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Renaissance Says Quant Models Misfired During March Mayhem

  • Beta models ‘have not performed as expected’ amid volatility
  • RIEF, firm’s biggest hedge fund, lost 14% in the first quarter
Jim Simons
Jim SimonsPhotographer: Amanda Gordon/Bloomberg

For Jim Simons, history is repeating itself, at least when it comes to meltdowns in the quant fund world.

Computer models at Renaissance Technologies, the firm founded by the mathematician and former codebreaker, misfired when volatility surged this year, contributing to a first-quarter loss at its largest hedge fund. The beta models, which help determine portfolio exposure at funds for outside investors, “in recent volatile markets have not performed as expected,” Renaissance said in a March 30 filing.