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Its Grisha


Total Posts: 23
Joined: Nov 2019
 
Posted: 2020-03-15 03:51
>any color on the performance of various funds and strategies over the past few weeks?

Bridgewater down 20% .. Interesting that it’s the Pure Alpha reportedly and not the risk parity pool. Risk parity blowing up doesn’t surprise me at all with the treasury correlation unwind, but if they blew it in Pure Alpha it’s big news.

Can't give names unfortunately, but I know the major options MM's absolutely crushed it (unsurprising). Some longer horizon relative value strats in equities also did exceptionally well with the market providing a catalyst to express their views instantly.

Jurassic


Total Posts: 316
Joined: Mar 2018
 
Posted: 2020-03-15 14:29
@Its Grisha whilst interesting, does Bridgewater count as a quant fund?

Strange


Total Posts: 1632
Joined: Jun 2004
 
Posted: 2020-03-15 17:07
"Can't give names unfortunately, but I know the major options MM's absolutely crushed it (unsurprising)."
From my side, I heard that it was very mixed. In fact, several big name Chicago firms got liquidated in the last couple weeks.

Several funds in my space (vol) got banged up severely. This is one of those markets where either you crushed it or you got completely rolled over.

'Progress just means bad things happen faster.’

gaj


Total Posts: 66
Joined: Apr 2018
 
Posted: 2020-03-15 17:13
> In fact, several big name Chicago firms got liquidated in the last couple weeks.

do you mind sharing the names? PM if you prefer

Its Grisha


Total Posts: 23
Joined: Nov 2019
 
Posted: 2020-03-15 17:20
> From my side, I heard that it was very mixed. In fact, several big name Chicago firms got liquidated in the last couple weeks.

Interesting, thanks for correcting me. While my sample of contacts is limited to two major Chicago players, they both seem to be very happy with the chain of events. (both index options desks).

longGamma


Total Posts: 20
Joined: Jan 2019
 
Posted: 2020-03-15 17:32
Heard Millennium had its worst day in a decade last week.

I imagine other platforms (ExodusPoint, Bluecrest..) who's bread and butter is FI RV -- including treasury basis trading -- suffered significantly.

Z-score TY CTD. Some desks blew up..


sharpe_machine


Total Posts: 43
Joined: Feb 2018
 
Posted: 2020-03-15 18:20
Would be happy to hear some numbers of Citadel multi strategy and Citadel Securities Options MM desk.

gax


Total Posts: 22
Joined: Apr 2011
 
Posted: 2020-03-15 18:48
Any word on how SIG is doing?

sharpe_machine


Total Posts: 43
Joined: Feb 2018
 
Posted: 2020-03-16 12:43
Offtop Re: SIG:

I see they have a "Quant Sports Researcher" vacancies on their website (https://careers.sig.com/job/SUSQA004Y4454/Quantitative-Sports-Researcher-PhD-Hire)

Also I have seen the same for Jump and several other firms. Could someone give any color on how liquid these markets are nowadays?

kuebiko


Total Posts: 39
Joined: May 2018
 
Posted: 2020-03-16 12:48
sharpe: bump. I've been very curious about this myself. What venues would they even operate in? I guess they're active in the European exchanges (e.g. Betfair), but presumably traditional bookmakers don't want to do business with sophisticated trading firms? And yes, my uninformed response is to be kind of surprised that it's a deep enough market to be worthwhile for some of the bigger players.

doomanx


Total Posts: 57
Joined: Jul 2018
 
Posted: 2020-03-16 13:11
One big appeal of sports betting is that tail events aren't correlated. Let's say there's a black swan type event - last place team beats first place team or something. This doesn't (really) influence other games, whereas in trading there is the risk of systematic unwinding of different books with overlapping positions (we saw this in 2007 with the so called "quant crisis" where LS equity stat-arb got creamed). You also have the fact that flow is very soft so even if volume is low the $/mln is usually very good.

NeroTulip


Total Posts: 1061
Joined: May 2004
 
Posted: 2020-03-17 03:07
https://www.chicagobusiness.com/finance-banking/chicago-trading-firms-seek-more-capital

"Earth: some bacteria and basic life forms, no sign of intelligent life" (Message from a type III civilization probe sent to the solar system circa 2016)

leftskew


Total Posts: 12
Joined: Sep 2019
 
Posted: 2020-03-17 12:42
Rentec open funds getting whacked: https://www.ft.com/content/1afde374-67e1-11ea-800d-da70cff6e4d3

rod


Total Posts: 398
Joined: Nov 2006
 
Posted: 2020-03-17 12:45
I hate to be that guy, but hasn't this thread been totally hijacked?

Is this about unknown funds that are worth working for? Or about known funds currently in serious pain?

VIXtrick


Total Posts: 3
Joined: Mar 2020
 
Posted: 2020-03-24 02:03
Definitely the former.

Lurking.

EDIT: There's one I just came across: TGS Management Co.
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