Renaissance Institutional Equities Fund

For another big name, let's look at the Renaissance Technologies "Renaissance Institutional Equities Fund." This is interesting because Renaissance is a 100% quant/model shop and so they actually present simulated history for the period during which the fund was not trading live. (And once again, I have no axe to grind regarding Jim Simons or Renaissance Technologies. They are a very large, very notable, and very successful manager -- probably the best in the world -- and that's why they're analysed here.)

So, taking the monthly data, we ploughed ahead and did our, by now, standard regression onto the dynamic trading risk factor.

The results where quite a suprise to me. Coming from Process Driven Trading at Morgan Stanley, I feel I have a little more understanding of what's behind this kind of model. To see an insignificant alpha and a beta statistically indistinguishable from unity (which is my null hypothesis for a hedge fund engaging in typical trading patterns) was not what I expected. On the other hand, Renaissance's strongest claim about this fund was that it was massively scalable -- so perhaps that's where they invested their technological edge. The cumulative performance is presented below.