Is the annualized compounded return of Medallion over 35%?
Fuente:
arXiv
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| Autori principali: | , |
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| Natura: | Preprint |
| Pubblicazione: |
2024
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| _version_ | 1866915011319824384 |
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| author | Guo, Shuxin Liu, Qiang |
| author_facet | Guo, Shuxin Liu, Qiang |
| contents | It is a challenge to estimate fund performance by compounded returns. Arguably, it is incorrect to use yearly returns directly for compounding, with reported annualized return of above 60% for Medallion for the 31 years up to 2018. We propose an estimation based on fund sizes and trading profits and obtain a compounded return of 31.8% before fees. Alternatively, we suggest using the manager's wealth as a proxy and arriving at a compounded growth rate of 25.6% for Simons for the 33 years up to 2020. We conclude that the annualized compounded return of Medallion before fees is probably under 35%. Our findings have implications for correctly estimating fund performance. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2405_10917 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | Is the annualized compounded return of Medallion over 35%? Guo, Shuxin Liu, Qiang Portfolio Management General Finance Risk Management It is a challenge to estimate fund performance by compounded returns. Arguably, it is incorrect to use yearly returns directly for compounding, with reported annualized return of above 60% for Medallion for the 31 years up to 2018. We propose an estimation based on fund sizes and trading profits and obtain a compounded return of 31.8% before fees. Alternatively, we suggest using the manager's wealth as a proxy and arriving at a compounded growth rate of 25.6% for Simons for the 33 years up to 2020. We conclude that the annualized compounded return of Medallion before fees is probably under 35%. Our findings have implications for correctly estimating fund performance. |
| title | Is the annualized compounded return of Medallion over 35%? |
| topic | Portfolio Management General Finance Risk Management |
| url | https://arxiv.org/abs/2405.10917 |