这哥们挺牛的。改model也不跟别人说。
Two sign看上去也非常generous 给10%
大衣被禁 发表于 2023-10-29 09:54
改model要放production肯定要approval。文章里说了model没有改，只是routine的calibration而已，这个业内都知道是常规操作，没有必要抹黑。而且当事人现在也是暂时不工作避风头而已，没有被辞退。
当事人优化以后，公司人员参与的旗舰基金赚了更多，其他给客户的基金赚的少了，也可以说亏了。其实这个在业内都是这样的，好机会都给旗舰基金，二流的基金只能用剩下的策略当然edge就没有多少了。每个策略的流通性就那么多，一个基金用了另一个就没法用了，这个不算是违规，几十年都是这样，非常正常的操作。
In a letter to clients, Two Sigma described the activity as “intentional misconduct” that violated the firm’s internal procedures. One person close to the situation disputed the firm’s characterization, saying Wu adjusted how Two Sigma’s models were calibrated but didn’t alter the models themselves. Calibration changes can be seen as more routine than a major change to the models.
说是calibration 的是路人张三吧。张三只是反对公司的官方意见啊。官方说是misconduct.
Anyway,那calibration 不用经过risk 看一看的吗？不用看的话谁知道是谁的calibration 赚的钱呢？
大衣被禁 发表于 2023-10-29 10:31
公司当然有看有track了，第一时间知道了，model参数改动都是大事情，很多人都要审查，否则怎么知道他的改动能帮旗舰基金赚那么多，然后独自给他那么多奖金？而且如果真的是misconduct为什么那时候还给那么多奖金，曝光后后没有解雇，而让他暂时离职一段时间？
公司公关出事总是会推一个替死鬼出来，难道要说是整个公司问题？
你要去问two sigma 啊。
Misconduct 又不是我说的。谁说的你问谁啊。
当然这很明显不是routine 啊。难道two sigma rountinely改参数造成客户赔钱了，都自己掏腰包赔给客户吗？客户稳赚不赔遇到活雷锋了？
大衣被禁 发表于 2023-10-29 10:40
原因都说了，你还要盯着一个misconduct的字，大家心里都清楚，都在演戏。你没在高阶公司里工作过吧，这样的格局没法做大事的。
客户少赚钱或者亏钱是将来式，读一下任何基金的小字吧。说的好像要故意亏钱很容易一样，你试试股市里故意亏钱看看。。。
被我说中了
人啊，还是要低调
用户需知 发表于 2023-10-29 10:50
这个当事者现在大家都知道了，以后赚钱会更多，即使离开现在公司都会被抢着要，什么亏客户的钱都是不懂的外行人胡说八道。
睿大妈在HF工作过？
A researcher at Two Sigma Investments adjusted the hedge fund’s investing models without authorization, the firm has told clients, leading to losses in some funds, big gains in others and fresh regulatory scrutiny.
Wu’s changes led to gains of $450 million in total for some Two Sigma funds—including those in which the firm’s own executives and employees invest, as well as those available to clients. But they also led to a total of $170 million in losses for other funds compared with how they otherwise would have fared—losses largely borne by clients. Two Sigma has made them whole.
这条就死罪了。
stacych8008 发表于 2023-10-29 11:41
without authorization还能知道他改过后赚大钱了，还能独自给他天价奖金？
我觉得回这个贴的人多动动脑子，或者仔细读一下我的帖子。怪不得有些人赚钱像捡钱一样，有些人只能赚体力钱。
不见得吧
这种没背景还爱得瑟的很容易被拿来当替罪羊
不坐牢钱能保住已经是最好结局了，别想其他了。
用户需知 发表于 2023-10-29 11:05
得瑟完全没有问题，如果他没做错事。他也不是啥瓜，misconduct可以背，如果要坐牢的话所有email都会放出来证明不是他一个人知道这件事，需要上面approval的人太多了，他只是优化model的职位，根本没有决策权。
so what? 你赚这么多，到最后还不是周末跟我们一样在huaren回帖。而且你连WSJ access都没有买。
stacych8008 发表于 2023-10-29 11:48
哈哈哈，没有说有钱不是普通人啊，我还是要注意吃三餐营养均衡，睡觉质量好，要锻炼身体，每天做旁人看上去毫不起眼的兴趣爱好。只是不需要上班，时间都是我自己支配而已。
为啥要买wsj access, 这个文章我免费就能全部能读到。而且读wsj对我这个水平来说根本没有帮助。
————
A researcher at Two Sigma Investments adjusted the hedge fund’s investing models without authorization, the firm has told clients, leading to losses in some funds, big gains in others and fresh regulatory scrutiny.
The researcher, Jian Wu, a senior vice president at New York-based Two Sigma, was trying to boost his compensation, Two Sigma has told clients, without identifying Wu. He made changes over the past year that resulted in a total of $620 million in unexpected gains and losses, according to people close to the matter and investor letters. Two Sigma has placed Wu on administrative leave.
The Securities and Exchange Commission is examining the matter. The commission had already been scrutinizing the firm after Two Sigma disclosed earlier this year that it was unable to make basic management decisions. The Wall Street Journal has reported on deepening strife between the firm’s founders over Two Sigma’s direction and succession planning, among other issues.
The employee’s identity, the impact of his actions on Two Sigma’s performance and the latest SEC scrutiny haven’t previously been reported.
“We are taking this matter extremely seriously and are taking steps to prevent similar issues from occurring in the future,” Two Sigma told clients in a note viewed by the Journal.
Two Sigma is a quantitative-trading behemoth with $60 billion in assets and around 2,000 employees. Its trading models—a quant firm’s secret sauce—are composed of thousands of lines of Java code that ingest various data and make investment predictions that dictate trades.
Wu’s changes led to gains of $450 million in total for some Two Sigma funds—including those in which the firm’s own executives and employees invest, as well as those available to clients. But they also led to a total of $170 million in losses for other funds compared with how they otherwise would have fared—losses largely borne by clients. Two Sigma has made them whole.
People familiar with the situation said Wu was trying to improve the firm’s performance, which would have benefited his career and potential pay.
Two Sigma was already beset by friction between John Overdeck and David Siegel, the firm’s founders. The Wu affair adds questions about Two Sigma’s internal controls to concerns clients have about the effect of the internal squabbling on the firm’s management.
Two Sigma’s top executives this summer became aware of Wu’s changes because they resulted in higher than expected correlations between some of the firm’s trading models. The trail pointed to Wu, who made the changes in two stages over the past year.
In a letter to clients, Two Sigma described the activity as “intentional misconduct” that violated the firm’s internal procedures. One person close to the situation disputed the firm’s characterization, saying Wu adjusted how Two Sigma’s models were calibrated but didn’t alter the models themselves. Calibration changes can be seen as more routine than a major change to the models.
It couldn’t be determined if there are policies at Two Sigma prohibiting unauthorized calibrations of its models.
Big firms such as Two Sigma usually closely monitor and are fully aware of all important changes to its trading models. “In well-run firms, all changes—calibrations or model changes—are governed by procedures so that they must be disclosed and approved by the proper people,” said Aaron Brown, a veteran quant who wasn’t aware of Two Sigma’s situation.
Wu joined the firm in 2018. Like many other researchers at Two Sigma, he is a Ph.D., having received his degree in operations research from Cornell University in 2017, according to his LinkedIn profile. In 2011, he received a bachelor of engineering degree from Beijing’s Tsinghua University.
Meanwhile, Two Sigma earlier in October laid off roughly two-dozen recruiters after building up their ranks over the prior two years. One of the few such moves in the firm’s history, the layoffs are a potential sign of slower growth ahead. The firm told its recruiters it has less need for them because it has experienced less attrition recently.
Write to Gregory Zuckerman at [email protected] and Juliet Chung at [email protected]
问问业内人士
他改的究竟是什么？
如果本身的model 没有改，那么这些改model之间的calibration 究竟是指什么?
为什么改了这些calibration会导致一个fund赚很多，一个fund亏了很多如果没有改的话
我其实主要的问题是这些策略为什么之间会有相关性，而且会被旗舰take advantage，不知道究竟这些model是怎么work的？
有行业人士给解惑一下吗？
katharinezl 发表于 2023-10-29 21:10
很多人说我不懂，清洁工的啥的。我就以清洁工的知识能力回答一下。人拥有最重要的是知识，不是嚼舌头。我也根本懒得和那些人争论，说我是清洁工就是吧，😂。
其实大道理是很简单的，股市每天都有一些相关性的股票具有不平衡的价格，当一个基金吸纳了一个策略的一定量的股票后，那些股票的价格就变的比较平衡。那其他基金的其他策略能在股市里能找到的不平衡价格就会变少，那赚的也会变少。每天股市里有不平衡的价格的股票和他们的股价都是有限的，所以会间接造成相关性。
这个也解释了为什么很多HF里，旗舰基金是回报最好的，非旗舰基金回报可以说非常一般。旗舰基金用的策略成功的机率是非常高的。非旗舰基金用的策略都是筛下了不起眼的，虽然可以赚点钱，可是在不平衡股票价格环境变更少的情况下，赚的钱也变少了。
虽然有些人会说不同基金用的策略不一样，可是从股市整个来说，每个股票在不同经济环境里都有相对的平衡性。有些新闻会造成某些股票大涨或者大跌，可是其他股票也会有相对的走势，对于每天那些不平衡股票股价的量，其实是非常有限的。
前面楼说很多HF里，旗舰基金是回报最好的，非旗舰基金回报可以说非常一般。那大家谁还买非旗舰基金呢？
wenhaoduoduo 发表于 2023-10-29 22:14
很多有名HF公司的旗舰基金只是给最初创建人和自己员工投资，不对外的。也就是说自己投资和管理自己的钱。之前说过因为股市策略的利润有限，放更多的钱回报不会再增长。非旗舰基金是给外面的人。