Don't expect to find Michael Lewis' Flash Boys on Kenneth Griffin's list of favorite books from this year.
Griffin's hedge fund, Citadel Investment Group, has done very well indeed with high-frequency trading strategies, which Lewis argues are essentially insider-trading that have "rigged" the U.S. stock market. The Chicago-based firm's Tactical Trading Fund is up more than 300% since its launch in 2007, Bloomberg News reports.
The $830 million fund has suffered only five losing months since its debut, and has never lost more than 1% in any of them. Tactical Trading boasts annualized returns of 26% since inception.
While Citadel's flagship hedge funds, Kensington and Wellington, were losing more than half their value in 2008, Tactical Trading was up 31%. That marked the fund's height as a high-frequency trading vehicle; a year later, Citadel began to diversify the vehicle with other strategies, adding an equity market-neutral component in 2009 and statistical arbitrage in 2010, presaging similar moves by HFT firms as returns have lagged amidst greater competition.
High-frequency trading now accounts for only about a quarter of Tactical Trading's profits, and the strategy is used exclusively in non-equity futures.