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Chasing Rainbows

To be more specific, my question is: has anyone successfully beat the market as a whole in both a significant and consistent way while hedging the market’s inherent risk using Quantopian? By Significant I mean achieving a much higher annual return than 10%, and by consistent I mean over the last couple years that people have been using Quantopian. All while dodging big losses that come with being in the market.

To answer your question you really need to look at the disclosed results of hedge funds and CTAs and gross up their reported CAGR for their absurd fees.

Numerous websites report CTA and hedge fund returns for free. Here is one such:

Consider Winton Capital whose results are widely available on the web. They employ 200 people most of them with degrees in maths and science. Some years ago they traded for high returns and accepted high drawdown: their max DD is/was 25%. These days they tone their trading right down so that institutional investors are not scared off by high vol and DD. They manage $20 or $30 bn.  Their results have been unexciting since 2008. Unexciting is what institutional fund managers want.

In general high returns come with high volatility and high drawdown. Except if you are Bernie Madoff. You are barking up the wrong tree if you are looking for high returns “>>10%” at low risk…..”All while dodging big losses that come with being in the market.”

The pursuit of such an ambition is presumably why the vast majority of people lose money trading.

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