2009年1月有关西蒙斯的消息

aceair

2009年1月有关西蒙斯的消息

来自：MACD论坛(bbs.macd.cn) 作者：aceair 浏览：6399 回复：3

The other day I cooked some fish for dinner, and the next day, when I walked in the house it stunk. So I cleaned the kitchen again, but it still smelled funny. I sniffed the microwave, and refrigerator, and cleaned them again, but the house still smelled funny. I ran the dishwasher but things still smelled funny. No matter how I cleaned, or how much bleach I used, I couldn't get rid of the smell.
That night, the smell got worse. It was the smell of a rodent, that had died in the attic. It wasn't just something fishy going on, it was a rat! And somehow this incident came to my mind when I was checking out Renaissance Technologies annual returns for 2008.
Hedge fund manager James Simons made $670 million in 2004, $1.5 billion in 2005, $1.7 billion in 2006, and $2.8 billion in 2007, as head of Renaissance.

Simons made some very good money this year by aggressively shorting stocks. Supposedly the astrophysicists and the mathematical wizards with all their PHD's contributed markedly to his success, but somehow their algorithms didn't factor in a good locate or a real borrow.

He testified this year in front of Congress in November, and talked about his mathematical background, and his stint as a code cracker for NSA. Here's a story on him.

How did his funds do? Here are their returns for 2008.
James Simons futures fund-DOWN 12%
James Simons Renaissance Institutional Equities Fund- DOWN 16%
Now I didn't mention the Medallion fund. This was the fund that gave all the money back to investors that were not employees of the company in 2005. This fund is owned just by the employees of James Simons Renaissance Technologies.

How did this fund do?

The Medallion Fund was UP 80%.

Thus Simons was able to generate, once again, outsized returns for his employees, but he wasn't able to replicate any of this success to the two funds that the public can participate in. So if you worked for him, you were up 80%. If he managed your money, you were down 12-16%.

So in honor of all those astrophysicists from James Simon's Renaissance Technologies, we have picture from space, of the Keyhole Nebula that tells how Simons treats it's investors!
Now if only we had a rat at Renaissance that could give us the view inside the keyhole....

[ 本帖最后由 aceair 于 2009-1-30 18:06 编辑 ]

虎啸山庄

:*22*:

aceair

Testimony of James H. Simons Before the House Committee on Oversight and Government Reform
November 13,2008

Good morning Chairman Waxman, Ranking Member Davis, and members of the Committee.
My name is James Simons, and I am the Chairman and CEO of Renaissance Technologies LLC.
Thank you for the invitation to appear before you today.

【Background on Myself and my Company.】 Renaissance's investment approach is driven by
my background in mathematics. Before I ever entered the business world, I was a
mathematician. I have a PhD from Berkeley, won the 1975 VeblenPnze of the American
Mathematics Society (given every four years for work in geometry and topology), and taught
mathematics at the Massachusetts Institute of Technology and Harvard University before
becoming the chairman of the Mathematics Department at the State University of New York at
Stony Brook. Along the way, I spent four years as a code cracker for the National Security
Agency.
Renaissance, an SEC-registered Investment Adviser since 1998, manages what are termed
quantitative funds - funds whose trading is determined by mathematical formulas designed to
predict market behavior, Individual trades are generated by computers, based on work
continually developed by our researchers. Naturally, human beings carefully monitor the trade
execution process, making sure that all parts of the system are behaving properly. We operate in
only highly liquid, publicly listed securities, such as stocks, bonds, currencies, and commodities,
and do this on exchanges throughout the world. This means, for example, that we do not trade in
credit default swaps or collateralized debt obligations, neither.of which satisfies the above
criteria. In the stock traìing of our Medallion Fund, we hold balanced portfolios in each country,
i.e.,portfolios very close to being equally long and short. Our trading models tend to buy stocks
that are recently out of favor and sell those recently in favor. Thus, to some extent, our actions
have the effect of dampening extreme moves in either direction, and, as a result, reducing
volatility in those stocks. An example of this contrarian tendency is the fact that during the sixweek
period ending this September, Medallion held long positions in many of the most troubled
of the financial stocks, including Lehman Brothers and Washington Mutual. We of course lost
money on those trades!
Renaissance manages three fund families: Medallion, RIEF and RIFF. The first is our flagship
fund, which we have operated for twenty years with great success. In the early part of this
decade, we determined that the fund had grown too large, and we began to return capital to
investors who were not employees of the firm. That process was completed in 2005, and since
then the fund has been almost entirely owned by the people who operate it - Renaissance
employees. 'We
charge ourselves fees because fund investment is not allocated in the same
proportion as is employee compensation. For example, my share of Medallion is far greater than
is my share of employee compensation. Thus, the fee mechanism moves income away flom the
largest owners of the firm to the rest of the employees. Nearly all of the income of the firm and
its employees is based on the performance of Medallion, a fund whose investors are almost
exclusively its managers.
In recent years, Renaissance started two new funds aimed at outside investors: the Renaissance
Institutional Equities Fund (RIEF) and the Renaissance Institutional Futures Fund (RIFF). The
first is net long one dollar of U.S.-traded stocks for each dollar of equity in the fund and is
designed to be a lower-volatility and higher-return substitute for an index fund, The second is a
slow trading fund, investing in commodities, currencies, bonds, and stock indices, and is
designed to deliver an attractive return at relatively low volatility. RIEF has done a fine job
during its three years plus of existence. RIFF, started 13 months ago, did well during its first
nine months but has been challenged by the turbulence of this fall, during which its returns were
disappointing. Both of these frrnds, designed for institutional investors, are lightly leveraged and
charge fees less than half of those charged by mainstrearn hedge funds. These institutional funds
are a new business for Renaissance, and while their financial contribution to the firm has been
exceptionally modest, we have high hopes for the long term.
I will now tum to the questions the Committee raised.

[ 本帖最后由 aceair 于 2009-3-6 10:50 编辑 ]

hanboooo

:*31*: