Jim Simons Renaissance Technologies (Rentec) 13F Filing: Q4 2008 ~ market folly

Tuesday, April 7, 2009

Jim Simons Renaissance Technologies (Rentec) 13F Filing: Q4 2008

This is the 4th Quarter 2008 edition of our ongoing hedge fund portfolio tracking series. Before reading this update, make sure you check out the Hedge Fund 13F filings preface.

Next up is Jim Simons' Renaissance Technologies, ranked 4th in Alpha's 2008 hedge fund rankings. Rentec, as they are commonly known, was started by Simons in 1982 and has around $25 billion in assets total. They employ mathematical and statistical methods to execute their investments and trades. Their flagship $7 billion Medallion fund has averaged annual returns around 35%. Unlike most hedge funds which charge a flat 2% management fee on assets and then a 20% performance fee, Medallion charges a 5% management fee and a performance fee > 40%. The fees are high, but after seeing their returns, one could argue it is easily worth it. Medallion finished up 80% for 2008, as noted in our hedge fund year end performance post. The bad news to anyone reading is that the fund is pretty much limited to only former and current Renaissance employees. Simons other funds, which are open to other investors, were both down in '08. In terms of recent performance, we saw that their Institutional Equities Fund was -4.61% for February and -8.84% for 2009 at that time, as mentioned in our January & February hedge fund performance post. Rentec is noted to be the most successful hedge fund in the industry, with returns eclipsing other legendary investors including Paul Tudor Jones, Bruce Kovner, and George Soros.

Jim Simons was recently listed on both Forbes' billionaire list and the list of the top 25 highest paid hedge fund managers of 2008. Obviously, he is a very accomplished man and his fund has put up impressive numbers. Mr. Simons previously testified before Congress with numerous other hedge fund managers and discouraged the SEC from making funds' short positions available to the public. For more on Simons & Renaissance, check out our post on hedge fund manager interviews.

Disclaimer: Do note that tracking Rentec through 13F filings is not beneficial due to the quant nature of their firm. We are tracking them because they are a popular, prominent fund with solid returns and many readers continually request it. While the majority of funds we cover are appropriate for tracking given their strategy and research methods, there is no way for us to know why Rentec holds a certain position. So, we are simply posting this up for fun. Use this information for entertainment purposes only. Again, they are mainly a quant firm and they trade every asset class under the sun. The majority of equity holdings you will see in their portfolio are most likely from their Institutional Equities Fund. Please keep this info in mind when viewing below.

The following were their long equity, note, and options holdings as of December 31st, 2008 as filed with the SEC. We have not detailed the changes to every single position in this update, but we have covered all the major moves. All holdings are common stock unless otherwise denoted.

Some New Positions (Brand new positions that they initiated in the last quarter):
Monsanto (MON), General Electric (GE), Transocean (RIG), Conoco Phillips (COP), Altria (MO), Lorillard (LO), Kimberly Clark (KMB), Merrill Lynch (MER), BP (BP), Abbott Labs (ABT), Norfolk Southern (NSC), Verizon (VZ), Google (GOOG), General Mills (GIS), Texas Instruments (TXN), US Bancorp (USB), Intuitive Surgical (ISRG), Duke Energy (DUK), Dow Chemical (DOW), Dupont (DD), Panasonic (PC), American Express (AXP), Covidien (COV), Devon (DVN), Wachovia (WB), Public Storage (PSA), Joy Global (JOYG), Kellogg (K), L3 Communications (LLL)

Some Increased Positions (A few positions they already owned but added shares to)
Citigroup (C): Increased by 10,046%
McDonald's (MCD): Increased by 2,072%
Coca Cola (KO): Increased by 1,536%
Pfizer (PFE): Increased by 1,378%
Philip Morris (PM): Increased by 1,109%
Pepsico (PEP): Increased by 995%
HSBC (HBC): Increased by 722%
CSX Corp (CSX): Increased by 641%
Research in Motion (RIMM): Increased by 289%
AT&T (T): Increased by 218%
Family Dollar (FDO): Increased by 118%
Baxter (BAX): Increased by 111%
Union Pacific (UNP): Increased by 91%

Some Reduced Positions (Some positions they sold some shares of - note not all sales listed)
Amgen (AMGN): Reduced by 41%
Forest Labs (FRX): Reduced by 36%
Walmart (WMT): Reduced by 35%
Glaxosmithkline (GSK): Reduced by 29%
Linear (LLTC): Reduced by 26%
UST (UST): Reduced by 20%
Humana (HUM): Reduced by 19%

Removed Positions (Positions they sold out of completely)
Noble Energy (NBL), Polo Ralph Lauren (RL), SPX Corp (SPW), BJ Services (BJS), ITT Corp (ITT), Limited Brands (LTD), Travelers (TRV), Philadelphia Consolidated (PHLY), Chesapeake Energy (CHK), Baker Hughes (BHI), Covance (CVD), Metlife (MET), Alcoa (AA), Assurant (AIZ), Tyco Electronics (TEL), Grey Wolf (GW), Equitable Resources (EQT), Halliburton (HAL), Avon (AVP), Praxair (PX), Honeywell (HON), Freeport McMoran (FCX). Inactives: Northwest Airlines, Activision (old shares), Ace, Matsushita, Applera, & Wrigley.

Top 15 Holdings (by % of portfolio)

  1. UST (UST): 1.31% of portfolio
  2. McDonalds (MCD): 0.91% of portfolio
  3. Coca Cola (KO): 0.8% of portfolio
  4. Monsanto (MON): 0.8% of portfolio
  5. Walmart (WMT): 0.7% of portfolio
  6. General Electric (GE): 0.7% of portfolio
  7. Amgen (AMGN): 0.66% of portfolio
  8. Baxter (BAX): 0.66% of portfolio
  9. Transocean (RIG): 0.64% of portfolio
  10. Research in Motion (RIMM): 0.63% of portfolio
  11. Linear (LLTC): 0.61% of portfolio
  12. Chunghwa Telecom (CHT): 0.58% of portfolio
  13. Eli Lilly (LLY): 0.57% of portfolio
  14. Philippine Long Distance (PHI): 0.57% of portfolio
  15. Pfizer (PFE): 0.56% of portfolio

Like we mentioned earlier, there is practically zero explanation for the rhyme or reason of any of their moves due to Rentec's quantitative nature. As you can see in the "increased" category, Renaissance ratcheted up their positions big time, many a time by over 500%. But, you also have to keep in mind that since they hold so many equities, those positions still aren't even over 0.75% of their overall portfolio. The only names that really rocketed up to the top of the portfolio were McDonald's, Coca Cola, Transocean, General Electric, and Monsanto. While many typical long/short equity funds we follow will have 4-8% of their portfolio in their top holding, Renaissance's top equity holding is only 1.3% of their overall portfolio. Assets from the collective long US equity, options, and note holdings were $38.1 billion last quarter and were $27.6 billion this quarter. This is just one of many funds in our hedge fund portfolio tracking series in which we're tracking 35+ prominent funds. We've already covered:

We cover a new hedge fund each day and you can see the complete list of hedge fund portfolios here.

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