. wow.
I've heard of them because they recruit at my school. Definetly an interesting shop, but it's not actually managed by Merton & Scholes, they just happen to be on its BOD. Merton & Scholes are on the boards of numerous funds, and I know Scholes is currently running a different fund near Greenwich.
Scholes' company is in NY, near Westchester.
Scholes' firm (Platinum Grove) is in Ryebrook, NY which is near Westchester, Stamford, and Greenwich.
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