Citadel Wellington’s October and YTD performance was just released this morning.
The largest multi-strategy fund is well known for its stable returns.The YTD performance beats S&P 500 by about 2.5% without any negative months this year. (and no negative year in the past 5 years - post before.) Citadel Wellington’s performance is like getting equity-market returns with bond-market risk (although not unbelievably strong like Bluecrest Capital or Medallion - both are not open for public no matter how much you have to invest).
Exhibit A: Citadel undoubtedly uses quantitative risk tools (i.e. risk model) to control their risk and isolate alpha. We are only working with part of the tools needed to have excess risk adjusted returns.
They are doing on it a huge sum of capital. We don’t need something as elaborate but surely something is needed.
We’ve discussed it many times in depth - the forum is littered with discussion on it. It just ends up in the P123 black hole. I attempt to re-raise awareness every time I see a post that implies we need a risk model.
It’s on the top of the ideas heap for the next meaningful additions. Unfortunately the AI/ML project is taking much longer than anticipated. It’s one of those things…nothing seems to work until it does. It requires full commitment.
Making progress though. I think it will have appeal even for partial adoption , meaning for user that want to stick with whatever is working for them. And will also have collateral benefits to several other tools on the site.