2021 YTD performance (quant or LS)
Hi friends, any rumors how funds aredoing YTD?
Either quant or fundamental equity l/s. Return/GMV.
我有几个PM朋友告诉我3%和5%的基本方面。这些数字高于平均水平吗?
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Comments (32)
Those numbers are definitely on the higher end given than it's only July. At one of the biggerMM平台大多数悬停在7月YTD的0.5-1.5%左右,其中一些优于2.5%以上。但是话虽如此,这些数字是可行的,它们会遇到什么风险?
Not the OP, but most have similar risk limits at least forMMcase (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.
本周的完美数字截至2021年6月。
Bloomberg Briefs
我认为这些是平台级别吗?并在杠杆作用后。我想您可以从中退出一些信息,但是在PM级别上会更纯净,例如X是中位数,Y是第90个百分位数等。
Yes this should be on the entire platform level forMM资金。考虑到我不知道团队之间的分配,我不确定如何在PM的水平上退出。
除了实际查看数据外,没有其他方法可以获取PM级别统计数据。有些平台确实就它们的位置提供了每个PM的统计数据。话虽如此,知道平台回报和总体杠杆确实可以使您了解平均PM水平回报(尽管平均分配加权)。
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
一本相对较大的量子书约为1-2%。亲自了解PM,显然,相对于同行组,这相当不错,因为许多量子桌都在挣扎。
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
我已经看到道具公司通过Stat-Arb Plays扩展到中期。它们通常不会抛弃(即:Teza),但是Citadel Securities的STAT ARB POD做得很好。
Wondering if you have color/diffs on stat arb performance between single manager vs multi-manager vs prop firm
对于2020年的塔研究,也听到了同样的声音。但似乎更像是因为HFTwas 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%
是吗?有一些文章指出,今年早些时候经历了诸如两个Sigma和Rentech之类的公司。有人发布了彭博社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 playsa part. Stat arb at 300mm will be very different from that at 3Bn.
根据我在量化空间中听到的信息,杠杆资本的3%非常好
It is overall a pretty good year for stat arb.
似乎很多地方都说以10%YTD的订单回报。这些是小泡沫的资金还是我不喜欢喜欢的?
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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