Live-Blogging The Renaissance RIEF Call; Down 32,9 % YTD

Discussion in 'Wall St. News' started by ASusilovic, May 13, 2009.

  1. With a delay so as not to get shot. Previously.)

    - The first time I gave my real name and company. Oh, but they're wise to my game, and after 5 minutes, an operator gets on and informs me that "Ms. Levin, the administrators have requested that you be disconnected from this call."

    - I can tell this is a job for an alter ego, Elizabeth Spring, and am reincarnated thusly. I'm listening and taking notes for the famous British banking concern...BCSH.

    - Dr. Jim Simons and Dr. David Lippy, senior researcher on RIEF in the hizzous.

    - Simons: I'm going to start on background. And when I say "background," I mean background. I'm going back thirty years.

    - In the 1980s we started to develop some computer driven models.

    - In 1988 we formed the Medallion fund.

    - By 2002 Medallion had reached a very high level. Funds were returned to outside investors. During the following three years we remained at that size, leaving the fund at about 98 percent employee owned.

    - We have a capacity issue as we have such short holding periods.

    - We realized we too as employee would get capped out, and in 2003 created a new vehicle, a fund with no practical constraint that could manage both employees and outside investors, which could maintain not for simply days and weeks but for quarters and years. It needed to be able to manage 50 to 100 billion, have beta but not exceed 40 percent, have two-thirds the volatility of the S&P and meaningfully outperform it, with no particular tracking expectations.

    - And so we created RIEF. And it was good.

    - This was just the sort of fund I myself wanted to invest in, and I did. My family group is currently the fund's largest investor.

    - To summarize comparisons with Medallion, Medallion is highly levered, RIEF is not; Medallion is very fast trading, RIEF is very slow trading; they're barely correlated.

    - March 1 through yesterday, we're down 32.9 percent (relative to the S&P 500)

    - That's a heckuva big move, and it's worth asking how it happened.

    Lippy takes the mic

    - High volatility stocks have outperformed low volatility stocks to an extreme

    - We are not indignant about making short term predictions

    - What has been happening looks historically aberrant

    - All we did was give up last year's don't worry. (Summary of entire call: Whats your fucking problem? We were up 20% last year.)

    - This kind of thing can't go on indefinitely (otherwise, RUN)


    Simons: It's time for questions from the audience. Whoever's controlling this, arrange for that miracle.

    Q: Do you adjust for overfitting?

    A: Yes. Dumbass.

    Q: If you were so short low quality stocks, why didn't you make a killing in the Feb-March downturn? Don't you look for oversold indicators?

    A: Oversold, overbought is meaningless from a practical perspective. [Coughs...God I need a cigarette]. I wish I had an answer. It's more easily wondered than answered.

    Q: Missed it

    A: Simons Says: This period has been totally bananas.

    Q: Can you comment on redemption activity in May and June?

    A: May was small, we don't have numbers for June yet (nothing has come in). I wouldn't be surprised if there were redemptions, people reacting negatively to these bad months and some such.

    Q: Does the junk rally need to end for the fund to start improving?

    A: Our predictive signals tend to favor non-junk. If our shorts continue to out perform our longs we will not do well (laughs).

    Q: We have this period of underperformance...have you ever experienced the same magnitude of overperformance?

    A: If you normalize by volatility, yes. These things tend to be pretty symmetric.
  2. They're inversely correlated. Medallion gets the "profitable" trades, RIEF gets the "losing" trades. :cool:
  3. Excerpts from the May letter (thanks to a disgruntled reader who would rather remain nameless):

    The RIEF strategy's preference for low volatility has been contrary to the voracious appetite for volatile stocks that has persisted for the past two months. This high volatility rally, which can hardly last forever, is at the root of our dismal performance.

    I love the term "can hardly last forever." It only needs to last two minutes longer than you can stay solvent, of course.

    Of course it is precisely this predilection of RIEF that helped us avoid much of last year's pain. While our recent reversal has erased a large fraction of last year's relative gain, we are still ahead of the index, net of fees, by more than 9% on a 12-month rolling basis and 3.60% annualized since inception, each with a volatility roughly 60% that of the S&P*. We remain confident that RIEF's portfolio will continue to provide higher long-term return and lower volatility than traditional long-only investing, while, at the same time, serving as an effective diversification for portfolios with large exposure to traditional long-only managers.

    Translation: We were short vol. Sort of like LTCM, but not really.

    We certainly understand our clients' discomfort at having to withstand a performance onslaught during an extreme market rally, but we believe patience during this period will be soundly rewarded. In order to address your concerns we are scheduling a client conference call for RIEF investors next Wednesday, May 13th at 1:00pm EDT, where I, together with senior researcher David Lippe, will discuss performance and answer investor questions. Details for this conference call and playback instructions are available on our website:


    Jim Simons

    So it was a scheduled call. Ah ha!

    And the goods:

    April / YTD
    Series A:
    Onshore: -9.38% / -17.31%
    Offshore: -9.47% / -17.61%
    Series B:
    Onshore: -9.25% / -16.86%
    Offshore: -9.35% / -17.17%
    Series C:
    Onshore: -8.64% / -16.95%
    Offshore: -8.79% / -17.25%
    Series D:
    Onshore: -8.33% / -16.86%
    Offshore: -8.51% / -17.17%
    Returns are for continuing investors.
  4. -17% YTD, not 32.9%... tiny difference :cool:
  5. TraDaToR


    "This was just the sort of fund I myself wanted to invest in, and I did. My family group is currently the fund's largest investor."

    His personal money seems involved in RIEF quite as much as in Medaliion. He's the first investor and REIF is bigger than Medallion if I'm right.
  6. Medallion Fund approximately 8 billion, RIEFF approximately 60 - 70 billion USD.

    Medallion = FUTURES fund.
    RIEFF = Equities.
  7. "Assets in the Renaissance Institutional Equities Fund dropped 32% to about $19 billion from a high of around $28 billion" - Quote from Spring 2008.
    "Through three main funds, he oversees $25 billion in assets, primarily relying on complex computer models to select trades." - Quote from Jan 2009.

    If I had to guess total assets probably shrunk to $20bln, RIEF assets probably now down to $12-13 bln, RIFF (their managed futures fund) $2bln and the rest ($6-8bln) at Medaillon.