Two Sigma, Renaissance Rebound in 2021

Quant funds are back…at least for now.

After losing money in 2020, computer-driven hedge fund firms, including Two Sigma and Renaissance Technologies, have rebounded sharply this year.

This is especially true for a few strategies in particular. “Risk Premia and equity quants are having their best year in a while, and nobody is talking about it,” said Jonathan Caplis, chief executive officer of hedge fund consultant PivotalPath.

Through November, equity quants are up, on average, by 11.6 percent, after enjoying one of their best months ever, Caplis noted in a recent phone interview. They are now on pace to post their first profitable year, on average, since 2017. “If the year ended today, it would be the best year since 2013,” Caplis added.

与此同时，在2020年下降了11.3％后，Pivotalpath的风险Premia指数上涨7.7％。2019年增加了8.1％，2018年下降了9％。

Two of the world’s largest quant firms are posting much better results than the indices. Two Sigma Risk Premia Standard, for example, was up 11.4 percent through November, according to a person who has seen the results, and to a hedge fund database.

两个σ风险溢价增强,meanwhile, was up 18.19 percent through November, according to the sources. In 2020, the two funds were down 7.62 percent and 11.76 percent, respectively, while in 2019 they were down 0.69 percent and 2.25 percent, respectively, according to a hedge fund database.

When it invested $200 million in the Two Sigma Risk Premia Enhanced fund in 2016, the Pennsylvania Public School Employees’ Retirement System (PSERS) explained in a memo that the strategy focuses on “recognized, fundamental risks that have historically provided attractive risk-adjusted returns with low correlations to the markets and other absolute return strategies.”

“两名西格玛的风险方法是使用普通研究平台的各种长期基本和技术模型来建立多元化的长而短头寸的长期和短期职位的组合，”佩斯为“普遍存在”。“基本模型从公开的数据中捕获量化和定性信息，以评估价值，质量，产量和其他措施。技术模型捕获价格和卷等数据，以评估行为偏差，如趋势遵循。“

The Two Sigma Compass fund has also rebounded this year from a loss. The macro fund was up 8.75 percent through November, after losing 12.21 percent last year, according to a person who has seen the results.

根据来源，今年持续两年股票量型股权量基金持续约3％，2019年较上年增长6.71％。

Elsewhere, equity quant fund Two Sigma Absolute Return is down 0.36 percent through November, after losing 1.24 percent in 2020, according to the source.

Despite the recent rough years, Two Sigma’s assets remained stable. It currently manages $63 billion, up from $60 billion at the start of the year.

Renaissance Technologies’ three public funds have rebounded from much steeper losses last year. However, its funds have suffered sharp declines in assets. For example, Renaissance Institutional Equities Funds (RIEF) is up nearly 9 percent through November, after losing 19.4 percent last year. Its assets, however, have declined by 40 percent to nearly $21 billion over the past two years, according to a hedge fund database.

RIEF is a long-biased fund that mostly invests in U.S. and non-U.S. equities. It was designed to exceed the average yearly returns of the S&P 500 Index, with dividends reinvested in the long term.

The Renaissance Institutional Diversified Alpha (RIDA) Fund is up 5.7 percent for the year through November, after losing 31.6 percent in 2020. Its assets have shriveled by about two-thirds to slightly below $5 billion over the past two years, according to the database.

The quant fund has exposure to “a diversified universe of equity securities traded on U.S. exchanges, futures and forwards, utilizing longer-term alpha signals,” according to the database.

2016年4月推出的文艺复兴机构多样化的全球股票基金（RIDGE）上涨2.34％至11月。去年下降了31.2％。因此，其资产达到了大约64亿美元，两年前总数的一半。根据数据库，市场中立的，长/股票基金投资于全球交易所和衍生品（直接和间接通过互换）的股权证券。

The Renaissance funds are also currently enjoying a strong December. Through the middle of the month, RIEF is up 13.7 percent, RIDA is up 11.3 percent, and RIDGE is up 7.4 percent, according to a person who has seen the results.

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