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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Comments (30)

  • PM in HF - Other
Jul 21, 2021 - 11:18pm

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?

  • Research Analyst in HF - EquityHedge
Jul 22, 2021 - 6:52am

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

  • Research Analyst in HF - EquityHedge
Jul 23, 2021 - 7:49am

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.

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  • Research Analyst in HF - Other
Jul 25, 2021 - 4:19pm

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).

  • Research Analyst in HF - EquityHedge
Aug 26, 2021 - 9:39pm

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. 

Aug 27, 2021 - 11:49pm

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

Array
  • 1
Aug 30, 2021 - 8:41pm

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.

Aug 30, 2021 - 9:50am

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.

Aug 30, 2021 - 12:41pm

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

Aug 30, 2021 - 9:44pm

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