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East Setauket Update: RenTec June Letter, Medallion Not Bleeding RIEF Dry, Jimbo Happy To Explain What Is Going On... To Fields Medal Recipients

Tyler Durden's picture
Submitted by Tyler Durden on 07/14/2009 01:24 -0500



Just when people were convinced that the ongoing SEC investigation up in Stony Brook may forever end the good old cash exuberant days, where quantum physicists and voice pattern recognitionists somehow generated billions in P&L, Jim comes out and surprises everyone with a RIEF performance of up 0.88% MTD (excluding today's trading, one imagines). Oh, and he seems to enjoy patronizing all non-quant RIEF investors. Note the, well, note:

"Although too complicated to explain in this letter, more mathematically inclined clients might be interested to know that a similar but fuller story comes from making one-factor models of the full correlation matrices over the two epochs. The factor turns out to be an equity factor and loadings to that factor increase just as one might expect from the above results. The advantage of the one factor model is that it explains a phenomenon not directly addressed above. Without distinguishing the S&P 500, correlations between most asset classes have increased. For example, US investment grade bonds and emerging market equities have a historical correlation of only 4% but have had a 41% correlation in recent times."

Well, that just about explains it all.

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by Quantum Noise
on Tue, 07/14/2009 - 02:33
#6814

 Gee, who would have thunk it?

 When you only have computers trading between themselves and all using similar code guess what happens to correlations.

by Anonymous
on Tue, 07/14/2009 - 02:13
#6816

Spot the fake from the Fields Medal Recipient ...

http://terrytao.wordpress.com/

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