There is no single quant performance number. The quant winter gutted equity-factor funds while trend and macro had no winter at all, so a blended figure hides more than it shows.
Key takeaways
- “Quant fund performance” as a single number is misleading, because equity factor, stat-arb and systematic-macro/trend funds earn returns from different sources and moved in opposite directions through the last cycle.
- The quant winter (roughly June 2018 to August 2020) was a factor-strategy drawdown, driven by the value-versus-growth spread widening to an extreme, not a fundamental collapse. AQR’s Absolute Return strategy fell more than 30%; even Renaissance’s outside RIEF lost about 22.6% in 2020.
- Systematic macro and trend followers had no winter. Trend delivered its best recorded year in 2022, with the SG Trend Index up 27.3% and the SG CTA Index up 20.1%, the year most other strategies fell.
- Benchmark each type against its own peer index, treat reported private-fund figures as indicative estimates, and remember index headlines usually sit above net-of-fee reality.
Ask how quant funds have performed and you will usually get one number back with a verdict attached. That verdict is almost always wrong, because “quant” is not one thing. A statistical-arbitrage book, a value-and-momentum factor fund, and a trend-following managed-futures programme all get filed under the same word, and they behaved so differently through the last cycle that averaging them together erases the only information worth having.
Most people believe the quant winter of 2018 to 2020 was a bad patch for quant funds in general. It was not. It was a brutal, narrow drawdown in equity factor strategies, while at the same time systematic macro and trend followers were quiet or, by 2022, having the best year of their recorded history. To judge quant performance you have to unbundle it. The dated figures below, split across the three groups that move differently, show what the winter and the rebound looked like inside each one.
This is analysis, not advice. The numbers below are index and reported fund figures, several of them unaudited estimates for private funds, so treat them as indicative of direction and magnitude rather than gospel.
The three things “quant” actually means
Before any performance number means anything, you need to know which engine produced it. Three families sit under the label, and they earn their returns from different sources.
Equity quant (factor investing). These funds rank shares on characteristics that have historically predicted returns, then go long the attractive names and often short the unattractive ones. Value, momentum, quality, low volatility, size. This is the world of AQR, Robeco, Dimensional and the factor sleeves inside larger firms. When people say “the quant winter”, this is the group they are describing, whether they know it or not.
Statistical arbitrage and equity market neutral (stat-arb). Shorter-horizon, higher-turnover strategies that exploit fleeting price relationships between securities rather than slow fundamental factors. Renaissance’s Medallion is the famous example, though its returns are an outlier that is a poor guide to the category. The stat-arb bucket overlaps with equity market neutral, which HFR tracks as a distinct index.
Systematic macro and trend following (CTA). These trade futures across equities, bonds, currencies and commodities, taking positions from price signals rather than company fundamentals. Trend followers, the largest sub-group, buy what is rising and sell what is falling across dozens of markets. Man AHL, Winton, Aspect and the programmes inside the Société Générale CTA indices live here. Crucially, they can be long or short anything, which is why they behave nothing like the equity factor funds.
The point of the split is simple. A blended “quant performance” figure mixes these three, and because they are lowly correlated with each other, the blend tells you about the weighting of whoever built it, not about quant as a discipline. The hedge fund guide covers how these strategy buckets sit inside the wider industry.
The quant winter: what it actually was, and who it hit
The equity factor world went through a drawdown between roughly mid-2018 and late 2020 that practitioners now call the quant winter. Robeco dates the acute phase from June 2018 to August 2020 and describes the mechanics plainly: there was, in their words, “basically only one way to outperform during this period, namely by investing in the largest and most expensive growth stocks,” while “there were many ways to fail” (Robeco, 2021).
Value took the worst of it. The Fama-French research data shows small value trailing small growth by a chasm over the stretch, with small value producing about -13% against small growth’s +71% from January 2017 through August 2020 (Alpha Architect). This mattered because the losses were not fundamental. Value stocks did not collapse as businesses; the valuation spread between cheap and expensive shares widened to an extreme, which is a repricing, not a destruction. That distinction is what let the strategies recover.
The damage in real funds was severe. AQR’s flagship Absolute Return strategy fell more than 30% from its 2018 peak to its 2020 trough (Institutional Investor). Assets fled the whole factor category; one prominent factor fund shrank 92% from its 2018 peak before closing its worst chapter (Bloomberg).
Even the best equity quants were not spared. Renaissance is held up as the smartest shop in the business, yet its funds open to outside money struggled badly through 2020. The Renaissance Institutional Equities Fund lost about 22.6% in 2020 while, in the same year, the firm’s internal Medallion fund returned roughly 76% (Institutional Investor). The two results sat 98 points apart in the same firm and the same calendar year, because one book traded fast price relationships and the other carried the equity factor exposures that were being punished. That single comparison is the clearest evidence that a lone “quant performance” figure carries no information.
Now hold that against what the trend and macro funds were doing over the same stretch. They were not in a winter at all. Systematic macro drifted through 2018 and 2019 without the factor pain, because their returns came from price trends across bonds, currencies and commodities rather than the value-versus-growth spread that was blowing out in equities. Same label, very different experience.
The rebound: 2021 to 2024, split by type
The thaw arrived, but it did not arrive evenly, and the standout year belonged to the group that never had a winter in the first place.
For equity quant, the turn came in 2021 as the value spread began to close. AQR’s Absolute Return strategy gained 16.8% in 2021, then rose 43.5% in 2022, its best year since the fund launched in 1998, and followed with 18.4% in 2023 (Institutional Investor). A strategy that had lost more than 30% became a top performer in the space of three years without changing its models. The recovery was the spread normalising, which is exactly what you would expect if the winter was a repricing rather than a broken strategy.
For systematic macro and trend, 2022 was the headline. While equities and bonds fell together and most of the investing world had nowhere to hide, trend followers were positioned short bonds and long the dollar and energy, and it paid. The SG Trend Index finished 2022 up 27.3%, its best year on record, and the broader SG CTA Index gained 20.1%, its best annual return since the index began in 2000 (Hedgeweek). Of the 30 programmes in the SG CTA index that year, 27 were positive. The strategy that spent the quant winter being ignored delivered the single best quant year of the cycle, in the year everything else broke.
By 2024 the whole field was healthy, though still split. Renaissance’s outside funds had fully recovered, with RIEF up 22.7% and its Institutional Diversified Alpha fund up 15.6% (Hedgeweek). Two Sigma’s Spectrum returned 10.9% and its Absolute Return Enhanced strategy 14.3%. AQR’s trend-following Helix fund gained 17.9% and its Apex multi-strategy fund 15.1%. Global hedge fund assets stood at about US$4.5 trillion in 2024 (HFR), and a large and growing share of it is competing in these systematic arenas, which is its own quiet warning about crowding.
A performance table that keeps the types apart
This is the view you rarely get: the same window, split by engine, so the winter and the rebound sit side by side without being blended into a single misleading average. Figures are reported fund and index returns, several unaudited, assembled from the sources listed below and current as at July 2026.
| Type | Representative line | The winter (2018-2020) | The rebound | 2024 |
|---|---|---|---|---|
| Equity quant (factor) | AQR Absolute Return | Fell >30% peak (2018) to trough (2020) | +16.8% (2021), +43.5% (2022), +18.4% (2023) | +10.8% to Aug |
| Equity quant (factor) | Fama-French small value vs small growth | ~-13% vs +71% (Jan 2017-Aug 2020) | Value spread narrowed from 2021 | Broadly normalised |
| Stat-arb / market neutral | Renaissance RIEF (outside fund) | ~-22.6% in 2020 (Medallion +76% same year) | Recovered | +22.7% |
| Stat-arb / market neutral | Two Sigma Spectrum / Absolute Return | Quieter than equity factor | Recovered | +10.9% / +14.3% |
| Systematic macro / trend | SG Trend Index | No winter; flat-to-modest 2018-2019 | +27.3% in 2022 (record year) | Positive |
| Systematic macro / trend | SG CTA Index | No winter | +20.1% in 2022 (best since 2000) | Positive |
Read down the columns and the argument makes itself. The winter column is severe for the factor rows and close to flat for the trend rows. The rebound column reverses the timing between them, with factors recovering across 2021 to 2023 and trend spiking in 2022. Anyone quoting a single quant number is averaging the top of this table against the bottom.
Which benchmark to actually use
If the blended figure is useless, the fix is to benchmark each type against its own peers, not against each other and not against the S&P 500.
- Equity quant: the HFR equity market neutral and factor indices, or the underlying factor return series (Fama-French, AQR’s public factor data) when you want the raw premium rather than a fund’s net-of-fee version.
- Stat-arb / market neutral: the HFRI Equity Market Neutral Index, understanding it blends factor-based and statistical-arbitrage managers, so it is a category average and not a pure read on either.
- Systematic macro / trend: the SG CTA and SG Trend indices, which are equal-weighted, reconstituted annually and roughly 85% explained by trend following, making them the cleanest public read on the group.
One caution that trips people up. Index returns are asset-weighted or equal-weighted composites and often reported gross of the fees you would actually pay, so the number a fund delivers to you sits below the index headline. And the reported figures for private funds, Renaissance and Two Sigma among them, are estimates rather than audited statements. Weigh them as direction and scale, not decimals.
Why the split matters for judging performance
The practical takeaway is not that one type is better. It is that “how have quant funds performed” is the wrong question, and any answer to it is a weighted average of things that move against each other.
Equity factor funds earn a spread premium and suffer when that spread widens against them, as it did for two years running. Trend and macro funds earn from price direction across many markets and do best when correlations break and something big moves, which is why 2022 was theirs and the winter was not. Stat-arb sits between, driven by short-horizon relationships that had their own difficult stretch in 2020’s volatility but do not track the factor cycle. Different return sources, different conditions, no reason to move together. Read every future “quant returns” headline by asking which type produced it, and the number starts to mean something.
FAQs
What was the quant winter?
A drawdown in equity factor strategies from roughly June 2018 to August 2020, when only the largest and most expensive growth stocks led the market and factors such as value, size and quality lagged badly. It was a widening of the value-versus-growth spread rather than a fundamental failure of the stocks involved, which is why the strategies recovered when the spread closed.
Did all quant funds lose money in the quant winter?
No, and this is the central confusion. The winter hit equity factor and some market-neutral funds. Systematic macro and trend-following funds, which trade futures on price signals rather than equity factors, were largely unaffected and by 2022 were posting record returns.
What is the best benchmark for quant fund performance?
There is no single one, because there is no single quant strategy. Benchmark equity factor funds against factor and equity-market-neutral indices, stat-arb against the HFRI Equity Market Neutral Index, and trend/macro against the SG CTA and SG Trend indices. Comparing any of them to the S&P 500 or to each other tells you little.
Why did Renaissance’s Medallion make 76% in 2020 while its RIEF fund lost 22.6%?
Because they run different strategies. Medallion is a fast, high-turnover statistical-arbitrage fund closed to outside money; RIEF carries longer-horizon equity factor exposures that were being punished during the quant winter. Same firm, opposite return sources, opposite results.
Have quant funds recovered since the winter?
Yes. Equity factor strategies recovered from 2021, with AQR’s Absolute Return strategy up 43.5% in 2022; trend followers had a record 2022; and by 2024 the major quant funds posted double-digit gains, with Renaissance’s RIEF up 22.7%.
Next read
If you want the wider frame these strategies sit inside, start with the hedge funds guide, which covers how systematic and discretionary approaches divide the industry and where quant fits within it.