While the RIEF fund has opened up a bit to investors, there’s virtually no information available on the Renaissance Futures RIFF fund started in 2007. In his Nov. 2008, testimony before the House Committee on Oversight and Government Reform, Jim Simons said about RIFF that it:
“…is a slow trading fund, investing in commodities, currencies, bonds, and stock indices, and is designed to deliver an attractive return at relatively low volatility. …RIFF, started 13 months ago, did well during its first nine months but has been challenged by the turbulence of this fall, during which its returns were disappointing“.
There’s also generic information available at www.wsj.com obtained by WSJ from RIFF marketing materials:
“RIFF is a modestly-leveraged, slow-trading, global futures fund designed to provide substantial risk-adjusted returns, uncorrelated to US and global equity markets and with medium to low correlation to other asset classes… Targets holding times between nine and 12 months… The RIFF system is completely automated, with the exception of part of actual trade execution. Proprietary algorithms evaluate investment opportunities regularly in an effort to improve the portfolio“.
All of the above makes a good case for a dynamic factor analysis of RIFF returns.
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Michael Markov Hedge Funds, Main hedge fund analysis, Jim Simons, Renaissance RIEF, Renaissance RIFF, returns-based style analysis, style analysis
The goal of this week’s post is to explore the factors driving Galleon Technology fund’s performance a bit deeper. The fund was widely known for its high turnover, rapid-fire trading and extensive use of options to leverage short-term bets. Therefore, it seems unlikely that this quintessential hedge fund could resemble a typical technology sector mutual fund. But, as we’ve already learned from our previous analysis of Renaissance RIEF, such massive trading may inadvertently result in performance that can be explained by a handful of directional bets.
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Michael Markov Hedge Funds, Main Galleon fund, galleon insider trading, hedge fund analysis, returns-based style analysis, style analysis
The pattern in alpha is as important as its magnitude…
Daniel Li
Michael Markov
In the recent insider trading scandal involving the founder of Galleon Group, Raj Rajaratnam, the government used wiretaps to secretly record his phone conversations and those of his alleged accomplices. In the complaint, government prosecutors present an insider trading case against Rajaratnam and several other executives for illegally profiting from trading stocks and options of Hilton, Google, Akamai and others.
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Michael Markov Hedge Funds, Main Galleon fund, hedge fund analysis, insider trading, returns-based style analysis, style analysis
Back in 2007, we published a research report “The Law of Large Numbers“ with an analysis of the Renaissance Technologies RIEF fund and showed how a similar strategy would have performed during previous recessions and major market downturns. Thus, it shouldn’t come as a surprise that the RIEF has lost about 17% through April and 8-9% in April alone as it was reported by The Wall Street Journal and various blogs. Read more…
Michael Markov Hedge Funds, Main, Research hedge fund analysis, hedge fund due dilligence, Jim Simons, Renaissance RIEF, returns-based style analysis, style analysis
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