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Who or what is Renaissance (Competition ;-)
(My backtest 2004 - Oct. 2016)
These guys are amazing and brilliant. The gentlemen at Renaissance succeeded in achieving unbelievable annual returns from 1988 onwards. Motivated by them I created a backtest, which I want to present here:
Well, I have seen far better performing benchmarks than the S&P 500 - so I am now even more motivated knowing what is THEORETICALLY achievable, especially on a constant base (recurring).
MY BACKTEST (only) Performance-Data and Risk-Numbers (2004 - 2012)
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Compound Return (annualized): + 14,65%
Volatility (annualized): 12.46% (S&P 500-TR: 15.27%)
Sharpe Ratio: 1.02 (S&P 500-TR: 0.28)
Best year (2009): + 41.24%
Worst year (2014): minus 11.24%
MY BACKTEST (only) Performance-Data and Risk-Numbers (2013 - Oct. 2016)
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Compound Return (annualized): + 35.8%
Volatility (annualized): 12.81% (S&P 500-TR: 10.47%)
Sharpe Ratio: 2.40 (S&P 500-TR: 1.24)
Best year (2013): + 53.07%
Worst year (2014): + 18.83%
What is possible for one person? ...well, Renaissance Tech showed what is possible for a bigger team of scientists - I am trying to figure out what one person can do, to outperform the standard-benchmark for (US)-equities, being the S&P 500-Total-Return.
Renaissance Technologies' Medallion Fund -on the other hand-, shrouded in secrecy and fueled by a combination of science and finance, has produced around USD 55 billion in profit for the company's employees over the past 28 years.
Renaissance's success, ultimately lies with the people who built, improved upon, and maintain Medallion's models, many of whom met at IBM in the 1980s, where they used statistical analysis to tackle daunting linguistic challenges. Just try to digest following annual returns from RENAISSANCE (here only from 2009 - 06/2016):
A comprehensive story about this amazing project "Renaissance" can be read in the Bloomberg-article below (see link):
Video:
www.bloomberg.com/news/videos/2016-11-21
More text and (the same) Video:
www.bloomberg.com/news/articles/2016-11-21
