They built a system where any data set can be pushed in, joined with the rest of the data, and then automatically made inferences off of for trading.
Renaissance has always put massive personnel and technology investment into its data processing and analysis pipeline. But there is no "automatic inference" generation. It's not so much brute forcing alpha as it is streamlining the process of hypothesis testing for research scientists so that strategies can be very rapidly generated and examined.
Automatic inferences would be susceptible to two major risks. First, you'd run into spurious correlations at the dimensionality of data we're talking about. Those spurious signals would have to be pruned, significantly reducing any advantage.
Second, you'd decouple the strategy generation from financial domain expertise. The strategies are not developed in a vacuum - contrary to popular belief, quant trading firms do apply financial acumen.
More to your specific example, I've also worked with the alternative data you're talking about and it doesn't offer automated inference generation. You implicitly have a hypothesis (or several) in mind when you're working with things like credit card transaction data from Yodlee or Second Measure.
Automation is a continuum. What you're talking about is automating time series analysis. I never said you can't do that.
I have no specialist knowledge, btw, I'd sincerely like to know!
The Medallion Fund is kept fairly small so it can capture these items without changing their prices substantially. That is, the fund owners have to take their 40% return each year out of the fund.
The Medallion is for the employees money. That reminds about salary payment schema in Russian banks in 199x (don't know for today) - employees got to open very special, employees only, accounts paying extremely high, many times beyond the market, interest. The bank account interest got beneficial taxation for the employees, and the bank didn't have to pay various taxes, like social security, etc., which an employer would normally pay on salary. Of course how much an employee could put into such an account had a limit specific for a given employee, and thus the employee did have to regularly take the money out of the account.
If memory serves, in the aforementioned podcast Gregory mentions that the RenTech generally holds most things for a few days (sometimes a few hours). However, they don't engage in HFT or HFT-like trading. This was surprising to me as I assumed it was all reasonably short holdings (relatively speaking), although I knew they weren't a pure HFT firm.
I also seem to recall Gregory mentioning there's some kind of running joke internally that their trading systems aren't nearly as good as they should be (or like what you would find at HFT firms). Given the intellectual and monetary heft within RenTech perhaps that's a bit of false modesty on their part.
I'll be interested in reading Gregory's book as he does seem to have put together a lot of novel information on RenTech. However, he does seem to suggest that very little of the day-to-day workings of the firm will be explored, which would obviously be immensely interesting.
EDIT: RenTech has several funds, it should be noted. Some of which still take outside capital. What I've said above may have only been applicable to the Medallion fund.