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longGamma


Total Posts: 25
Joined: Jan 2019
 
Posted: 2020-03-31 03:36
*ability to keep risk on while Fed backstops FI RV books.

Jurassic


Total Posts: 358
Joined: Mar 2018
 
Posted: 2020-03-31 10:20
has anyone got the hsbc report this month?

gamerx


Total Posts: 14
Joined: Sep 2012
 
Posted: 2020-04-05 13:41
> You mean the ability to keep the risk at the same scale on while in drawdown?

That is no doubt necessary, but probably not a sufficient condition to survive this period.

Strange


Total Posts: 1648
Joined: Jun 2004
 
Posted: 2020-04-05 14:15
> That is no doubt necessary, but probably not a sufficient condition to survive this period.

I think if you are not stopped out and have access to capital, making money in the risk-off environment is actually easier. The trick is surviving the transition period.

'Progress just means bad things happen faster.’

nikol


Total Posts: 1122
Joined: Jun 2005
 
Posted: 2020-04-09 09:49
3612% ?

https://www.zerohedge.com/markets/black-swan-hedge-fund-advised-nassim-taleb-returns-3612-march

gaj


Total Posts: 102
Joined: Apr 2018
 
Posted: 2020-04-09 10:42
Bill Ackman bought a hedge for $27mm that paid off $2.6bn. That's 10000% return.

doomanx


Total Posts: 75
Joined: Jul 2018
 
Posted: 2020-04-09 11:25
Think the Universa AUM is 2 orders of magnitude higher that 27mm though. Impressive stuff.

did you use VWAP or triple-reinforced GAN execution?

doomanx


Total Posts: 75
Joined: Jul 2018
 
Posted: 2020-04-09 22:44
AQR had it rough https://nypost.com/2020/04/09/billionaire-cliff-asness-hedge-fund-aqr-hit-with-43b-covid-19-losses/

did you use VWAP or triple-reinforced GAN execution?

NeroTulip


Total Posts: 1074
Joined: May 2004
 
Posted: 2020-04-10 06:14
https://www.scribd.com/document/455607584/Universa-Letter-April-2020

"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)

agentq


Total Posts: 38
Joined: Jul 2008
 
Posted: 2020-04-10 15:19
Anyone have a sense of how much capital Universa is running? Obviously the % figure is large, but wondering in absolute terms how much pnl they were to extract vs. say Ackman $2.6bn and so on

zee4


Total Posts: 77
Joined: May 2010
 
Posted: 2020-04-10 21:00
It seems like it was 2.2 bn in 2017. From here, the sum of "Total Amount Sold" in 2019 and 2020 is around 500 mm. The biggest fund is BSPP XXIV at 185 mm.



Бухарский

gamerx


Total Posts: 14
Joined: Sep 2012
 
Posted: 2020-04-11 06:56
>Bill Ackman bought a hedge for $27mm that paid off $2.6bn. That's 10000% return.

That is inaccurate. 27mm is the running costs of the hedge per month. It probably still made him like 1000 - 2000% though.

leftskew


Total Posts: 20
Joined: Sep 2019
 
Posted: 2020-04-11 18:20
Duality dropped 19% in March bringing YTD to -25%.

day1pnl


Total Posts: 57
Joined: Jun 2017
 
Posted: 2020-04-11 21:12

Re: “Posted: 2020-04-11 05:56
>Bill Ackman bought a hedge for $27mm that paid off $2.6bn. That's 10000% return.

That is inaccurate. 27mm is the running costs of the hedge per month. It probably still made him like 1000 - 2000% though.”

Suppose he bought at least 50bb notional cdxig33 5y at the tights (~ 45 bps), and hit it out at the wides (~145 bps). He would have netted 100 bps x 25mm dv01 ~ 2.5bb. Duration obv quite a lot smaller than exactly 5y. And a bit optimistic to have caught the exact top and bottom, so he probably bought something in the magnitude of 75bb cdxig33 5y equivalent and that is also roughly corroborated by a 27mm negative carry per month. Fun though with quote spread at 45 bps and K=100 he wouldve actually gotten paid (upfront) to take the bet on so they couldve sensationalised the headline even more...

tabris


Total Posts: 1266
Joined: Feb 2005
 
Posted: 2020-04-13 03:58
No need to guess... news released what he actually did

Pershing Square built up CDS on $50bn of US investment grade debt, a $18.5bn position in the equivalent European index, and a $2.5bn notional exposure to Europe’s high-yield debt.

https://www.ft.com/content/70a5566c-5c02-4dcd-9360-c2b0001f2f29

Dilbert: Why does it seem as though I am the only honest guy on earth? Dogbert: Your type tends not to reproduce.

gnarsed


Total Posts: 89
Joined: Feb 2008
 
Posted: 2020-04-16 04:36
@leftskew, afaict, the most market-neutral type quants are the ones who got hurt the most. those who delevered got smoked. those who did ok are more directional types or fairly low frequency with maybe basic beta exposure limits.

indiosmo


Total Posts: 18
Joined: Jun 2011
 
Posted: 2020-04-16 15:00
Two Sigma on the deleveraging feedback loops we were discussing further up the thread:

https://www.twosigma.com/insights/article/unwinds-diversification-and-constraints-the-mechanics-of-financial-panics/

ETwode


Total Posts: 6
Joined: May 2017
 
Posted: 2020-04-18 00:46
For those in the thread who were curious about how the Medallion fund is faring: https://www.wsj.com/articles/renaissance-s-10-billion-medallion-fund-gains-24-year-to-datein-tumultuous-market-11587152401

Most interesting note I think is that at one low point in March they were flat or down YTD. Having a rough March but recovering by the end of the month rhymes a bit with how some others did, albeit maybe with some level shift.

rftx713


Total Posts: 123
Joined: May 2016
 
Posted: 2020-04-19 01:17
if medallion is supposedly about providing liquidity at just the right times (correct me if i'm wrong on that, i believe i read it earlier), it seems counterintuitive that they didn't do well in early march and only recovered after

Jurassic


Total Posts: 358
Joined: Mar 2018
 
Posted: 2020-04-22 13:56
@rftx713 great point

deeds


Total Posts: 478
Joined: Dec 2008
 
Posted: 2020-04-22 14:57

@rftx713

would guess there is probably a tolerance or band of price (or derivative thereof) at which it is profitable to be ready to provide liquidity at the right times (maybe those limitations are rolled into the definition of 'right times')

leftskew


Total Posts: 20
Joined: Sep 2019
 
Posted: 2020-04-22 15:04
They are only liquidity provider in the sense that they buy low now and sell high later. From a certain perspective anyone who consistently makes money in the market is a liquidity provider - they increase liquidity while also making the market more efficient.

EspressoLover


Total Posts: 432
Joined: Jan 2015
 
Posted: 2020-04-23 18:14
I don't really think it makes any sense to believe that the bulk of their alphas comes from providing liquidity in the sense of being an HFT market maker.

For one thing the PnL is too large. Virtu is one of the largest market makers, and its annual trading revenue is around a $1 billion. Medallion's already made $4 billion in the first three months of the year. Second, they were highly profitable with similar characteristics well before the era of electronic trading. Finally you don't see RennTech running the business lines that you'd expect from a market maker. They don't have an internalization pool, they don't clear their own trades, you usually don't see them as exchange members, they use external brokers.

But I think it's worth it to ask what does it actually mean to "provide liquidity". I'd characterize a market as liquid when it has the ability to absorb imbalances in order flow without significant dislocations to the price discovery process. Therefore I'd say that in an economic sense a liquidity provider is a participant, who's demand schedule is elastic relative to non-informative changes in the price.

A market maker is the extreme example of this. A one penny difference in price literally makes the difference about the entire direction of their next trade. But there's still ways to provide liquidity outside this narrow definition. For example vanilla pairs trading is mostly about providing liquidity. If XOM rises 1.0%, the pairs trader will buy BP at 0.9% and sell it at 1.1%. The pairs traders' demand schedule is not as elastic as the market maker's, but still very elastic relative to the market.

There's also the wrinkle that liquidity provision can vary based on time horizon. Consider someone rebalancing a large portfolio using a very patient passive execution algo. Those resting limit orders provide liquidity at the short-horizon. On a 60-second basis, the fills are mostly occurring in the opposite direction of the market's order flow. Yet on longer horizons, they provide no liquidity. Past 24 hours the demand schedule is completely pre-determined and perfectly inelastic to price.

I'd guess that the bulk of RennTech's strategies generate alpha by providing liquidity at horizons/imbalances that are just outside the purview of market makers and HFTs. You have to remember how little inventory HFTs actually hold. If there's a 2-sigma deviation to the rolling hourly order flow, there's no way the HFTs can absorb that.

There's some characteristics you'd expect from that type of trader. First, Sharpe ratios would still be much higher than the market, but unlike HFTs they have to take meaningful risk. So they'd still having losing days, weeks or even months. Second the margins per dollar traded wouldn't be as tight as market makers, so they'd expend less effort on things like trying to clear their own trades to scrape fractions of pennies. Third the magnitude of their profits, though more volatile, would be larger than market makers. Larger positions over longer horizons leaves more alpha to collect.

Finally they'd need to combine both statistical acumen and the technical agility to efficiently process huge and complex datasets. HFTs can largely ignore the former. It's pretty easy to verify that a 20-Sharpe strategy either works or doesn't work. For the latter, if you're Winton and targeting monthly alpha, the technical challenges are pretty minimal. Competing in this space requires execution excellence in two relatively disparate cultures. In most firms, usually either the statisticians or the engineers wrestle control and relegate the other side to a neglected cost center. If you develop a corporate culture that threads this needle, I think that's a real moat that might explain how a single fund's dominated its competitors for three decades.

Good questions outrank easy answers. -Paul Samuelson

svisstack


Total Posts: 346
Joined: Feb 2014
 
Posted: 2020-04-23 21:01
@EspressoLover: good content.

Of course not HFT


First Commander of the USS Enterprise

gnarsed


Total Posts: 89
Joined: Feb 2008
 
Posted: 2020-04-24 17:13
i believe the quote above refers to some reference portfolio DB used. i.e. medallion does not trade at 25% participation rates. i think they said in the book or somewhere else that indeed mean reversion/liquidity provision at daily horizons is part of what they think they provide. nothin inconsistent with march results. down first half as, like others, they incurred mtm losses from the corona virus liquidation and up big on the bounce back where you get paid for the massive risk/liquidity provision.
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