To me this is the book of the year 2019.

I can barely recall when was the first time I heard about the name of Renaissance Technologies. It is probably back in 2010 when I got intrigued by the world of Quant and I was reading Derman’s book: My life as a Quant. I googled a little bit of the development of the financial modeling and tried to know the landscape of the hedge funds that are quantitative funds. It didn’t take too long to run into the name of Jim Simons. As a STEM student growing up in Asia, his associate with Shiing-shen Chern and Chern–Simons theory immediately brought my attention. By further digging up the techniques adopted by Renaissance Technologies. The names of Peter Brown and Robert Mercer came up, they are the students of Frederick Jelinek, a figure you must know if you were in my topic of research: Speech Recognition. The rumor that they were using Hidden Markov Model at the time of early 90s excited me, where HMM was the model you could not skip in my field. Most of the research was trying to build adds-on to the core HMM infrastructure.

This book isn’t about to tell you about the skills adopted by Renaissance Technmologies, but a biography of Jim Simons by Gregory Zuckerman. Renaissance Technologies has stayed low-key for a long time and their secretive style makes few people know the history of the fund. Gregory did a good job to piece together the history, the challenges and the crisis where Jim has faced, and key figures helped establish the foundation of the company. It shed more humanity colors to the stereotype that a group of mathematicians and scientists should be run the company rationally and pursue the path of philosopher king as described by Plato. However, it is far from what was happening in the fund. Drama and crisis was no different from other companies.

The book is so much fun to read and I would like to put down a few notes and thoughts in bullet points.

• It sounds to me the most important thing to quantitative fund is cost estimation with control and risk management, unlike the most of the people intuitively think it is the precision of the prediction. It reads like Renaissance Technologies have its moat because its early setback so Simons was more risk-aware than others like LTCM, so they are less susceptible to the tail risk.
• On the cost end, apart from hiring the talents to discover signals, a new breed of quantitative fund like World Quant is to shift the cost of the mathematicians and scientist to Asia, where they only need to pay half of the salary than in the USA, which reduce the expense ratio for a fund to succeed. It sounds so much like running a bank where the metric is to check the expense rate.
• The early pioneers of the quant is more connected than I thought, Kelly’s criterion was known and was applied by Berlekamp to their trading models.
• They also look for the statistically significant signals that don’t necessarily obvious in its logical cause, which is a surprise to me. But it seems that it made them a moat since they have a scaling bet strategy that could safely try it out and shrink it back if the signal fade away.
• Ed Thorp was almost to invest in Renaissance Technology, but he decided not to when he found Jim was a chain smoker.
• Statistical Arbitrage, though so obvious on the paper, there are so many details to take care to put into the practice it seems.
• George Soros and Jim Simons are neighbors. In the congress hearing during the financial crisis, you could see that Soros and Jim were sitting together in the picture. It seems that Jim agrees with the worldview of Soros. In the epilogue, a MIT student asked Jim which investor’s advice they should listen to on the path of learning investment. Jim pondered and replied George Soros. The same answer was given by Nassim Taleb.

由於最近被詢問這個問題，所以花了一點時間研究一下，大致是用三個樣本來粗估計算對於外國人能買的 Condomium 的 Cap Rate，算是當作只賭出租計算而不賭增值的保守估計。

首先我定義我的 Cap Rate After Tax 如下

(Net Operating Income - Tax) / Current Market Value

我把稅務還有維護費用成本加進來，但沒有算進折舊，就股票來比較的話比較像是 NOPAT 吧。Top Line 的部分假設沒有任何一個閒置的月份，是最理想的情況。

挑的三個樣本有

• Rosalia Park
• Kovan Regency
• Casa Cambio

他們大概都是位在離市中心搭地鐵 30-40 分鐘的地方，在新加坡東北邊，屬於比較早期發展的區域。周邊生活機能還算不錯，有大的 shopping mall 也有 hawker Center。硬是要類比台北的話，可能有點像新店吧。這邊都用公開能夠找到的資料，Property Guru 有點像是信義房屋或是 Redfin。

Rosalia Park

• For Sale
• For Rent

網站上寫了 Rental Yield Estimated: 2.37% - 2.71%，但自己計算是遠低於那個。我猜網站是照 2016 年的交易價格算的。那時候的成交價是 1.3M SGD。

1.8% 的 Rental Yield 有夠爛。US 10 year Treasury 都有 1.7% 左右，而且幾乎無風險。當然房子的好處是會隨通膨而漲價。估計如果自己改裝 layout 成出租隔間的話，總租金可以收到 4000 SGD。那 Cap Rate 可以到 2.15%，這樣會比較好一些，不過自己管理的時間成本也高了很多。

Kovan Regency

• For Sale
• For Rent

網站上的 Rental Yield Estimated 是 2.5% - 3.17%，還是高估不過比較接近了。

Casa Cambio

這一棟比較小戶型，比較類似 Studio

• For Rent
• For Sale

所以稍微小的戶型也並沒有比較好。

其他一些市場的細節

1. 交易買家需要付印花稅，是累進稅率，不過對於外國人大概 2.8-3%
2. 對於外國人很多要付額外的印花稅來防止炒房，大概是另外 20%，美國人不用。
3. 根據 PR 跟 Citizen，第一套房或第二套房不同，付的額外印花稅從 0-15% 不等
4. 每年 Property Tax 是用假設你出租的收入來算，假如你真的出租的話又是另一套稅率，會比較高一些。

可以參考這兩篇

• Step-by-step guide for buying property in Singapore as a foreigner
• Investing in Property in Singapore – Singapore Property Tax & Buying Guide

而 Tax 的部分比較複雜

• IRAS 的 Property Tax 官方資料
• IRAS 的 Stamp Duty 官方資料
• IRAS 的 Additional Buyer Stamp Duty 官方資料
• How to calculate your property tax in Singapore

而 Condo 的話有區分是 Free-hold，租期 99 年或 999 年，細節可以看這兩篇

• What are the Options for a Leasehold Property Owners when their 99 years Tenure is about to End?
• Freehold vs leasehold condos – Which is the best choice? There are pros and cons to buying a freehold vs a leasehold condo

總體資料

政府每一季會發報告。根據政府編制的房地產指數，過去 Private properties 的走勢如這裡，從前面的低點又回來一些。不過要注意一個細節，他的所謂 private properties 包含了 shop, office, user factory and warehouse。我沒有找到只包含住宅的指數。如果是 HDB 的話，走勢可以從這裡看到，可以看出來是不斷走低的。

另外 HDB也有公布租金價格中位數跟價格中位數。我擷取了其中一個地區。簡單計算一下 Rental Yield 高了很多，可以到 7.5%，HDB 的話還不用付 Condo Fee，所以粗估 Cap Rate 可能有 7%

• HDB 的 resale price
• HDB 的租金

不過 HDB 並不是一個自由的市場，要出租的規定也很多。一手的只有公民可以買。要買二手的話至少也要 PR，對於沒有結婚的 PR 還只能買其中一種比較貴的，結婚的話才能買其他種。對於收入超過一定的也沒辦法買 HDB，所以新加坡年輕人結婚的話也早，因為要買租屋的話等到收入高了就只能買 Condo。