Is the annualized compounded return of Medallion over 35%?

Shuxin Guo; Qiang Liu

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arXiv · 2405.10917

Is the annualized compounded return of Medallion over 35%?

Shuxin Guo·Qiang Liu

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Abstract

It is a challenge to estimate fund performance by compounded returns. Arguably, it is incorrect to use yearly returns directly for compounding, with reported annualized return of above 60% for Medallion for the 31 years up to 2018. We propose an estimation based on fund sizes and trading profits and obtain a compounded return of 31.8% before fees. Alternatively, we suggest using the manager's wealth as a proxy and arriving at a compounded growth rate of 25.6% for Simons for the 33 years up to 2020. We conclude that the annualized compounded return of Medallion before fees is probably under 35%. Our findings have implications for correctly estimating fund performance.

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Shuxin Guo, Qiang Liu. 2024-05-17. Is the annualized compounded return of Medallion over 35%?. https://arxiv.org/abs/2405.10917

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