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%