Forums  > General  > Mar 2020 Performance  
     
Page 3 of 3Goto to page: 1, 2, [3] Prev
Display using:  

doomanx


Total Posts: 57
Joined: Jul 2018
 
Posted: 2020-03-24 09:00
@EL two great points there. Classic case of no free lunch - as HFT you have other existential risks like a Knight Capital situation, but arguably easier to handle as it's something you can actually mitigate by throwing more people at it. There's also credit risk for smaller business' in some OTC products that are very margin intensive in these big moves, but for guys like Virtu/Jump with near unlimited balance sheets that's never going to be a problem.

I think your second point is spot on too - to be optimal you need to re-balance when new information is introduced as well as when it's cheap to do so, and so needs to be some function of volume and time. All the SA desks I know that got in trouble had exactly this problem (re-balancing only in the latter case).

kuebiko


Total Posts: 39
Joined: May 2018
 
Posted: 2020-03-24 10:55
FT reports DE Shaw’s Valence stat arb fund down 9% on the month. The article mentions this fund charges 3.5 and 35

doomanx


Total Posts: 57
Joined: Jul 2018
 
Posted: 2020-03-24 11:50
@kuebiko just saw the article, tough situation for a fund that charges that much, but it's only -4.6% YTD which is recoverable if they're risk off now.

I think what we're seeing isn't really a quant crisis type situation. It's more that most stat-arb funds are doing volatility targeting, so as vol goes up everyone is deleveraging and the guys doing it last are getting hurt a bit.

kuebiko


Total Posts: 39
Joined: May 2018
 
Posted: 2020-03-24 12:12
Yeah, that makes sense. BTW, I should’ve punctuated or separated my comment more clearly. Didn’t mean to conflate the points or imply anything by mentioning the fee structure. I’m sure their performance generally justifies those expenses. Just thought it was interesting — hadn’t realized they were so high (and on a fund of that size).

gamerx


Total Posts: 3
Joined: Sep 2012
 
Posted: 2020-03-24 16:24
9% down for this month really isn't all that bad, relative to the figures floating around for the other top funds.

Their investors probably recognized it as well, they raised another 2bn over the weekend.

leftskew


Total Posts: 12
Joined: Sep 2019
 
Posted: 2020-03-24 16:30
Saw an article that Citadel's Wellington only down ~5% MTD and is now flat for the year. Would love to know the attribution on the MTD return ... Regardless that makes them one of the best I've seen.

Here is a FT summary of the big boys:

https://www.ft.com/content/101cbb3c-6dbe-11ea-89df-41bea055720b


gamerx


Total Posts: 3
Joined: Sep 2012
 
Posted: 2020-03-24 16:31
https://www.reuters.com/article/us-health-coronavirus-citadel-exclusive/exclusive-citadel-turns-2020-profit-after-spotting-virus-risk-early-idUSKBN21B1U9

Seems like they've recovered already.

chiral3
Founding Member

Total Posts: 5139
Joined: Mar 2004
 
Posted: 2020-03-24 19:40
So what happened with Ronin? It wasn’t margin. Some ill-CME-defined capital requirement, so they are not clearing members, but are still alive?

Nonius is Satoshi Nakamoto. 物の哀れ

doomanx


Total Posts: 57
Joined: Jul 2018
 
Posted: 2020-03-25 08:40
@chiral https://news.bloomberglaw.com/securities-law/ronin-capital-forced-to-shut-as-global-market-freefall-continues this article seems to imply the whole firm is being shut, rather than just limping on.

Portfolios have already been auctioned off, and given the state of vol arb during this period you can imagine they did not recover a lot https://www.pionline.com/trading/ronin-capital-assets-auctioned.


doomanx


Total Posts: 57
Joined: Jul 2018
 
Posted: 2020-03-25 14:49
Couple of extra data points in this article, some already known https://www.ft.com/content/101cbb3c-6dbe-11ea-89df-41bea055720b.
Figures are YTD:
Rentech: RIEF -24%, Global equity -15.8%
Two Sigma: Spectrum -2%, Compass -13%, Absolute return -3%.
Shaw: Composite -2.6% in March, down slightly on year, Oculus +2.5% YTD, Valence (stat-arb) -9%





zee4


Total Posts: 71
Joined: May 2010
 
Posted: 2020-03-25 14:56
CalPERS is down 20%. Apparently, their tail risk strategies are not helping.

CPPIB may also be bleeding.

Interested to see if there are pension funds that are doing OK in this environment.

Бухарский

ronin


Total Posts: 546
Joined: May 2006
 
Posted: 2020-03-25 19:54
>It could be my personal biases, but one thing that seems to distinguish the stat-arb desks that are weathering this relatively better is the ability to "speed up". Stealing a quote from Lenin: there are decades where nothing happens, and weeks where decades happen. You may get used to rebalancing once a day, because that's close to optimal in normal conditions. But in this regime, if you don't trade faster to match the market's cadence, it means that you're eating all the extra volatility, but missing most of the alpha opportunities in the whipsaws.


I can see why this is tempting, but I dont think it passes the smell test. We are doing well and our daily to didn't even move. And looking at some others who did well (Marshall Wace? Fucking Odey Asset Management?), it doesn't really scream "those that can turn into HFT shops overnight".

We'll see when the numbers settle. Personally, I'd be surprised if that was it. In the end, it was a directional move. You don't need to rebalance every few minutes to make money in a directional move. Arguably, it would only harm you if you did.

"There is a SIX am?" -- Arthur

agentq


Total Posts: 33
Joined: Jul 2008
 
Posted: 2020-03-26 05:27
Re: Two Sigma Compass- interesting that they are down that much (13% per FT article from doomanx). Guess they really diversified away from trend?? Winton was down 10% into 3/13 too. Could be the result of a risk cut late Feb locking in a YTD drawdown. Just speculatin' as most trend variations should be doing decently well YTD.

kuebiko


Total Posts: 39
Joined: May 2018
 
Posted: 2020-03-26 11:32
Winton isn’t heavily allocating to trend these days as far as I know:
https://www.winton.com/davids-views/july-2018/wintons-david-harding-on-turning-away-from-trend-following-risk-net
I’m sure Compass does not really look like simple trend following either. And even then, the portfolio construction and risk mgmt can introduce significant differences

doomanx


Total Posts: 57
Joined: Jul 2018
 
Posted: 2020-03-26 11:48
@ronin point taken, I think it depends on your definition of stat-arb here i.e. are we just talking about 0 beta long-short equities (which I believe EL is talking about) or something else.

Winton trend supposedly up 30+ https://www.trustnet.com/fund/price-performance/o/ia-unit-trusts?tab=fundOverview&pageSize=50&sortby=P12m&sortorder=desc but according to that site only a 20mm fund, hardly significant.

ronin


Total Posts: 546
Joined: May 2006
 
Posted: 2020-03-26 19:53
Yes, this "Winton Trend" thing seems to have gone short at the right time. The graph is the mirror image of the S&P 500. Probably lucky rather than smart, but well done to them nonetheless.

And yes, I wouldn't think they did anything even remotely resembling fast trading by the shape of that graph.

Winton Multi Strategy was -6% at the end of Feb.
https://www.winton.com/strategy/multi-strategy

"There is a SIX am?" -- Arthur

EspressoLover


Total Posts: 401
Joined: Jan 2015
 
Posted: 2020-03-27 19:49
I feel like if I was a firm the size of Winton, I'd always keep a tiny fund seeded that's the exact inverse of my main fund.

That way, any time you sustain big losses, you can always say "some of our funds did poorly, but others had very good performance over the period." And of course don't point out that the latter has about 1/1000 the AUM as the former. Seems like a cheap hedge in terms of PR, marketing, and branding.

Good questions outrank easy answers. -Paul Samuelson

ronin


Total Posts: 546
Joined: May 2006
 
Posted: 2020-03-27 23:39
Oh, if it was that simple...

Sadly, the opposite of a losing strategy isn't a winning strategy. It's just another losing strategy.

"There is a SIX am?" -- Arthur

doomanx


Total Posts: 57
Joined: Jul 2018
 
Posted: 2020-03-28 10:20
I think trend following is a reasonable hedge against tail risk (obviously depends on how sensitive you are to change in direction). If you're always following and market goes off a cliff you're somewhat insured in times like these (doesn't help in a flash crash situation, but here when the diffusion was somewhat smooth we see it works quite nicely). Taking a Talebian view it's probably optimal to have a small allocation (although 20mm seems very small) to something like this.

pj


Total Posts: 3496
Joined: Jun 2004
 
Posted: 2020-03-28 12:26
> Sadly, the opposite of a losing strategy isn't a winning strategy. It's just another losing strategy.

Applause

The older I grow, the more I distrust the familiar doctrine that age brings wisdom Henry L. Mencken
Previous Thread :: Next Thread 
Page 3 of 3Goto to page: 1, 2, [3] Prev