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What Is Renaissance Technologies Assets Under Management?
Inside a Moneymaking Machine Like No Other With all due respect, I think that the guess of a sharpe ratio of 10 or higher is quite off. From a recent Bloomberg article above, we can see all rentec's return numbers going back to 1988. With a quick excel calculation using the numbers since 1990, the sharpe ratio is just above 2, with mean return of 44% and volatility of 21%. Recall these are net returns and that the Medallion charges 5-44% fees, so the gross sharpe would be higher. My guess is the gross sharpe is somewhere between 2 ~ 3 as the fees impact both the returns and volatility. This is pretty far from 10. Btw, not that the numbers above are not self explanatory, to add a little more credibility, I have over 10 years experience in the hedge fund industry.
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If a Sharpe ratio of 10 is accurate, this means we will have to take about 1/9th of 1% of the gross Sharpe as fees out of each dollar of profits earned. That's pretty damn expensive. Sharpe Ratio of 10 and Sharpe = 4.5 The Sharpe ratio of 10 is a good sign as it shows that a lot of the returns are in the long-term (10 years to be specific) and that the average Sharpe is 1. The only time in recent history we have experienced a Sharpe ratio of over 10 was at the peak of the dotcom bubble in 2002. In the second half of the 1990s we witnessed a rise to around 6, which is really a good thing as it is the Sharpe at which the industry has been pricing risk, and it was there that we got the bubble. The price of a Sharpe has been steadily.