Key Takeaways
- • D.E. Shaw's Valence statistical-arbitrage fund delivered 9% returns in Q1 2024, outperforming peer quant managers Two Sigma (3.5%) and Renaissance Technologies (4.8%), and beating the hedge fund average of approximately 5%.
- • Valence's March performance contributed materially to first-quarter results, with a 3.2% monthly gain, demonstrating consistent execution in the statistical-arbitrage strategy during a strong equity market environment.
- • Two Sigma's Spectrum fund underperformed relative to Valence despite solid 2023 performance (8.6%), returning 3.5% year-to-date through March, while Renaissance's Institutional Equities Fund posted 4.8% returns.
- • Capital Fund Management's Paris-based quant operations also exceeded the average hedge fund benchmark, with Stratus fund up 5.9% ($11.3 billion AUM) and Discus fund up 6.7% ($4.9 billion AUM) in the first quarter.
- • All surveyed hedge fund strategies benefited from favorable market conditions, particularly trend-following funds capitalizing on strong equity market performance; Valence's 9% return nonetheless trailed the S&P 500's 10% first-quarter gain.
Summary
D.E. Shaw's Valence fund emerged as the top performer among major quantitative hedge fund managers in the first quarter of 2024. The $60 billion New York-based manager's statistical-arbitrage fund delivered a 9% return through March, according to sources familiar with the firm, driven in part by a 3.2% gain in the final month of the quarter. This performance positioned Valence ahead of institutional competitors and the broader hedge fund benchmark, which averaged approximately 5% for the period according to Hedge Fund Research data.
Valence's first-quarter returns exceeded those of two prominent peer quant operations. Two Sigma's Spectrum fund posted 3.5% returns year-to-date through March, following a 1.2% monthly gain, while Renaissance Technologies' main external offering, the Renaissance Institutional Equities Fund, returned 4.8% for the quarter. Both figures trailed Valence's results and the hedge fund average. Two Sigma, also a $60 billion New York-based quant manager, had delivered stronger results in 2023 with Spectrum up 8.6% for the full year. Renaissance did not provide additional commentary on its first-quarter positioning.
Paris-based Capital Fund Management also demonstrated competitive performance, with its two largest offerings exceeding the average hedge fund benchmark. The Stratus fund, managing $11.3 billion in assets, gained 5.9% in the first quarter, while the smaller Discus fund ($4.9 billion AUM) returned 6.7%. Both results surpassed the approximate 5% hedge fund average, though Valence's 9% performance remained the standout among the surveyed managers.
The broader market environment supported quant hedge fund performance in the first quarter, particularly for trend-following strategies that benefited from robust equity market gains. Despite Valence's outperformance relative to peer quant managers and the hedge fund average, the fund's 9% return trailed the S&P 500's first-quarter appreciation of 10%. D.E. Shaw declined to disclose current assets under management for Valence, though reporting from 2020 indicated the fund managed approximately $6 billion at that time. Representatives from Two Sigma and Renaissance Technologies declined to comment on their respective fund performance figures.
Valence's first-quarter returns exceeded those of two prominent peer quant operations. Two Sigma's Spectrum fund posted 3.5% returns year-to-date through March, following a 1.2% monthly gain, while Renaissance Technologies' main external offering, the Renaissance Institutional Equities Fund, returned 4.8% for the quarter. Both figures trailed Valence's results and the hedge fund average. Two Sigma, also a $60 billion New York-based quant manager, had delivered stronger results in 2023 with Spectrum up 8.6% for the full year. Renaissance did not provide additional commentary on its first-quarter positioning.
Paris-based Capital Fund Management also demonstrated competitive performance, with its two largest offerings exceeding the average hedge fund benchmark. The Stratus fund, managing $11.3 billion in assets, gained 5.9% in the first quarter, while the smaller Discus fund ($4.9 billion AUM) returned 6.7%. Both results surpassed the approximate 5% hedge fund average, though Valence's 9% performance remained the standout among the surveyed managers.
The broader market environment supported quant hedge fund performance in the first quarter, particularly for trend-following strategies that benefited from robust equity market gains. Despite Valence's outperformance relative to peer quant managers and the hedge fund average, the fund's 9% return trailed the S&P 500's first-quarter appreciation of 10%. D.E. Shaw declined to disclose current assets under management for Valence, though reporting from 2020 indicated the fund managed approximately $6 billion at that time. Representatives from Two Sigma and Renaissance Technologies declined to comment on their respective fund performance figures.
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