MONTHLY COMMENTARY
Renaissance Institutional
June 2009 (page 1)
* Since Inception, 8/1/05.
†
Gross of fees for the month of June 2009.** Charts based on monthly data and are net of fees for a continuing investor. Some series were not populated with investors since inception. The results displayed are,nonetheless, based on actual trading, gross pro
ts being adjusted in each case by the applicable fees.‡
The difference in return of RIEF and the S&P 500 since inception.
RIEF Onshore LLCRIEF Offshore LP
Series ASeries BSeries CSeries DSeries ASeries BSeries CSeries DS&P 500June Return 3.87% 4.01% 3.98%%3.80%3.93%%3.93%0.20%Annualized Return
*
-2.80%-1.94%-3.45%%-3.52%-2.63%%-4.55%-5.25%Standard Deviation
*
10.79%10.46%11.25%%10.81%10.50%%11.62%16.89Delta
*
‡
2.45% 3.31% 1.80%% 1.73% 2.62% % 0.70% -
Gross Sector Allocation
§
§ Long and short gross sector weightings are for the static portfolioat the close of 6/30/09 using the most current Barra model.
Risk/Return Since Inception
**
Renaissance Technologies LLC 800 Third Avenue, New York, NY 10022-7604 p: (212) 821-1502 f: (212) 848-1033 e: rief@rentec.com
One-Year Rolling Standard Deviation
**
June results were strong, with the domestic B class returning 4%while the S&P 500 posted
at results. The disproportionate spreadbetween the returns of high and low beta stocks that hurt RIEF in theprevious three months did not continue in June.Research progressed at a gratifying pace in June. Two signalswere approved for trading. One of these was the promising signalmentioned in last month’s letter, which has now been implemented,and the other was a more recent discovery, which is expected to beadded in the coming week.We consistently emphasize that RIEF is not intended to be a trackingvehicle but instead to provide diversi
cation from equity indices.This month’s strong performance provides another example of thisdiversi
cation. The next page provides statistics that offer context for thinking about correlations during the last twelve months.
Gross Long/Short Return Attribution
†
Long Portfolio Return3.7%Short Portfolio Return0.3%Total RIEF Return4.0%
Monthly Statistics
**
-25% -15% -5% 5% 15% 25% 35% 45% 55%FinancialCommercial ServicesTelecommunicationsTechnologyHealthcareTransportationUtilitiesIndustrialsConsumer ServicesConsumer CyclicalsConsumer NoncyclicalsEnergyBasic Materials
16.1%13.3%15.1%49.3%31.0%6.9%3.3%1.3%4.6%11.9%15.9%2.1%3.3%-13.4%-1.9%-1.1%-6.6%-8.0%-0.6%-5.8%-4.0%-10.6%-0.7%-7.7%-13.6%-0.1%
Annualized Standard DeviationRIEF LLC,Series BS&P 500Russell1000Russell 2000Growth
-10%-9%-8%-7%-6%-5%-4%-3%-2%-1%0%0% 5% 10% 15% 20% 25% 30%
Russell 2000 Value
A n n u a l i z e d R e t u r n
0%5%10%15%20%25%30%
J u l - 0 6 D e c - 0 6 M a y - 0 7 O c t - 0 7 M a r - 0 8 A u g - 0 8 J a n - 0 9 J u n - 0 9
S&P 500RIEF LLC - Series B
Equities Fund
of 00
RIEF June
3,240 Reads
Info and Rating
| Category: | Uncategorized. |
| Rating: | |
| Upload Date: | 07/14/2009 |
| Copyright: | Attribution Non-commercial |
| Tags: |
Leave a Comment