Renaissance Technologies

From Wikipedia, the free encyclopedia

You have new messages (last change).

Renaissance Technologies is a hedge fund management company. Renaissance was started by Jim Simons in 1982. Its $6 billion Medallion Fund has averaged 37% annual returns, after fees, since 1989, and is considered in the industry to be the most consistently successful hedge fund, yielding returns ten percentage points higher than legendary investors Bruce Kovner, George Soros, or Paul Tudor Jones.[1] Because it is so successful, it charges a 5% management fee and a 44% incentive fee. Extremely secretive (though unlike certain other investment management companies, not so secretive as to not have a public website), the company operates in East Setauket, Long Island, New York, near Stony Brook University. Administrative functions are handled out of offices in Manhattan.


Contents

[edit] Scientifically based investment strategy

For over two decades, Renaissance has been at the forefront of research in mathematics and economic analysis. Renaissance employs more than 70 scientific specialists, including mathematicians, physicists, astrophysicists and statisticians, who review market data to find statistical relationships that predict the price movements of commodities, currencies and stocks. These employees come from countries as diverse as Japan and Cuba [1]

Renaissance uses computer-based models to predict price changes in easily-traded financial instruments. These models are based on analyzing as much data as can be gathered, then looking for non-random movements to make predictions. Renaissance represents a validation of the quantitative trading model and trades with such high-frequency that it (the Nova fund, specifically) accounts for over 10% of all the trades occurring on NASDAQ some days.

It is worth noting that Nova trades execute purely electronically on direction from a computer model. Medallion fund trades are (in large part) executed through a trading desk, whose goal is to increase the value of the positions the model directs the desk to take by timing market trends and executing in novel fashions (including intra-desk trading).

Renaissance trades at margin levels uncharacteristically low among hedge funds. This allows them to significantly reduce exposure risk, while the efficiency of their computational model allows for consistently high returns.


[edit] Noted instruments

The Medallion Fund historically has traded non-stock instruments and is international in scope. American-traded instruments include commodities futures (energies, corn, wheat, soybeans, etc.) and US Treasury bonds. Foreign-traded instruments include currency swaps, commodities futures, and foreign bonds. The Medallion Fund has its own internal trading desk, staffed by approximately 20 traders, and trades from Monday opening bell in Australia through Friday closing bell in the US.

The Nova Fund historically has traded NASDAQ stocks only, executing purely electronically, with a desk staffed by 1-2 traders overseeing operations. In the mid-1990s, Nova was one of Instinet's largest volume customers. On one day in 1997 Nova executions accounted for 14% of the share volume of the NASDAQ.

The Renaissance Institutional Equities Fund, started in mid-2005 is being offered as a "mega-fund" for institutional investors; reportedly it has a capacity of up to $100bn.

Renaissance runs a number of other funds in various markets, including mortgage-backed securities and funds of external managed funds.

[edit] Key Personnel

  • Jim Simons - Founder, formerly Chairman of the Department of Mathematics, SUNY Stony Brook
  • Henry Laufer - Vice President of Research
  • Paul Broder - Manager, Medallion Fund Trading Desk
  • Robert Lourie - Head, Futures Research
  • David Magerman - Production Manager, Lead Technical Architect, Nova Fund
  • Gudjon Hermansson (PhD in Computer Science, SUNY Stony Brook, 1993) - Production Manager, Medallion Fund
  • Nathaniel Simons - Principal

[edit] Renaissance Alumni

  • Elwyn Berlekamp - president of Axcom Trading Advisors, predecessor to the Medallion Fund
  • Peter J. Weinberger (the "w" in AWK) - Medallion Fund, left Renaissance for Google in 2003
  • Nick Patterson - Research, Medallion Fund; noted chess player, formerly with the UK's GCHQ; now at MIT's Broad Institute
  • Robert J. Frey, '92-'04 - Managing Director Emeritus
  • Alkes Price - Research, Medallion Fund; now at Harvard
  • Kresimir Penavic - Research, Medallion Fund (retired)
  • Alexander Astashkevich - Research, Medallion Fund, committed suicide in Feb, 2006

[edit] External links

[edit] Footnotes

  1. ^ Renaissance Technologies Website (2001-02-02). Retrieved on August 15, 2006.
Retrieved from "http://en.wikipedia.org../../../r/e/n/Renaissance_Technologies_429c.html"