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This is pretty clearly an advertisement disguised as content.

Remember that the initial fall in oil price was a supply shock (Saudi Arabia upping production) that was only exacerbated by lack of demand. If demand comes back it won’t push oil back into the 50s/60s.

The market hit a circuit breaker this morning when it was 7% down. No one could trade at the open, not even professionals, because the market was stopped.

For example, if the yield on a long-term bond is 3% and repo rates are only 2%, you might buy the bond, financed with a repo transaction, and bet that over the term of the repo, the bond’s price will hold up enough to allow you to profit from the transaction. If it is a one year repo, the bond could decline in price by 1% and you would still make a profit because its yield is higher than the cost to finance the purchase.

A more relevant example is if futures are trading rich relative to bonds - say they are too expensive by 1/32th (about 0.03%). In this case you buy the bonds on repo and sell futures against them, expecting to profit when the price gap closes. Of course, 0.03% is not much profit, so you use 50x leverage (which you can easily do on repo, because it is secured borrowing) turning it into a 1.5% profit.

I worked in an investment bank (Barclays Capital) in 2008, and at the time we were already developing models which could handle negative interest rates. The idea that this is somehow a new problem that has "broken the pillars of modern finance" is bizarre.

Sure, which is why I said that _most_ passive investments are not really passive. Vanguard Total Stock Market is pretty passive, as long as you consider your investment universe to be "US stocks".

But even in this case the fund only holds stocks (no bonds or real estate) and only US stocks at that (no international or emerging market exposure).

You only need the marginal investor to be informed, so it's not clear that you couldn't have a much higher percentage of passive investment (say 90%) and only a small amount of active investors who are providing price discovery.

The bigger problem is that most passive investments are not really passive - for example, choosing to invest in a "passive" S&P 500 ETF over a "passive" Russell 2000 ETF is an "active" investment choice (preferring large cap over small cap) so valuation errors and bubbles could develop in segments of the market, even if constituents with an index are all fairly valued relative to one another. These valuation errors could sustain for a long period of time, because it takes much more money to correct a valuation error in a huge market segment than it takes to correct a valuation error in an individual stock.

A couple of things I found interesting in this document, speaking as someone working in quantitative trading over 35 years later -

1. Baum and Simons started by using a momentum strategy to trade currencies, years before this was commonly done (it had been used to trade commodities for decades, but was only later applied to financial assets)

2. As well as momentum, they used a rudimentary value strategy ("a variety of line trading in which you sell or buy a currency according to whether it is to far above or below its line" and "I try to buy cheap and sell expensive")

3. At least according to this document, they don't seem to have engaged in carry trading (taking advantage of interest differentials in different currencies)

4. They at least considered the impact of macroeconomic variables, albeit in a somewhat ad-hoc and non-systematic way.

Despite starting out with a momentum strategy, Baum didn't seem to subscribe to the most common paraphrase of momentum trading, which is to "cut your losses short and let your winners run on", as evidenced by his statements that "I will hold positions both losing and winning for a very long time" and "I hate to sell in a falling market" and "I am courageous in losing positions holding on and sometimes enlarging them". I would characterize him as more of a value trader than a momentum trader.

It was only realized decades later (in the 1990s and early 2000s) that value and momentum strategies were particularly powerful in combination, and this only became part of the academic record in 2013 or so.

Look at the other people on the list this year. Donald Trump. Cardi B. Hugh Jackman. Satya Nadella. Sean Hannity. Jacinda Ardern. Elon Musk. Oprah Winfrey.

You can argue about the exact selection of people. You can say that Time is 'politicised'. But this is clearly a list of people who are very well known.

It's not embarrassing to admit that you had a blind spot about a particular author, musician or politician. But it is a bit silly to then go on to claim that since you haven't heard about them, they can't be that famous after all.

She was listed by Time magazine as one of the 100 most influential people in the world in 2016 -- not one of the most influential writers, but one of the most influential people.

So it seems fair to say that she is one of the most famous writers in the world. That you haven't heard of her probably says more about you than it does about her.

Presumably they're not investigating de Putron because it is clear what the source of his donations is (he has a lot of money and owns a profitable quant trading firm).

This massively oversells the usefulness of the Kelly Criterion. The opening lines are

> One should buy stock when it is undervalued. What I have always wondered about is how much stock one should buy. A few months ago I stumbled upon the answer which is given by the Kelly criterion.

But the rest of the post analyses a mathematical game which has nothing to do with buying stocks, and is in fact only useful in theoretical situations where you know the precise distribution of outcomes.

Authors: Wijnand A. P. van Tilburg & Eric R. Igou

Here is the paper, which is not linked in the news article -

https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3127825

AQR are certainly not a high frequency trading firm, and Renaissance may do some high frequency trading, but they are not primarily a high frequency trading firm. Where did you get that idea?

The paper explicitly addresses the point that large-scale systematic collection of public records may be indicative of the kind of fund that outperforms, rather than an indication that the public records add alpha in and of themselves - it's in the abstract

> The effect is not due to differences in fund type as the results hold within-fund.

I think you need a more convincing argument than just saying "There are a great number of additional factors at play" and "Trying to link public information to an increase in performance is far fetched".

Quantitative trading is certainly an information game, but that does not mean that the information being used is insider information (which has a specific definition - privileged access to material, nonpublic information).

There is a large amount of public information about a company, and the source of edge in quantitative trading is

  - Identifying what kind of information is likely to move prices
  - Acquiring and processing the information as quickly and efficiently as possible
  - Making good forecasts
  - Combining the forecasts with a model for risk, financing and trading costs to form a portfolio with a high likelihood of positive returns

These are not trivial tasks. The third and fourth bullets are where traditional quant finance (what you read about in textbooks) has focused, and the difficulty of forecasting and portfolio construction should not be underestimated, but increasingly what differentiates a good from a merely average quant investment process is a relentless focus on uncovering and processing new information.

In the past it was enough to use highly structured, numerical data (market prices and volumes, accounting data, analyst forecasts) but the profit available from these sources has been diminishing, and the most important sources of information for forecasting stock prices are unstructured and non-numerical (e.g. text, speech, images).

Renaissance is a leader in its field, and has been for decades. It is perfectly possible for them to have produced the returns that they have, without using insider information.