Comparing Multi-Managers

How do the big multi-managers (Millennium, Citadel, Point72, Balyasny, Exoduspoint) stack up against each other today as an analyst, assuming you're joining a comparably average pod at each? How do they stack up as a PM? Who performed best in 2020 and YTD through February in 2021?

 
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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.

 

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 

 

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.

 

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.

Citadel absolutely crushed it in commodities, especially european power and gas

 

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 

 

ExodusPoint shouldn't even be mentioned in the same sentence with the others with regards to quant infrastructure

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.

 

I've heard the same but actually having great infra is different from telling everyone you have great infra

 

Piggybacking here - beside ones you listed, how about guys like Candlestick, Woodline, Holocene? Are those considered pod shops? 

 
powerforward1

Any thoughts on Graham/Verition/Centiva/Schoenfeld/BH?

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? 

 

I disagree and using an argument by ignorance like that is unproductive. Elaborate on how they are not different if you want be helpful to people who are genuinely curious?

Factor risk limits are 2x as restrictive at the most vs least, 10% factor exposure vs 20%, Leverage is about double at the fund level, 6x vs 12x, gross AUM/IP on a team is about double, comparing the extremes between these funds shows there are large differences between them.

I assume you are using the reasoning that they are a platform and the actual team is all that matters. But that is not true. Lets use banking as an example, the group you are at in a bank matters more than the actual bank, but there are still differences between the banks. MS != CS, there are genuine differences between the banks that are caused by management not the group you are in.

Edit: agree there isnt a huge difference but saying theres none isnt true.

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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