Citadel secret sauce

Citadel has been crushing it over the last couple of yrs - from what I've heard 2021 was quant and commods leading the way. Anyone care to chime in on Kenny G's secret sauce. Usually funds have to pay the piper after multiple years of 20+ returns - curious if they are just running a lot of risk as compared to the other platforms as it's not like they are working with a different talent pool than the rest of them. 

MLP is the gold standard imo with a long run Sharpe of around 3 - what has Citadel been realizing recently? obviously their long run isn't great with the 50% drawdown in 08

2021 returns:

Citadel Wellington +26.3

DE Shaw Composite +18.5

Millennium +13.5

Hudson Bay +13.5

Carlson +13.3

Paloma +10.1

Point72 +9.0

Balyasny +8.3

ExodusPoint +5.5

Sculptor +5.0

Comments (20)

Most Helpful
  • PM in HF - Other
Jan 6, 2022 - 2:59pm

You identified the correct sectors that have led to the wellington fund performance. They are taking more risk in those areas but also doing things other funds would never consider in terms of using both credit and taking up front losses (more on their own book than clients). Ken G is firm believer in volatility returning and limited resources in the world going forward he has been a believer since 2015.

Do not want to say much more, but let's just say Citadel's position in some commodity markets some days is as large as a certain energy company (one whos TGP new grad is discussed heavily on this site).

  • Research Associate in HF - Event
Jan 6, 2022 - 9:17pm

You identified the correct sectors that have led to the wellington fund performance. They are taking more risk in those areas but also doing things other funds would never consider in terms of using both credit and taking up front losses (more on their own book than clients). Ken G is firm believer in volatility returning and limited resources in the world going forward he has been a believer since 2015.

Do not want to say much more, but let's just say Citadel's position in some commodity markets some days is as large as a certain energy company (one whos TGP new grad is discussed heavily on this site).

what's TGP?

Jan 18, 2022 - 1:58am

Where else can you hire ags guys who can run risk from!  Hardly any straight ags funds guys left, now that we're 7-10 yrs from last boom period.  For the next 2-3 years it'll be sexy again (hopefully....), and then there'll once again be 5 or so top guys who had a good seat for the years we're living through now, and who survived the down-times that are inevitably around the corner, and so are the only people to give capital to if you want ags exposure.  

Ags trading: "Abandon all hope ye who enter here" :)

  • Associate 1 in PE - Growth
Jan 7, 2022 - 2:01am

Citadels market making business is an absolute cash cow. If you are risk neutral broadly and have a book that just takes a fee every time a trade happens, you literally have a money making machine. Much of this is software based. It's no longer investing, it's a service utilizing software like Microsoft or salesforce. 

Jan 21, 2022 - 1:10pm

Being able to recognize and allocate risk in the best sectors is a skill - track record may speak for itself?

Or do the numbers just work out naturally that some start making money, take more risk during the year etc, while those not making/down do not?

Jan 21, 2022 - 8:44pm

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