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A comment on Renaissance Technologies. Parent comment

Re:Renaissance Technologies by svd4anything on Monday November 11, 2019 @09:26PM (#21510983)
You really don’t know what you are saying. The leverage is to boost absolute returns. Sharpe isn’t changed by leveraging. They are automated black box strategies making 1000s of trades a day with massive undeniable statistically significant information content.
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Re:Renaissance Technologies by smabie on Tuesday November 12, 2019 @04:28AM (#21512774)
Sharpe is actually changed by leverage due to volatility drag. Your Sharpe ratio gets worse and worse the more leverage you apply
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Re:Renaissance Technologies by maest on Tuesday November 12, 2019 @04:49AM (#21512867)
> You really don’t know what you are saying.

There's no need for the aggressive tone.

> Sharpe isn’t changed by leveraging.

Indeed, volatility is, however.

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Re:Renaissance Technologies by smabie on Tuesday November 12, 2019 @11:00AM (#21515090)
A change in volatility implies a change in Sharpe due to volatility drag. This only applies if you are compounding the returns though.
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