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leftskew


Total Posts: 23
Joined: Sep 2019
 
Posted: 2020-06-15 18:53
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.

EspressoLover


Total Posts: 467
Joined: Jan 2015
 
Posted: 2020-06-15 23:39
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

Billymazee


Total Posts: 6
Joined: Oct 2019
 
Posted: 2020-06-26 13:38
Medallion up 58% YTD through mid-June.https://twitter.com/GZuckerman/status/1276246846084730881

gamerx


Total Posts: 20
Joined: Sep 2012
 
Posted: 2020-08-06 01:47
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?

leftskew


Total Posts: 23
Joined: Sep 2019
 
Posted: 2020-08-19 15:50
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.

leftskew


Total Posts: 23
Joined: Sep 2019
 
Posted: 2020-12-14 19:42
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.

gamerx


Total Posts: 20
Joined: Sep 2012
 
Posted: 2020-12-25 07:07
You mean YTD right? Hard to imagine a 30% loss in a single month unless they have very concentrated portfolios.

deeds


Total Posts: 505
Joined: Dec 2008
 
Posted: 2020-12-25 13:02
@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? : )

Jurassic


Total Posts: 397
Joined: Mar 2018
 
Posted: 2020-12-31 14:46
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.

Jurassic


Total Posts: 397
Joined: Mar 2018
 
Posted: 2020-12-31 22:34
"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?

TSWP


Total Posts: 454
Joined: May 2012
 
Posted: 2021-01-02 10:27
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...

Jurassic


Total Posts: 397
Joined: Mar 2018
 
Posted: 2021-01-02 15:41
@TSWP I cant find that online but Im still not sure what a "giant transaction/execution machine" would actually do better than others could?

TSWP


Total Posts: 454
Joined: May 2012
 
Posted: 2021-01-02 17:58
No idea. I also wondered what that means... that is why I brought it up here, maybe someone can answer?

TSWP


Total Posts: 454
Joined: May 2012
 
Posted: 2021-01-02 18:03
Here is what Taleb says about Simons in Antifragile (location 3786 of 9393 in Kindle Cloud Reader):


Jurassic


Total Posts: 397
Joined: Mar 2018
 
Posted: 2021-01-02 18:55
I found the same bit on google books. I dont think the book gives any information regarding Renaissance's methods

elf


Total Posts: 37
Joined: Mar 2009
 
Posted: 2021-01-05 00:46
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!


gnarsed


Total Posts: 90
Joined: Feb 2008
 
Posted: 2021-01-05 00:51
@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?

elf


Total Posts: 37
Joined: Mar 2009
 
Posted: 2021-01-05 10:21
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.

Jurassic


Total Posts: 397
Joined: Mar 2018
 
Posted: 2021-01-05 12:21
"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?

elf


Total Posts: 37
Joined: Mar 2009
 
Posted: 2021-01-05 14:33
From a rentec employee I crossed paths with a few years ago.

Billymazee


Total Posts: 6
Joined: Oct 2019
 
Posted: 2021-01-05 16:20
@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.

LikeOnLike


Total Posts: 7
Joined: Jun 2020
 
Posted: 2021-01-06 07:22
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 ;)

Jurassic


Total Posts: 397
Joined: Mar 2018
 
Posted: 2021-01-07 19:15
Did you ever get investor letters about the Medallion fund?

LikeOnLike


Total Posts: 7
Joined: Jun 2020
 
Posted: 2021-01-08 12:51
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

Jurassic


Total Posts: 397
Joined: Mar 2018
 
Posted: 2021-01-08 14:36
Did they talk about anything Renaissance was interested in beyond stat arb?
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