Computer-driven firms haven’t always replicated that 2008 success, losing money in at least two of the past five years, according to Newedge and data compiled by Bloomberg. In comparison, hedge funds on average made money during the period except in 2011.
Quantitative firms this year have been boosted by the more than 40 percent drop in oil prices since June.
Firms that follow trends, such as rising stocks or falling commodity prices, gained an average of 7.3 percent in November and those that use models to make decisions on macroeconomic themes returned 4.6 percent. The average hedge fund rose 1.2 percent, according to HFR.
Two Sigma had the best-performing strategy in its Compass Enhanced fund, which trades futures and currencies.
The New York-based firm was founded in 2001 by David Siegel, the former chief technology officer at Tudor Investment Corp., who received a PhD in computer science from MIT, and John Overdeck from D.E. Shaw & Co., who was an International Mathematics Olympiad Silver Medalist in 1986.
Backgammon, Billiards
Its website boasts of the firm’s technology pedigree rather than connections to Wall Street. Two Sigma touts the first open source software artist, billiard and backgammon champions and the founder of Hungary’s first commercial internet service provider among its employees.
This year isn’t a fluke. The Two Sigma Compass Enhanced fund has posted an annualized return of 30 percent since inception in 2005, according to a person with knowledge of the matter, who asked not to be named because the information is private.
Others making money this year include Aspect, a $4.8 billion London-based trend-following firm. Its Aspect Diversified Fund has gained 24 percent for the year, according to a person briefed on the returns.
Renaissance Returns