Clarium Capital Management is a large macro fund run by Peter Thiel. I looked at regressing the returns of the Clarium LP fund onto the dynamic trading risk factor in an earlier post.

Clarium seems to be one of the easier funds to get returns data for. In our earlier analysis we found that Clarium had a very large, but statistically marginal, α and a β statistically indistinct from unity, when regressed onto the dynamic trading risk factor. With an extra three months of data we shouldn't expect much to change. (The Clarium LP monthly returns data I am working with is available on the internet at sites such as Market Folly.)

Clarium is essentially flat on the year, whereas the typical hedge fund, as exemplified by the dynamic trading risk factor, is up on the year. Consequently, the α and the β have both declined slightly. The p-Value for the α is now 0.04.

Our predicted return for May, 2009, is a gain of 3.23%

Another fund of interest is Clarium LP. This is a notable global macro fund, run by Peter Thiel. Global macro, as noted in an earlier post, regresses poorly onto the VIX-GARCH variance spread.

The alpha for this fund is large and borderline in significance (1.9 +/- 0.9) %/month, a p-Value of just 0.03. And although it is borderline, this alpha is nevertheless quite large and represents a cumulative return, over the 76 months the fund has been in operation, of 318%. The beta for this fund is 0.79 and statistically indistinct from unity. Based on this data, we can predict a return of 2.7% for February, 2009. The regression results are below.

The Value Added chart below differs from the others previously exhibited in that, due to the huge alpha, I had to present the Clarium series and the Hedge Fund Risk Factor series on different scales (left and right axes, respectively).

I think the next year will be critical for Clarium, as we will find out whether their alpha persists or is anomalous.

UPDATE 03/09/2010: 2009 in fact proved calamitous for Clarium, and it's alpha has been drastically reduced.