
Buffett's Alpha (2018) [pdf] - henning
http://docs.lhpedersen.com/BuffettsAlpha.pdf
======
deepnotderp
From what I have seen, only certain quant funds like Renaissance Technologies
and TGS Management have actually truly managed to beat the market in a
consistent non-random manner.

And they do exactly what you'd expect someone who has a money making machine
to do- shut up and at some point kick out your external investors.

~~~
Nokinside
Quant trading strategy like Medallion Fund uses don't scale. That's why Warren
Buffet has more personal wealth than Medallion Fund has AUM.

Outside finance, but similar business is sports betting syndicates. They can
make 30-70% yearly return with low volatility. If you bet in 100 events per
week and the expected return from each bet is just 0.5% (after expenses) you
make consistent 30% return with very low volatility. If you make 1% per week
you get almost 70%.

That's great return for the investment but the size of investment is typically
limited to tens of millions. Brokers don't like it and close accounts when
they notice them. There is increasing amount of work involved when the amount
of money increases.

~~~
Maledictus
Do you have more information about this? I thought "the bank always wins" (or
the broker in this case).

~~~
melling
Jim Simons

[https://news.ycombinator.com/item?id=21423845](https://news.ycombinator.com/item?id=21423845)

Maybe Ed Thorp too:

[https://en.m.wikipedia.org/wiki/Edward_O._Thorp](https://en.m.wikipedia.org/wiki/Edward_O._Thorp)

~~~
phyalow
And barely a drop about TGS on the clearnet (aside from some paywalled BBG
articles). They are basically the continuation of Ed Thorps business Princeton
Newport Partners.

~~~
deepnotderp
TGS is extremely secretive

[https://www.google.com/amp/s/www.cnbc.com/amp/2014/05/09/mys...](https://www.google.com/amp/s/www.cnbc.com/amp/2014/05/09/mystery-13-billion-
philanthropists-revealed.html)

------
perspective1
Actual date: 2013. And, now submitted 7 times in the past year:
[https://news.ycombinator.com/from?site=lhpedersen.com](https://news.ycombinator.com/from?site=lhpedersen.com)
.

------
tim333
>However, we find that the alpha becomes insignificant when controlling for
exposures to Betting-Against-Beta and Quality-Minus-Junk factors.

It's always easy to see how you could have made money with hindsight. I bet if
you implemented the Betting-Against-Beta and Quality-Minus-Junk strategies now
you wouldn't do nearly so well.

------
ganzuul
I think, for each equation in your explanation of what you've done you should
have to include a picture to compensate.

