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Citadel has the tightest factor limits, Millennium/Exodus is in the middle, and P72 is the lowest. Same goes for leverage.
Citadel has the highest turnover, P72 has the least turnover. Citadel however, often gives some big signing bonuses and allocates more capital to teams that the other MMs to balance out higher turnover
MLP crushed is last year being up like 26% net which is insane because they have the tightest fund level risk constraints, i.e. lower fund level std. deviation.
Citadel did great at being up ~23%, P72 was up ~16%.
I think P72 has the best analyst experience but that's just my opinion, obv pod matters way more.
Thought MLP had the loosest risk limits?
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This is more or less inline with the color I hear
Thanks for sharing! Can you elaborate on the turnovers? I want to know how long does an analyst typically last at Citadel/P72 under normal circumstances v during a bad year
3 months & 10+ years.
Point is the standard deviation.
What are the different types of parameters/limits that PMs are given/negotiate when they run their pods? I only know of a couple but I would love to get more comprehensive insight:
- Risk Limits - essentially how net long/net short the market you can be overall in your portfolio
- Drawdown Limits - % drawdowns at the position level & portfolio level where risk management forces you to halve or sell out of your position
- Factor Limits - I'm not really sure what this one measures except maybe balancing the longs and short nets for momentum, value, growth stocks? Idk if they classify each stock with a factor rating or something
factor limits - if you are aware of the structures of Barra or Axioma, these MMs add few additional factors on top of third party factor models, and they have risk limits on these factors. Also don't forget - there are usual ADV / Notional limit, along with Sector limits. At the portfolio level, there could be a VAR limit as well.
Agree with everything except putting MLP In middle of factor/risk limits. They are at low end. Heard many stories of pods running into prints basically blind with almost triple digit dollar gross exposures on single names.
"I think P72 has the best analyst experience"
Could you elaborate a bit?
Citadel absolutely crushed it in commodities, especially european power and gas
As a quant, it looks like Citadel has the best tech, followed by Cubist/MLP, then EXP.
One more important metric is the payout per dollar generated (both siloed quant PMs and as a part of a collaborative team).
absolutely
ExodusPoint shouldn’t even be mentioned in the same sentence with the others with regards to quant infrastructure
lol...well, exodus is a startup (with lots of $$, but still a startup)....so you got to build from the ground up...Rome wasn't built in a day
as I have heard it, you will have to build up your own quant infrastructure. So, if you are doing Fixed Income RV like I do it for example, you need to code up your yield curve fitting, carry calculations and what not, or hire someone who does it. But that would be the same at Millennium, unless you want to pay shitloads for their existing in house solutions
a lot of people are leaving exodus, they arent yet on the same level as the Millenniums/Citadels of the world. Pretty high turnover at the moment.
Brevan Howard has great infra as well
I've heard the same but actually having great infra is different from telling everyone you have great infra
I agree with everything that's been said. However, I wouldn't worry too much about who did the best last year or YTD. Your team’s performance is more important.
Have a close friend at Balyasny who loves it. Dude made bank this year and turned down a pretty great offer from Citadel.
Didn't BAM fire a bunch of analysts in 2020 (something like 40 people)? How's the turnover looking like these days
How much did he make and is he a PM or analyst?
How about those start up MMs with a size between $1-2B? Worth considering?
Only if you have no other option
Curious what's the downside if the fund has good momentum and strong results last year?
what are the names of those startup MMs with a size between $1-2B? for a guy who has no other options...
Any thoughts on Graham/Verition/Centiva/Schoenfeld/BH?
Piggybacking here - beside ones you listed, how about guys like Candlestick, Woodline, Holocene? Are those considered pod shops?
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Holocene def not a pod shop even though started by the former head of Citadel Equities (which tbh I don’t even know what he does since PM pods should be managing their own capital right?).
I would add Paloma, P Schonfeld as decent but smaller MMs.
Soros Fund Management also basically pod shop technically!
Verition is definitely up and coming, they've grown considerably in size and are making a big push into commodities. Nicolas was at Amaranth prior to starting Verition so naturally have interest in commodities.
Centiva is more into systematic equities, macro, not much on the long short side.
Schonfeld is making a big push into equity derivatives, made a big hire from Goldman recently
Brevan Howard is really anchored in rates/fx, they're making a push into systematic equities. Great shop overall with better risk/draw down limits
I know all these funds pretty well, welcome to DM me with any questions
Anyone know how the do Asian pod shops compare to US/global ones? Curious about things like average book size, risk/drawdown limits, payout ratio, infrastructure.... etc. Also beside Polymer and Segantii, who are the more reputable regional players in Asia?
How in the world are there enough decent PMs to support all these random firms I have never heard of working at funds 10± years
Let's stop bullshitting. They are all the same. When you get fired from one you go to the next one until there are none left to go to.
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I have no window into how the equities L/S strategies are treated, but I believe you when you say there are some differences at factor level / et al... I also agree that differences in size matter a ton (it makes a huge difference if it is a 1bn fund and you can never scale to a 2bn allocation vs. a >5bn fund that can let you get to a 2bn allocation if you do well. Overall, performance matters a ton - mostly because of concerns related to PM-level netting risk and ability to retain investors + capital. That said, most of the time, the big funds are big because they have good historical track records so once you get to a certain size they are all pretty similar.
I think the only real differences tend to be 1) strictness of mandate (how tight are you held in terms of what you can trade), 2) strictness of drawdowns, and 3) management buy-in to strategy (for instance, being the equites PM at a macro-oriented shop or the macro PM at a equities L/S-oriented shop). At any of these places, if you demonstrate ability to produce, you will receive more and more capital up to a constraint. If you perform poorly, you will be out.
I think many of the differences in terms that are quoted tend to be interchangable and balance out. For instance, a $500m book at 10% target volatility with 20% payout is basically the same value proposition as a $1.5bn book at 6% target volatility with 12% payout.
BlueCrest returns just dropped…is Platt the pod shop GOAT, always making double digit returns.
No - It's because they describe returns as returns on capital rather than AUM. In practice Platt and partners have to hold a lot more cash ready to backstop BlueCrest in high vol periods and that cash is not included in the return calculation.
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