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!


  • 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


  • 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

Comments (209)

Mar 14, 2020 - 9:31pm

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!

  • Analyst 3+ in RE - Comm
Mar 14, 2020 - 4:54pm

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

  • Analyst 3+ in HF - EquityHedge
Mar 14, 2020 - 9:03pm

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.

Mar 15, 2020 - 10:59am

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.

  • Research Associate in HF - Event
Mar 18, 2020 - 12:20am

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

  • Analyst 2 in HF - EquityHedge
Mar 19, 2020 - 12:23am

There's zero chance citadel is down that much.

Most Helpful
Mar 18, 2020 - 11:21pm

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)

Mar 19, 2020 - 4:57pm


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)

Thank you. Very helpful. Do you work in the Hedge Fund industry?

Mar 19, 2020 - 5:44pm

PM in HF - Macro:

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.

  • Associate 3 in RE - Comm
Mar 19, 2020 - 7:40pm

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.

  • Associate 3 in RE - Comm
Mar 20, 2020 - 7:54pm

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.


Mar 21, 2020 - 3:41pm

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

Mar 22, 2020 - 1:09pm


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.

  • Research Associate in HF - Event
Mar 23, 2020 - 12:41am

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

  • Associate 3 in RE - Comm
Mar 22, 2020 - 6:28pm

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%?

Mar 23, 2020 - 4:38pm

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...

They're minerals, Marie!
  • Associate 3 in RE - Comm
Mar 24, 2020 - 12:13am

some others:
third point: -13% ytd
rentech institutional equities: -24% ytd. also, curious how medallion fared

Mar 24, 2020 - 10:38am

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.

  • Analyst 2 in HF - Other
Mar 24, 2020 - 1:28pm

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.

  • Analyst 3+ in HF - EquityHedge
Mar 24, 2020 - 8:14pm

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.

Mar 24, 2020 - 2:40pm

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

Mar 25, 2020 - 12:26pm

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.

They're minerals, Marie!
  • Research Analyst in HF - EquityHedge
Mar 24, 2020 - 1:46pm

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%

  • Analyst 3+ in HF - EquityHedge
Mar 24, 2020 - 8:18pm

Data points on quant funds?

PDT partners, two sigma, deshaw, voleon, TGS?

What about high frequency (non market-making) shops?

  • Quant in HF - Other
Mar 24, 2020 - 9:56pm

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.

Mar 30, 2020 - 12:07am

* Citadel was down 5.3% for the month through March 20. Its performance has since improved.
* The fixed-income heavy ExodusPoint, run by Michael Gelband, had been down 3%, and is now up slightly on the month.
* Millennium had posted a loss of about 5% through March 20.
* Point72’s losses were around 4% through March 20. The fund had taken a hit from its quant trading group Cubist, which had lost 22%.
* 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%).

"one for the money two for the better green 3 4-methylenedioxymethamphetamine" - M.F. Doom
  • Analyst 3+ in HF - Other
Mar 30, 2020 - 10:35am

Update per wsj 3/29:
Citadel +4.5% ytd, slightly positive March
Millennium +<1% ytd, -1% March
Elliott “positive” both ytd and March
Point72 “flat” ytd

  • Investment Analyst in HF - RelVal
Apr 5, 2020 - 11:57am

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)

Apr 6, 2020 - 6:41pm

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.

Apr 8, 2020 - 12:10am

BFAM down 17 percent. On BBG.

I used to do Asia-Pacific PE (kind of like FoF). Now I do something else but happy to try and answer questions on that stuff.
  • Quant in HF - Other
Apr 17, 2020 - 8:29pm

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.

  • Analyst 3+ in HF - EquityHedge
Apr 17, 2020 - 11:45pm

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.

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