Risk premia and equity quant strategies are solidly in the black this year.
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.