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Quantopian funds over $50 million to a single strategy, $155 million overall
John Fawcett
edited
Contest Finance News Q Updates Hedge Fund Asset Allocation

Last year, as we began trading investor capital, we publicly stated that we hoped to some day fund an algorithm with an allocation of up to $50 million. That day has arrived. We announced today that we've funded a strategy with over $50 million for the first time.

The cumulative funding of algorithms as of June 1 reached $155 million. This represents an incredible achievement for our community and the work we do together with you.

At the outset of our trading investor capital 2017, the largest allocation was $3 million. Together, we have made great progress as we build the world’s best crowd-sourced asset management business and share the profits with the strategy authors.

Your feedback has been instrumental in the past year. We have learned from your strategy submissions and your discussions in these forums. In turn, we created a new set of risk-driven contest criteria to guide you better. The impact of the new contest is clear. We've seen early signs of significant improvement in the quality of your strategies. Further, the sophistication of discussion in these forums is at an all-time high. Two tangible examples of this can be found in our recent webinar review of contest algorithms and the subsequent forum discussion of risk-managed strategies.

Together, we have come a long way. We are confident that you will continue to find opportunity and reward here on Quantopian: through the joy of learning quant finance, through the thrill of competing and earning cash, and by licensing your strategy for even greater potential compensation.

Thank you,
fawce

Disclaimer

The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.

13 responses
Karl Mun

I'm awe struck, fawce to think about the magnitude of $50MM, and the confidence and endorsement!
Congratulations on marking a milestone.

And cheers!

James Villa

Congrats on achieving this milestone. I am assuming that the said author was plucked from the old contest format as the new contest is just approaching its six months OOS date. Correct me if I'm wrong, as I'm aware there are other channels to get an allocation (i.e., Emerging Managers Program). From $3M to $50M single author allocation is quite significant in terms of confidence. If my assumption is correct, I am curious as to how long the whole evaluation process took post contest winning of author and what other post measures were done to give you the confidence of this much allocation, if not proprietary. Thanks.

Paul Harstad

Could you give us some insight into what were the deciding factors and evidence for on the current allocations?

Or even give us some research/backtest notebooks on these algorithms if they are available?

I'd like to know as much as possible about what Quantopian is looking for. Thanks.

Joakim Arvidsson (Cream Mongoose)

Congratulations!!

Grant Kiehne

Hi Fawce -

Assuming that $155M is the base capital deployed (leverage not included), that leaves $95M out of the $250M committed by Point72. So, if you plan to put an average of $10M on more algos, only about 10 more slots remain for funding. Is this a correct assessment?

Any chance of getting more money from Point72 or elsewhere?

Leo M

Congratulations on achieving this milestone.

Joakim Arvidsson (Cream Mongoose)

Both figures include leverage I believe, and at different magnitudes. The $50MM strategy might be leveraged at 5x, whereas the others might average around 2x leverage. That's what I gathered from the bbg article anyway:

The allocation, which includes leverage, went to an anonymous
algorithm author, according to Jess Stauth, managing director of
portfolio management and research. Crowd-sourced Quantopian, founded
in 2011, has deployed $70 million since starting a hedge fund last
year and increased the trading amount with leverage to about $134
million.

Karl Mun

Yes inasmuch as a measure of risk exposure per algorithm it would be an irony though I suppose the algorithm in itself would conform to the position concentration constraint to be consistent with the investment criteria.

Mark Varney

Keen to know how the selected algorithms have been performing.Last news I saw, was that they had been under-performing and that CIO was fired a while ago.Should state, that was a little while ago.Anybody got any performance figures?

Tim Vidmar

Given the (notional) amount invested, this algorithm has got to have a really low volatility.

John Fawcett

Scheduling TBD, but the next webinar with Jess Stauth will include a tearsheet review of the algo.

James Villa

@fawce,

Thanks, looking forward to the next tearsheet review by Dr. Jess Stauth on this particular allocated algo. It will definitely give us guidance as what expectations are or should be in terms of returns / volatility over what evaluation period. Also, I would appreciate if Dr. Jess covers the separate process of how much leverage is assigned to this algo and what factors were considered when reaching this decision.

Grant Kiehne

For context, it would also be nice to see a tear sheet of all of the funded algos, aggregated in some fashion. This would aid in highlighting what is special about the $50M headline-grabbing one.

Also, it would be instructive to understand the extent to which funded algos rely on data sets that require a paid subscription, versus free ones. At an extreme, all of the alpha in the fund could be coming from paid data sets.

There are various other aggregate data sets that would be of interest. For example, compute time statistics would be revealing.

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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian.

In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.