leftskew
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| Total Posts: 23 |
| Joined: Sep 2019 |
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There was a pretty large crash in quant equity style factors the first week of June coincident with their drop. These factors bounced most of the way back the second week in June, so I figured rentec funds would also bounce. However this was wrong, they were basically flat the second week of June. So either they are exposed to a factor that didn't bounce like the rest, or maybe they took off exposure at the bottom. Either way looks rough for them.
I don't have any info on medallion but I have no reason to assume it did anything unusual during this period.
Given they still have their 10B money printing machine, rentec should be fine. |
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One thing to consider is that RIDA may simply be less risk-adverse to these types of selloffs than the average equity market neutral fund.
Medallion, by trading at much shorter horizons, probably over-performs during periods of market turmoil. RIDA and Medallion would act like natural hedges against each other. In the same way that bonds hedge stocks in a 60/40 portfolio. That probably encourages the insiders to over-leverage RIDA, at least relative to what's optimal from the perspective of a standalone investor. |
Good questions outrank easy answers.
-Paul Samuelson |
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gamerx
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| Total Posts: 20 |
| Joined: Sep 2012 |
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https://www.bloomberg.com/news/articles/2020-08-05/renaissance-hedge-funds-see-red-in-2020-while-market-turns-green
Institutional Equities Fund down 13.4% in first seven months
Firm’s two market-neutral funds also down by double digits
Wow! How did their market neutral funds do so bad? |
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leftskew
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| Total Posts: 23 |
| Joined: Sep 2019 |
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They have some fairly well known factor exposure, and those factors crashed pretty hard in late Feb and March. FWIW they are down further in Aug, as of Aug 14 all YTD: RIEF -15.95%, RIDGE -21.13%, RIDA -22.2%.
Medallion, on the other hand, will probably have a record year in 2020. |
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leftskew
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| Total Posts: 23 |
| Joined: Sep 2019 |
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Just saw the Nov numbers for rentec public funds, and it is NOT pretty. New YTD
(edited used to say MTD) through Nov2020 numbers: RIEF -23% RIDGE -32% RIDA -33%
I suppose they were on the wrong side of the factor moves following the vaccine news, quite unfortunate. |
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gamerx
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| Total Posts: 20 |
| Joined: Sep 2012 |
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| You mean YTD right? Hard to imagine a 30% loss in a single month unless they have very concentrated portfolios. |
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deeds
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| Total Posts: 505 |
| Joined: Dec 2008 |
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@gamerx- the MTM for many from Dec 19 to Mar 20 was tough. Mar 1 to Mar 31 isn't pretty
EDIT: concentrated like SPXsla? : ) |
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Jurassic
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| Total Posts: 397 |
| Joined: Mar 2018 |
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| Ive just reread of all this thread. So far Ive learnt possibly something like statistical arbitrage and maybe their execution is good. Maybe something to do with RMT. |
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Jurassic
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| Total Posts: 397 |
| Joined: Mar 2018 |
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"Rentec makes its money in execution, period. StatArbists make their trades on the same liquid stocks. So if DE Shaw and Rentec are trading the same shit, how do they make there money? Execution. No Chern-Simons. I hypothesize that they make most of their money this way. The strategies are set and babysat by CS geeks. Somewhere else in Setauket string theorist sit and finance other basic functions by using chern-simons, or whatever, on other, non stat arb areas. I suggest hedged global macroish shit."
@chiral3 how are you suggesting that they could make more money through execution? |
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TSWP
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| Total Posts: 454 |
| Joined: May 2012 |
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| I remember Taleb has also suggested somewhere (maybe Antifragile?) that Jim Simons' excellence was in creating a giant transaction/execution machine and there is where the RenTec "value" is created... |
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Jurassic
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| Total Posts: 397 |
| Joined: Mar 2018 |
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| @TSWP I cant find that online but Im still not sure what a "giant transaction/execution machine" would actually do better than others could? |
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TSWP
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| Total Posts: 454 |
| Joined: May 2012 |
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| No idea. I also wondered what that means... that is why I brought it up here, maybe someone can answer? |
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TSWP
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| Total Posts: 454 |
| Joined: May 2012 |
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Here is what Taleb says about Simons in Antifragile (location 3786 of 9393 in Kindle Cloud Reader):
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Jurassic
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| Total Posts: 397 |
| Joined: Mar 2018 |
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| I found the same bit on google books. I dont think the book gives any information regarding Renaissance's methods |
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elf
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| Total Posts: 37 |
| Joined: Mar 2009 |
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Indeed, highly embarrassing for Renaissance. I'd be interested if anyone had numbers on the 2sigma fund that's meant to be like RIDA.
Not least employee morale must be crushed. Hardly any employees get a reasonable Medallion allocation, and I hear they get chances to "rotate in" on some years. Bonuses will be paid on the medallion profits, but their PAs will have taken a serious hit.
Most employee funds are in RIDA, RIEF and RIDGE.
Something is seriously broken in their long term model, and I don't think it's necessarily just "factor moves". They claimed to have a problem with the beta hedging, being under hedged in march, and then over hedged in april, but yet this doesn't really explain the rest of the year. Which can only be described as a bleed:
Monthly Ridge numbers for 2020: (2.3%, -5.8%, -6.6%, -3.8%, -0.2%, -6.3%, 0.3%, -2.6%, -2.1%, -4.2%, -9%, -1.5%) i.e. 10 down months!
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gnarsed
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| Total Posts: 90 |
| Joined: Feb 2008 |
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@elf, not sure which two sigma fund you are referring to but "two sigma absolute return" is down ~ 5% according to https://www.bloomberg.com/news/articles/2020-12-30/human-run-hedge-funds-trounce-quants-in-year-defined-by-pandemic
what is the (rough) holding period of RIDGE? |
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elf
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| Total Posts: 37 |
| Joined: Mar 2009 |
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Maybe that's it, but I thought there was another one which was targetting the 1y long horizon.
RIDGE/RIDA is designed to be super-long horizon and meant to have holding times of over 1y. |
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Jurassic
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| Total Posts: 397 |
| Joined: Mar 2018 |
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"Hardly any employees get a reasonable Medallion allocation, and I hear they get chances to "rotate in" on some years. "
@elf how do you know this? |
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elf
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| Total Posts: 37 |
| Joined: Mar 2009 |
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| From a rentec employee I crossed paths with a few years ago. |
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| @elf might be thinking of their Risk Premia fund, it's pretty much the same as Absolute Return but with lower turnover to get more capacity. Generally 1-year+ horizons iirc, less pure stat-arb and more enhanced quantamental. Don't have December data but believe it was roughly -12% through 11/30. |
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Anecdote:
I was lucky enough to be invested in Medallion back in 2005-2006 as the company I was a partner in was an early investor in Equimetrics and we managed to negotiate 10M USD capacity.
We kept the capacity for ourselves and shared it among the partners. When leaving the company I sold my share to the other partners at roughly 25% premium. Good move as a few months later the company was forced to give the capacity back.
Still made more than 100% over that period ;) |
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Jurassic
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| Total Posts: 397 |
| Joined: Mar 2018 |
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| Did you ever get investor letters about the Medallion fund? |
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yes, I have a few Investor Letters over the 2005-2006 period. I even managed to dig out an OM dated 2005 and audited Annual Report.
All this on an old WD HD ready to die |
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Jurassic
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| Total Posts: 397 |
| Joined: Mar 2018 |
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| Did they talk about anything Renaissance was interested in beyond stat arb? |
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