Renaissance Down 4% In July, 7% In August

Aug 10 2007 | 6:44am ET

Even the most storied hedge funds are not immune to the sub-prime bug. Renaissance Technologies, the wildly successful $30 billion quantitative shop run by math-professor-turned-investor James Simons, was down between 3.9% and 4.6% in July, and the early going in August has been even worse.

Simons, in a letter to invests, called the July results “quite disappointing.”

James SimonsJames SimonsThe negative returns, which vary between the onshore and offshore versions of the fund, and between series, dragged year-to-date returns to 1.49% at best and just 0.19% at worst. And the roughest days may still be ahead: The Renaissance Institutional Equities Fund is down about 7% this month-to-date.

“Regrettably, we have not had good luck during these last few days of August,” Simons wrote. “We have been caught in what appears to be a large wave of de-leveraging on the part of quantitative long/short hedge funds.”

Simons blamed the poor performance on Renaissance’s Basic System—“the platform upon which almost all of our predictions are added”—saying it “experienced meaningful relative losses during the first two weeks” of July.

“The predictions themselves performed adequately during the month, but not sufficiently to overcome the down-draft in the Basic.”

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