2020 HF Shakeout: Who's Up Who's Down
For those of us who weren't around to play during the financial crisis, this is our first time seeing vol get extreme and liquidity get fked. Making this post and hoping it will become a thread where people will post what they're hearing circulating about different funds' positioning and winners/losers so far. Weeks like we just had cause rumors and gossip to spread like wildfire, so stay sharp and skeptical
I'll start with what I've heard, no particular order. Please correct me if any inaccuracies!
Up
- Moore – bacon supposedly made discretionary call on covid, playing out well. Up close to 30 points according to story I saw
- Brevan – up
- Saba – got long protection on cruises back in january. Great rr. Killing it
- Brevan – similar situation as moore, not up as much
- Chenavari – big % return short EUR CDX got attention, but it's on a fund that's a small chunk of their asset base, so...
- Kirkoswald – RUMOR coffey profiting
Down
- Bridgewater – came across terminal this AM. Down a massive 20% in Pure Alpha, which is supposed to run a vol half that. Big deal.
- Bluecrest – no return numbers, but their rv book is facing same issues as other multimanagers
- Solus – RIP
- Millennium – RUMOR 'big' loss relative to their risk targets (i.e. down a couple hundo bps at most lol)
- Pointstate – down ~10 points ytd
- Natixis H2O – shocking, I know. Down like a third I think
Funds I'm curious about: Capula, Exodus Point, Citadel (chatter about their equities book at start of week), Tepper, Druck
Everyone please share if you know anything !
bump
Interested in numbers for Citadel, P72, MLP, Squarepoint, Quadrature.
big tiger funds up caxton up
What kind of exposures do the big Tiger guys usually run with?
definitely long biased. probably 30-60% net long exposure 150-200% gross
Moore Capital? Who would have guessed? Also I'm curious, shops like Millennium keep their portfolio liquid to avoid shocks like this? Couldn't have the PM quickly reverse their book?
Moore – I have zero unique visibility on this, but it reminds me of how Michael Platt started swinging harder after he returned institutional money a little while back (like Bacon just did). Makes complete sense, as your mandate has shed a lot of constraints. Also, old-school macro guys tend to thrive under this kind of vol. The vol sellers in disguise, the FI RV guys, who have gotten a fk ton of inflows recently, have a bad time under this kind of vol. One camp makes money, and the other camp loses, when markets cease to 'mAkE sEnSe.'
Mily – 'Liquid' is always a relative term. Conditions this week were fked in super 'liquid' stuff (one obvious example you can check out is straightforward levered CTD basis trades). This is the kind of thing that is not a problem most of the time. And then it is. C'est la vie. When everyone wants to 'quickly reverse their book,' well, it becomes a problem!
Moore Capital’s macro fund up double digits so far. Impressive
Sources: odd news articles i came across in the past 3 days from fairly reliable outlets. Will update as i come across any others Pershing Square: +3% ytd Brevan flagship: +11% ytd LMR: -3% ytd Michael burry: up big ytd (no #s) Glenview: -14% (EDIT: thru end of feb, not ytd)
curious about specific #s from tail risk/short funds: universa, kynikos, etc
Burry is likely down. That article just said he had a profitable hedge.
Last time he was talking he was long small cap value for size. No way that is performing.
Update on LMR via BBG.
Down 12.5%
https://www.bloomberg.com/news/articles/2020-03-19/ben-levine-s-lmr-rai…
To add to this, someone in the trading thread claimed that Optiver's FI desk was down, and CTC apparently suffered large losses. If anyone has more insight on the market makers and vol arb groups it would be interested to know.
Are you familiar with vol arb, hence why you're asking? If so, I have a question for you in regards to specifically vol related strategies.
Not specialist in the area but have worked on some strats in the area. Was curious because a lot of those desks have gone dark.
Citadel, Millennium, Point 72, and BAM supposedly up in Feb. While Rentec’s equity fund is down. Many more in this article. Source: https://www.bloomberg.com/news/articles/2020-03-02/citadel-millennium-h…
Re: Renaissance - FWIW this likely refers to their public funds' returns. They are still very strong products but their performance has historically been in line with many other good systematic L/S equity funds, and I think they may actually be run with positive beta. I very strongly doubt that the Medallion fund is down 7% through Feb.
March numbers will be much more meaningful than Feb so things now could look a lot different than these numbers
Millennium down 2.7% mtd so far in March, down 1.9% ytd
Article on Millenium https://uk.finance.yahoo.com/amphtml/news/englanders-millennium-down-2-…
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What is 'basis'?
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"basis" is a fancy word for "spread"
Boaz Weinstein Saba Capital is up 66% in one Fund, 33% in just this past week. Another fund of his gained 99% and is up175% for the year. Article on Reuters for more detail.
I'm sure lots of long O&G distressed funds are having the time of their life.
Any long biased distressed vehicle without a short book or active CDS allo will also be down mid to high single digits if not more
Pharo and Autonomy down significantly
https://www.ft.com/content/1f13623a-6882-11ea-800d-da70cff6e4d3
Citadel -20
Greenlight looks dead
Citadel -20%, what fund and what's your source for that?
This is the hedge fund, not securities
Wellington or Kensington?
I would be floored if Citadel is down 20. Again, whats your source?
There's zero chance citadel is down that much.
impossible - I know the numbers for GFI and GQS and the number you are proposing is pluck out of the thin air. if you are saying one US pod on his own allocation is down 20% on one strategy then perhaps but that's not the number for the whole fund
Could you please share GQS one?
Point72 -5% Viking -2% Coatue -5% ExodusPoint -2.4%
YTD or March to date?
Ytd including March though could be a couple days stale
Not accurate
Which part. It’s straight from a Bloomberg article.
Well, you can track hedge fund performance through a) Eurekahedge b)Funds Portal c)HFM Global d) Preqin and see who is down and up. You can also track some top-performing medium sized hedge fund on Daedalus Investment Platform through https://daedalus.investments (although the aim of the platform is to invest)
That was definitely helpful. I think most of them are paid though. I checked Daedalus and it is free. Impressive performance of the listed funds and I didn't know them until now.
Thank you. Very helpful. Do you work in the Hedge Fund industry?
I was a former analyst of an activist hedge fund ( bottom-up fundamental research)...
Ah great!
Very interesting that the only fund that is sharpe 2 at above 500mio ish AUM mark is a basis fund ha! I wonder what number they will be reporting for March as that will be informative for many other similar funds.
Thanks Peian, quite impressive indeed. Even February performance is good for most, curious to see what will be the case for March.
Cubist down 22% MTD. The news just went out.
If that's true that's unacceptable.
Any information on how specifically cubist lost >20%? I'm always heard good things about the quality of people there. Also, it's awkward timing for their head quant to leave.
what 'good' things did you hear?
Most of their PMs are/were unprofitable.
universa investments (spitznagel's tail risk fund): per one client, up 1,000% in feb, and up "multiples of that" in march
"A client of Universa Investments LP, a $4.1 billion Miami-based risk mitigation specialist, saw money allocated to the firm's tail hedging strategy gain around 1,000% in February and "multiples" of that in March, according to Claude Bovet of Lionscrest Capital. That implies a gain of at least 3,000%; the net return on Lionscrest's total portfolio was not available.
"This has been a great period for us and our clients," Universa chief investment officer Mark Spitznagel said via a spokesman, who declined to comment on performance. Other big winners include Capstone Investment Advisors, whose $7 billion firm runs tail risk strategies for clients that have gained 280% this year through Monday, according to a person familiar with the returns; 36 South Capital Advisors' volatility strategy, which rose 35% over January and February, according to data from Societe Generale; and the $126 million Cambria Tail Risk ETF, which is up about 25% this year through Tuesday.
Those numbers can’t be true right.
Up 1,000% = 10 times Up 3,000% = 30 times
Total up 300 times. I think that says they were 4.2 billion so that means they now have 1.2 trillion?
Maybe it’s just 30 times and I believe they bled assets for a while - so might be a lot smaller.
i agree. my thinking is that 1) the author meant to say the fund was up 30x through march ytd, not "in" march, and/or 2) maybe this was a tiny separate account that wanted to be particularly aggressive with tail risk. and that it's not indicative of the performance in universa's flagship / commingled vehicles.
https://finance.yahoo.com/news/3-000-tail-risk-funds-161022793.html
I've heard they started recently reporting returns in terms of notionals which would explain the 3000%...they were up only around 100% in the GFC
Anyone else also starting to hear rumors that Millenium is shutting down?
I saw something about them shutting down a few pods but I didn’t read it. Doubt they’d shut the entire fund down when they’re risk averse.
Bloomberg article today saying 10 pods were shut. What you're saying would be big if true
For others, here’s the link https://www.bloomberg.com/news/articles/2020-03-19/millennium-shuts-sev…
10 pods out of 200...don't worry..they are fine
Whats a pod? Sorry newbie here
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I’m interested in element capital and Melvin Capital numbers
would love to hear about Melvin
seconded on melvin
as well as D1
no hard number but i heard its pretty ugly at melvin. down (a lot?) more than 10%.
Any idea why? Running net long?
Any news on the Quant funds? Like AHL, squarepoint, systematica, gsa capital, cantab? Have read the article that cubist is apparently down 20 percent, which seems weird for Quant multi strat
Not sure about specific funds, but in general the past few weeks have been a disaster for quants. Momentum factor has been wiped out, and gross down of books has hurt as well.
As of 12/31/2019, Moore had a cool 5.26% of their fund in SPDR S&P 500 puts, their top holding. Also sold their calls in SPDR S&P 500 Q4 2019:
https://whalewisdom.com/filer/moore-capital-management-lp
news on woodline?
Has anyone heard anything about Two Sigma and DE Shaw? Companies who do short term stat arb are having issues, and these companies do some.
De Shaw roughly flat ytd in Composite fund
Flat? That's amazing performance
Some hedge funds are looking to raise more capital to capture these dislocations, as includes performance information. https://www.bloomberg.com/news/articles/2020-03-22/bruised-hedge-funds-…
Anyone know about balyasny? Usually report performance with other multistrats but haven’t seen them mentioned in any articles
Up 23% through September. Direct source
Baupost down 10% YTD, according to Bloomberg - Link
I wonder how much short exposure they had
Klarman typically runs a net long portfolio with little direct shorts, not to say he doesn't do it at all but most of the Baupost/cubs run a long-biased book with market hedges to dampen vol
when funds that hold substantial cash report returns, it's usually inclusive of the cash drag, correct? so in this case, baupost's "invested" portfolio is actually down ~14%?
Yes
That's correct.
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Not too bad relative to the bench mark or other funds. They will dig out of it.
Do they run tight net neutral like Citadel? Last I heard tight drawdown limits coupled with higher leverage than other MMs into covid vol.
That’s massive for their standards. And even relative to other neutral shops.
Source? Don't doubt it but still interested.
https://www.bloomberg.com/news/articles/2020-03-21/hedge-fund-millenniu…
article as of 2 days ago references -5.1% in march, and -4.1% ytd
That's big. They run 200-300 bp vol. The largest loss in the history of the firm.
I imagine Exoduspoint is also suffering.. from basis trades blowing up.
Not directly in this particular space, but there's rumors of large structured credit players down 20 to 30% MTD, which is probably fairly conservative. Anybody doing high yield in aviation or O&G (already the largest single sector in the high yield market) is going to be down double digits for sure, no matter how well hedged. Finally going to start seeing credit players suffer from their levered carry trades...
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some others: third point: -13% ytd rentech institutional equities: -24% ytd. also, curious how medallion fared
It’ll be interesting to see how medallion faired because it does some short term stat arb. I wish I knew someone that worked there ;).
Realistically I don’t think we’ll hear anything until the end of the year about Medallion.
Medallion should be up 400%. That would be inline with many short term trading vehicles.
That’s probably a bit on the high side.
You dont have a clue what youre saying
super disappointing performance by rentech. What about their other investable vehicle? I'm assuming similar drawdowns. One is focused on US equities only. I think two sigma may have taken quite a hit too.
Long volatility and tail risk funds are killing it (as expected) - I'm seeing around 150-300% YTD. Capula's vol fund is doing well, not sure about their other strategies
I think it's reasonable to say that anyone who has done particularly well in recent years will have taken a big hit. Conditions changed so rapidly very few funds with real size would have reacted quickly enough.
If you were positioned for an event like this it's likely that your performance was sub-par in recent years. Tail risk funds have been atrocious until now and only a few will be making up for that with significantly stellar returns at this stage.
MMs trading "hedged" positions like basis will have been smoked unless their strategies are much more sophisticated than average.
Trend following might be up, but might be too early to say and the limit down moves / gaps might have limited their profits in size.
I agree with you but I wouldn't judge a tail risk fund by it's bad performance when the markets are rallying - that's no different to being disappointed your house insurance costs you money when your house hasn't burnt down. Most investors make a small allocation ~5% and rebalance it, they're OK with their TR allocation getting hammered because if that's the case, the other 95% of their risk is likely killing it. I would be more worried if a tail risk fund made money or lost little during the bull market, I've seen some do this by selling vol or adding beta, and when shit hits the fan they don't perform - and that's when the PMs change their names and foff to a mountain to hide from pissed off pension fund investors who thought they were hedged.
That's because:
1/ tail protection is actually really expensive. When you run a risk neutral book the extra 2-3% points to buy protection wipes out a huge chunk of your roc. Also, there is actually persistent vol premia. If (a big if) you survive sudden vol spikes like this your long-term expected return from shorting vol is actually positive
2/ LPs do not like dying by a thousand cuts and reaping a feast once every 10 years. Your investors will have deserted you a long time ago.
good point. with that being said, i'm surprised at the lack of managers (excl tail risk) that have profited off of a discretionary play around covid. so far, effectively there's moore (family office) and saba. whereas back in 2008, i believe there was paulson, bridgewater, burry, odey, and a few others that were massively profitable. but then again, i may be jumping the gun - more names may spill out as time passes
The difference is that the guys who profited big off the last crash were making a fundamental bet against an overvalued market (housing) whereas this crisis is caused by an unpredictable tail risk (pandemic), and so the tail risk guys are the ones doing well.
There are still plenty of macro shops doing well so far this month. Brevan Howard, Rokos, Kirkoswald, Tudor are all doing very well so far this month/year. I imagine the bulk of those gains came as a consequence of central bank policy, short oil and general equity shorts rather than anything COVID-specific (short airlines, long CDS on cruise ships, etc.), but at least they're providing some strong returns amidst the carnage.
updated set of numbers from bloombergs weekly HF news letter came out today.
All numbers March/YtD
Cubist -22%/?
P72 overall -4%/?
Exodus Point -4%/-2.4%
Coatue -9%/-5%
Viking -5%/-1.9%
Millennium -5.1%/-4.1%
Baupost -8%/-10%
is pt72 strictly their fundamental platform or includes cubist performance?
After this not sure if cubist will survive especially with senior level defections.
p72 performance includes cubist - meaning that cubist probably is responsible for the entire drawdown
-22% lol what a joke
Heard horror stories about some of the new PMs at Cubist so not surprised
Data points on quant funds?
PDT partners, two sigma, deshaw, voleon, TGS?
What about high frequency (non market-making) shops?
Voleon rumored to be down double digits.
On Shaw + 2S + Rentec public funds: https://www.ft.com/content/101cbb3c-6dbe-11ea-89df-41bea055720b All down overall, Rentec and 2S' Compass fund (trades futures) hit particularly hard.
Like above commenter, heard Voleon down double digits. Their performance hasn't been great in general even before this though.
Since equity statarb got hammered it would be very surprising if PDT isn't hurting. No idea on TGS.
Depends what you consider high-frequency but doing very well in general.
Citadel still up on the year
https://www.cnbc.com/2020/03/24/citadel-turns-2020-profit-after-spottin…
wtf how
Brevan up 17% for the month as of March 20, YTD up 21.6% per https://www.bloomberg.com/news/articles/2020-03-25/brevan-howard-hedge-…
Just came across tape, LRM shut two of its funds to focus on main vehicles.
Schonfeld Strategic Advisors, which had been down about 11% on the month primarily from its quant trading, said it was looking to raise more money.
Dmitry Balyasny’s $6 billion Balyasny Asset Management made money in March through Monday, climbing 1.1% in the month, and 2.2% for the year.
Recent update from bloomberg - would love to hear some more info on rational for seeking additional money right now at the pod shops. I'm sure theres a good reason, just not obvious to me rn. Also intersting to see some of these shops pull up so fast (Exodus going into the green and Schonefeld coming back 4% from -15%).
I am guessing the fixed income groups/shops that were down and came back had on the basis trade very big.
This is already stale. Most MMs have recovered a ton in the week to Mar 28th.
Update per wsj 3/29: Citadel +4.5% ytd, slightly positive March Millennium +
any light on cubist? Assuming if p72 is back in the green they must have pulled up quite a bit.
Anyone have any idea on Melvin?
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OK, I really want to know how Medallion is doing now. In 2008, they returned 82% ffs. I really wonder how they're doing
Same after reading the book I can’t help but be eager for their returns.
Bridgewater's flagship fund down 20% - https://www.bloomberg.com/news/articles/2020-04-03/bridgewater-s-main-h…
MFA looks doomed. Two Harbors not good either.
Quite different to what FT is saying, I am seeing Pharo is doing quite well YTD, MTD from the data I am seeing ( a couple of its biggest billion $ funds)
Which credit shops have done well in all this? Seems like many have been hammered by mtm losses in CRTs/RMBS etc
How bad is Solus down for the year? OP alluded to it in the post and I saw that they were trying to wind down their flagship fund but didn't see a concrete % anywhere.
Ackman fund up, sad.
BFAM down 17 percent. On BBG.
Medallion +24%. WTFFFFF how!??!
https://www.cnbc.com/2020/04/17/renaissance-hedge-fund-reportedly-havin…
All high frequency trading strategies are doing great right now. This is not shocking...
Ya, but Medallion NEVER loses money though and the others do ...
It's highly non-obvious that Medallion's performance is driven by what we'd consider "HFT". They are probably doing some HFT-ish things - the lawsuit with those guys who tried to go to Millennium had some talk about IDing and front-running flows in dark pools, for ex - but at 10 billion dollars I can't imagine they don't also have a sizable amount of risk in medium-horizon (hours or extraday) strategies.
The WSJ article has a little more detail and says at one point in March they were slightly down YTD. Which is not inconsistent with having exposure to an equity stat arb factor, say.
Yeah, agree with above poster. I think its highly improbable 10B is in all high frequency. At this point they've probably got risk in every imaginable instrument that can be traded. Even for fairly short term liquidity provision strats like stat arb still would of made money in those high vol conditions.
WSJ article on it from yesterday: https://www.wsj.com/articles/renaissance-s-10-billion-medallion-fund-ga…
39% before fees. Crazy
Those returns are in-line with some of the top proprietary trading firms. The real magic of Medallion is how they can do that with $10bn. No one has figured that out.
Anyone know/heard of performance at Eisler capital?
Article on Balyasny this week says they're up almost 8% through third week of April. Very impressive
Looks the restructuring there has gone ok.
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