Excerpt from The Best Hedge Fund Performance in History; Now Clients Can’t Get Access to their Money

The Medallion fund has been restricted to just insiders since the end of 2005. Other folks are also getting curious about its lopsided results. Cornell Capital Group studied its performance and wrote the following eyebrow-raising analysis:

“The performance of Renaissance Technologies’ Medallion fund provides the ultimate counterexample to the hypothesis of market efficiency. Over the period from the start of trading in 1988 to 2018, $100 invested in Medallion would have grown to $398.7 million, representing a compound return of 63.3%. Returns of this magnitude over such an extended period far outstrip anything reported in the academic literature. Furthermore, during the entire 31-year period, Medallion never had a negative return despite the dot.com crash and the financial crisis. Despite this remarkable performance, the fund’s market beta and factor loadings were all negative, so that Medallion’s performance cannot be interpreted as a premium for risk bearing. To date, there is no adequate rational market explanation for this performance.”

Wall Street Standard

Categories: Perspectives