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量化投资大师詹姆斯·西蒙斯为人低调，关于他和他的对冲基金“文艺复兴”的介绍不多。我们只能从一些媒体采访中见到些端倪。现摘录如下：
1. “Models can lower your risk…. It reduces the daily aggravation.” With old-fashioned stock picking: “One day you feel like a hero. The next day you feel like a goat. Either way, most of the time it’s just luck.” “We don’t override the models.”
2. “Certain price patterns are nonrandom and will lead to a predictive effect.”
3. “Efficient market theory is correct in that there are no gross inefficiencies, but we look at anomalies that may be small in size and brief in time.”
4. “Great people. Great infrastructure. Open environment. Get everyone compensated roughly based on the overall performance… That made a lot of money.”
5. “Luck, is largely responsible for my reputation for genius. I don’t walk into the office in the morning and say, ‘Am I smart today?’ I walk in and wonder, ‘Am I lucky today?’”
6. “We have three criteria. If it’s publicly traded, liquid and amenable to modeling, we trade it.”
7. “We search through historical data looking for anomalous patterns that we would not expect to occur at random. Our scheme is to analyze data and markets to test for statistical significance and consistency over time. Once we find one, we test it for statistical significance and consistency over time. After we determine its validity, we ask, ‘Does this correspond to some aspect of behavior that seems reasonable?’”
8. “Trend-following is not such a good model. It’s simply eroded.” Things change and being able to adjust is what made Mr. Simons so successful. “Statistic predictor signals erode over the next several years; it can be five years or 10 years. You have to keep coming up with new things because the market is against us. If you don’t keep getting better, you’re going to do worse.”
9. “We don’t start with models. We start with data. We don’t have any preconceived notions. We look for things that can be replicated thousands of times. A trouble with convergence trading is that you don’t have a time scale. You say that eventually things will come together. Well, when is eventually?”
10. “Once in a while the phenomena we exploit are particularly present. We like a reasonable amount of volatility. In our business we want some action.” “Tumult is usually good for us. We don’t have credit lines of any significance. We don’t do a lot of leveraged-type financing.”
11. “How we do it isn’t any more mysterious than how a great fundamental investor does it. In some ways it is less mysterious because what we do can be programmed.”
12. “Academics has its charms, but it doesn’t have enough charms that I regret leaving that field.” “Be guided by beauty. Everything I’ve done has had an aesthetic component to me. Building a company trading bonds, what’s aesthetic? … If you’re the first one to do it right, it’s a terrific feeling and a beautiful thing to do something right, like solving a math problem.”
13. "We look for people who have demonstrated the ability to do first-class research. First and foremost, we look for people capable of doing good science, on the research side, or they are excellent computer scientists in architecting good programs. We have very high standards and it works. "
14. "It’s looking at a lot of data and really looking for what underlies that data. In that sense, it is kind of like astronomy. You look at a lot of data from up in the sky, you bring it down, and it’s quite dirty and you have to clean it to get rid of outliers or one thing or another. Then you hope you can analyze that data in a way that makes sense of whatever hypothesis or set of hypotheses you may have about what you are looking at. That’s a big piece of what we do. There we hire people who are experimental physicists or astronomers."
15. "Brownian Motion is something that has a better chance of being applied. Brownian motion is a way of looking at data and ordering random activity, or activity that looks random. Models like that, and approaches like that are very useful. ... We use very rigorous statistical approaches to determine what we think is underlying a phenomenon and really do explain that part of it. But it’s not like proving theorems. "
16. "But I like to ponder. And pondering things, just sort of thinking about it and thinking about it, turns out to be a pretty good approach."
17. "AS A TRADER, SIMONS TRIES TO OVERCOME fundamental laws, not discover them. In the case of quantitative finance, the law is the efficientmarkets hypothesis and the belief that markets should be difficult, but not impossible, to beat."
18. "Renaissance essentially attempts to predict the future movement of financial instruments, within a specific time frame, using statistical models. The firm searches for something that might be producing anomalies in price movements that can be exploited. At Renaissance they're called "signals." The firm builds trading models that fit the data."
19. "Mathematics and science are two different notions, two different disciplines. By its nature, good mathematics is quite intuitive. Experimental science doesn't really work that way. Intuition is important. Making guesses is important. Thinking about the right experiments is important."
20. "I want a guy who knows enough math so that he can use those tools effectively but has a curiosity about how things work and enough imagination and tenacity to dope it out."
21. "Many of the anomalies we initially exploited are intact, though they have weakened some. What you need to do is pile them up. You need to build a system that is layered and layered. And with each new idea, you have to determine, Is this really new, or is this somehow embedded in what we've done already? So you use statistical tests to determine that, yes, a new discovery is really a new discovery. Okay, now how does it fit in? What's the right weighting to put in? And finally you make an improvement. Then you layer in another one. And another one."
我发过的部分帖子：
[原创] 浅析动量因子（附带Matlab/SAS程序及经典文献85篇，免费）
[原创] 如何复制对冲基金的成功？（hedge fund replication，附免费文献）
[原创] 对于目前流行的量化投资与smart beta策略的一些看法 （附免费文献10篇）
【阿尔法系列】Fama-French五因子模型！
【阿尔法系列】免费！A Practical Guide To Quantitative Portfolio Trading
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