Countdown of the Best Accessible Investment Performance in the World: #6
An Algorithmically-Traded Long-Short Equities Strategy
The best investment performance of modern times has been generated by Renaissance Technologies’ Medallion Fund with an average historical return of 62% without drawdown as measured since 1988. The problem is that it has been closed to outside investors since 1993.
With Renaissance out of the picture where does the real smart money go?
Over the past 19 years, our entire firm has been dedicated to searching the globe for the best investment managers and strategies in existence and utilizing the latest advancements in quantitative finance to accurately measure their risk-adjusted performance and optimize them.
We’ve been hunting for the next Renaissance Technologies…
In this series of posts, we’re reviewing the best asset managers we’ve found that approach Renaissance-level performance and are currently open to investors… at least to institutional investors. To provide the retail market access, we’ve created structures that now make them accessible to high-net-worth individuals as well.
Each strategy’s overall performance is measured by dividing its expected return by its risk (the annualized probability of loss weighted by the expected degree of loss as measured since January 2007 or earlier) and scaling that measure against the risk of the S&P 500 (the “Summers Total Risk-Adjusted Performance Measure” or “SΩ”.) For reference, SΩ of the S&P 500 is equal to its expected return of 9.36%.
Last week we started with a review of the strategy with the lowest risk-adjusted performance of the seven we’ve identified.
Strategy #7 ( SΩ= 43.61%) a diversified liquid currency and global equities multi-strategy
Strategy #6 (SΩ = 47.84%) an algorithmically-traded long-short equities strategy
Strategy #5 (SΩ = 119.68%) an algorithmically-traded noise-reduction equities strategy
Strategy #1A (SΩ = 747.23%) an algorithmically-traded foreign exchange market strategy utilizing contracts for difference
Strategy #1B (SΩ = ∞) a lower middle market value-add healthcare private equity strategy
Strategy #1C (SΩ = ∞) a short-term life insurance trading strategy capturing price differences between primary and secondary markets
Strategy #1D (SΩ = ∞) a residential real estate reverse repo strategy trading on disconnected comparable sales values and net operating income
Today we continue with Strategy #6:
In addition to utilizing our quantitative expertise to measure and optimize the performance of individual strategies, we’ve developed an algorithmic portfolio construction tool...
It constructs a portfolio of the best performance possible for any given investment time horizon, income and cash reserve requirements (i.e., liquidity mandate) by strategically assembling the best asset managers in the world that we’ve been able to identify by our rigorous quantitative standards.
I decided to provide you, our high-net-worth and institutional investor following, a glimpse behind our curtain—an opportunity for you to construct your own portfolio to see how your money would perform if it were optimally employed by our quantitative standards…
You probably won’t believe what you see until you remember that we’re applying Renaissance-level sophistication and rigor. Simply input a few very basic parameters, and see for yourself: