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Point72 seeds Quantopian-backed fund with up to $250mm

Posted: Fri Jul 29, 2016 4:56 pm
by rftx713
That's pretty funny. (It's starting to seem that to these SV types, everything is starting to look like a nail.)



But really, does anybody know how Quantopian actually makes money?



I'm really insistent on trying to piece this one together.



My thoughts:



I can't imagine it has any serious edge in the world it lives in, particularly now that some of their direct competitors can (probably) see exactly what they're doing. (Another thought: I'm currently reading the biography of Rockefeller, "Titan," and it's interesting how such an effective strategy for 150+ years has been to find your most formidable potential competition, convince them you're an ally and create a partnership of whatever form, any form will do, and keep them under your indirect watch/control so they never get a true edge. Seeing this lots with fintech as well; JPM is doing it.)



I see a few business models, not necessarily mutually exclusive.



1. When I visit a forum like HackerNews, it's clear to me there is a very large population of otherwise very intelligent and talented compsci types who think they can eke out an edge in the markets by using their brainpower. (Note: don't read the finance/markets related threads on HN unless you want an aneurism.) Quantopian basically becomes the ThinkOrSwim, eTrade, whatever, for that population. The platform that convinces generally "intelligent" retail traders that they, too, can make a lot of money, and that this new platform gives them all the tools they need. I admit the structure is a bit different this time around, but it was mentioned by jslade that they may be using this platform as a sales distribution channel. There was a BCG report out recently that I actually somewhat agreed with, even if it's obvious to some: it basically forecasts the AM industry ends up with 4 buckets of companies that survive: specialized alpha shops, beta factories, solution providers, and distribution powerhouses. Put simply - Quantopian markets itself to retail traders as a "specialized alpha shop" that you, too, can be a part of. In reality it's a bit of a combo between a solution provider and a distribution powerhouse. It aggregates lots of wannabe algo traders with cash to blow, and ultimately sells them solutions, both of their own creation and 3rd party solutions. ("But we're also helping some of you make money, see?!")



2. It genuinely does run these algo's, and in the same vein as jslade's friend: by raising money from other SV VC types who will love this type of idea, rather than from your traditional HF fundraising sources (capital introduction, personal connections, another financial company or fund, whatever), it can run outside money, gain if it works, and walk away if not. Basically, a traditional and rather unsophisticated HF that is going after an easier source of funding.



3. ???

Point72 seeds Quantopian-backed fund with up to $250mm

Posted: Fri Jul 29, 2016 5:41 pm
by Martinghoul
... 4. Where do I sign up Smiley ?

Point72 seeds Quantopian-backed fund with up to $250mm

Posted: Fri Jul 29, 2016 6:44 pm
by ronin
> But really, does anybody know how Quantopian actually makes money?



I have no clue.



But, if I had to guess, I would say on trading comissions. Everything else is marketing.

Point72 seeds Quantopian-backed fund with up to $250mm

Posted: Fri Jul 29, 2016 7:21 pm
by rftx713
>But, if I had to guess, I would say on trading comissions. Everything else is marketing.



The tricky thing is that, as far as I can tell, they take your algorithm and trade on it using "their" capital.



I could maybe see something where they run a tiny fund, and sell information on "retail algo's" to bigger shops (almost-but-not-quite similar to brokers paying for (or to see?) retail order flow).



I have no expertise in this area - would seeing what the current popular "retail"/"basic"/"unsophisticated" algo world thinks be informative to a shop like Point72? Is there enough volume done by these types of algo's to justify it, or is the information contained by seeing the trends in their development worth something?

Point72 seeds Quantopian-backed fund with up to $250mm

Posted: Fri Jul 29, 2016 9:33 pm
by ronin
Like i said, i have no clue what they actually do.



But everything about it screams marketing. Nothing about it screams prop.



Quantopian marketed successfully to Point72.



Point72 is presumably marketing to the next generation.



In the long run, the plan is presumably to have large AUM and charge for it.

Point72 seeds Quantopian-backed fund with up to $250mm

Posted: Sat Jul 30, 2016 3:23 am
by radikal
In a perfect world, you market Quantopian to outside capital so that "only the best" algos are used in the market blah blah and then you front-run that flow if it's large enough. But, napkin math on say 2.5 bps of captive flow fisting you'd need to collect doing that is 1T-ish of total flow (to recoup the 250M), which even discounted out pretty far, seems like an order of magnitude too high.

Point72 seeds Quantopian-backed fund with up to $250mm

Posted: Sat Jul 30, 2016 7:23 am
by Nonius
how do they mitigate the (fraud) risk that some guy just reverse engineered the most amazing "backtest" that performs well on an amazingly large set of out-of-sample runs?

Point72 seeds Quantopian-backed fund with up to $250mm

Posted: Sat Jul 30, 2016 7:52 am
by sigma
rftx, nice summary!



>> The tricky thing is that, as far as I can tell, they take your algorithm and trade on it using "their" capital.



A potential problem can be that they will impose very tight stop losses on P&L of live algos, most likely on tick-by-tick or over a very short time-frame.



Even if an algo has an edge, it also produces volatility. For sure, the volatility of a live algo can be much higher that its volatility in the back-test.



As a result, even if you want to target a specified level of the volatility, you need to have your algo running for some time to estimate its vol.



What do you think?

Point72 seeds Quantopian-backed fund with up to $250mm

Posted: Wed Aug 03, 2016 9:51 pm
by deeds
Sounds like an update-able sliding estimate (bayesian?) is the way to go



tangentially, anybody seen a reasonable small sample volatility estimator better than the naive approach...?

Point72 seeds Quantopian-backed fund with up to $250mm

Posted: Thu Aug 04, 2016 7:53 am
by sigma
>> tangentially, anybody seen a reasonable small sample volatility estimator better than the naive approach...?



Estimators using Open-High-Low-Close ticks are good and more robust.



Alternatively, you can apply t-distribution PDF for returns: estimate the tail parameter out of sample and use in-sample observations to estimate volatility with ML



Again, my point is that in-sample volatility and return distribution of a strategy in the back-test may not be enough for adequate estimation of volatility of the strategy in live trading. It may depend on the trading frequency of course. For sure you need to make sure that the execution of the stop-loss in the back-test is the same, or even more conservative, as for the live strategy.