Normal
As at 28 Sept 2007, the total AUM for RET was $35.4bn. This largely consisted of a long biased equity fund managed against the S&P 500 called the RET Institutional Equity Fund consisting of $25.6bn. Further, their headline fund, Medallion, had about $6bn on 1 July 2007.Although the firm manages $6bn for outsiders as at 25 April 2013 vs $25bn in 2007, this occurred largely because holders of RET IEF sold as the market deteriorated in 2008 and 2009. Unlike the name of the fund, the holders were largely private wealth and intermediated platforms. Hot money. The RET IEF managed $7.3bn at 2013. The difference accounts for virtually all of the external client exposure movement. RET managed a total of $23bn.Thus, about $18bn of AUM loss was due to hot money movement at the bottom of the equity market. This implies growth occurred to partly offset this. In 2012, RET launched the Institutional Diversified Alpha strategy. It held $5.5bn as at 2013. It is a cut down version of Medallion. Hence, investors showed confidence in the firm's strategies and abilities as a pure alpha generator in diversified stock selection (in largely US stocks, the same universe as per RET IEF) when broad market movements were taken out of the equation. Fees for this would make up for a substantial part of the loss from RET IEF given it is non-directional.Medallion, which is only open to employees now holds $10bn. Before this fund closed, demand for it was so high that fees of 5% base and 44% of performance were levied. That is an incredible load relative to the industry standard of 2% and 20%. Again, demonstrating the confidence in RET and desire to hold assets along side their staff even if basically half of the profits generated would revert to the staff despite bearing no downside risk.Were the algorithms so useless? The article supplied says as follows:"Medallion has scored average annual returns of about 35%, after fees, since its inception in 1988, with only one money-losing quarter since 1995, a slight 0.5% drop in the first quarter of 1999, the firm has told investors"Furthermore:"Renaissance's best-known fund, the $10 billion Medallion fund, is up around 10% so far this year""Medallion, which rose more than 20% last year, is only open to Renaissance employees"If the requirement is infallibility, I guess this record is junk. A more rational examination would suggest that RET has some predictive ability in the application of their technologies. If algo is to be judged on robustness though hundreds of iterations of market evolution and, if failure to remain consistently profitable or infallible for a period of 26 years somehow implies the data is useless, there might be a lack of understanding here about how algo is actually developed and used. Sure works for some. If something is useless, it certainly isn't the data.
As at 28 Sept 2007, the total AUM for RET was $35.4bn. This largely consisted of a long biased equity fund managed against the S&P 500 called the RET Institutional Equity Fund consisting of $25.6bn. Further, their headline fund, Medallion, had about $6bn on 1 July 2007.
Although the firm manages $6bn for outsiders as at 25 April 2013 vs $25bn in 2007, this occurred largely because holders of RET IEF sold as the market deteriorated in 2008 and 2009. Unlike the name of the fund, the holders were largely private wealth and intermediated platforms. Hot money. The RET IEF managed $7.3bn at 2013. The difference accounts for virtually all of the external client exposure movement. RET managed a total of $23bn.
Thus, about $18bn of AUM loss was due to hot money movement at the bottom of the equity market. This implies growth occurred to partly offset this. In 2012, RET launched the Institutional Diversified Alpha strategy. It held $5.5bn as at 2013. It is a cut down version of Medallion. Hence, investors showed confidence in the firm's strategies and abilities as a pure alpha generator in diversified stock selection (in largely US stocks, the same universe as per RET IEF) when broad market movements were taken out of the equation. Fees for this would make up for a substantial part of the loss from RET IEF given it is non-directional.
Medallion, which is only open to employees now holds $10bn. Before this fund closed, demand for it was so high that fees of 5% base and 44% of performance were levied. That is an incredible load relative to the industry standard of 2% and 20%. Again, demonstrating the confidence in RET and desire to hold assets along side their staff even if basically half of the profits generated would revert to the staff despite bearing no downside risk.
Were the algorithms so useless? The article supplied says as follows:
"Medallion has scored average annual returns of about 35%, after fees, since its inception in 1988, with only one money-losing quarter since 1995, a slight 0.5% drop in the first quarter of 1999, the firm has told investors"
Furthermore:
"Renaissance's best-known fund, the $10 billion Medallion fund, is up around 10% so far this year"
"Medallion, which rose more than 20% last year, is only open to Renaissance employees"
If the requirement is infallibility, I guess this record is junk. A more rational examination would suggest that RET has some predictive ability in the application of their technologies. If algo is to be judged on robustness though hundreds of iterations of market evolution and, if failure to remain consistently profitable or infallible for a period of 26 years somehow implies the data is useless, there might be a lack of understanding here about how algo is actually developed and used. Sure works for some. If something is useless, it certainly isn't the data.
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