2021 YTD performance (quant or LS)
Hi friends, any rumors how funds are doing YTD?
Either quant or fundamental equity l/s. Return/GMV.
I have a couple of pm friends telling me 3% and 5% both on the fundamental side. Are those numbers above average?
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Those numbers are definitely on the higher end given than it's only July. At one of the bigger MM platforms most hover around 0.5-1.5% YTD july, with a few outperformers above 2.5%. But then again those number are doable, what risk are they running on?
Not the OP, but most have similar risk limits at least for MM case (5-10 drawdown). Sure there are differences in contracts but not materially
I feel like risk limits usually refer to beta exposure/market neutrality? Basically just how net long they let you go
If you have a subscription to Bloomberg terminal, they have a newsletter on HF's activities/performances.
This week's one has perf numbers till June 2021.
Bloomberg Briefs
Those are platform level though I think? And after leverage right. I guess you could back out some info from it but it would be more pure on the pm level, say x is the median, y is the 90th percentile etc.
Yes this should be on the entire platform level for MM funds. I am not sure how to back out at PM's level, given I have no idea the allocations among the teams.
There is no way to get the pm level stats other than actually looking at the data. Some platforms do provide stats to each pm in terms of where they stand. That being said knowing the platform return and overall leverage does give you an idea of the average pm level return (albeit average weighted by allocation).
This is more or less true
Well greenlight is down -2.9% . Hope that answers your question.
2.9% loss on capital translates to 0.5% loss on gmv ballpark? Not too bad for greenlight
About 1-2% on a relatively big quant book. Know the pm personally, apparently that's pretty good relative to the peer group as many quant desks are struggling.
It is a good year according to my circle. YTD return for stat arb ranges from +1-3%. Sample size of 4.
actually have a question for you
I've seen prop firms expand into mid-freq with stat-arb plays. They usually don't pan out (ie: Teza), but Citadel Securities's stat arb pods are doing well.
Wondering if you have color/diffs on stat arb performance between single manager vs multi-manager vs prop firm
Heard the same as well for Tower Research in 2020. But it seems more like because HFT was doing so good compared to 'relatively slow' stat arb so they fired guys doing the latter.
Is that 1-3% YTD on the leveraged capital? If that is on the non-leveraged part then shouldn't it be a bit low?
Yes leveraged capital. So unleveraged returns should be between 5 - 15%
Ah that looks better :D
Anecdotally, I heard WorldQuant is having probably the best year PnL wise (after a very successful 2020). So stat arb must be doing ok across the board in big players.
Yes, Worldquant is doing fantastic from what I heard.
is it? there are articles pointing to firms like two sigma and rentech that went through rough patches earlier this year. someone posted a bloomberg link in this thread, which confirms the same.
Renaissance’s Medallion supposedly smashed it and their funds open to outside investors didn’t do well, so nothing unusual. Idk about two sigma but they probably have employee only funds that did fine too.
Those are at the firm level I presume. Did the article break down the performance by fund and strategy? AUM also plays a part. Stat arb at 300mm will be very different from that at 3Bn.
3% on leveraged capital is pretty good based on what I hear in quant space
It is overall a pretty good year for stat arb.
Seems like many places are saying returns on the order of 10% YTD. Are these including small bubbly funds or am I not comparing like for like?
Edit: Ah I guess those are unleveraged returns
Who’s getting 10% unleveraged?
Guessing he means 10% on unlevered capital so say 2% on gmv.
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