Citadel's
Kensington Global Strategies Fund, a multi-strategy hedge fund that
apparently does a lot of
Convertible Arbitrage, is apparently having a banner year so
far. Last year, they we're the poster child for the Hedge Fund Crash.
I have updated our archive of the
Kensington Global Strategies Fund monthly returns data to reflect the
most recent updates. (These are available from many sources such as
the Market Folly blog.) My record has a hole in the 2008 data;
if anybody has that data, or thinks that some of my numbers are wrong, please
contact me at
blog@gillerinvestments.com with your corrections.
Our regressions of this funds returns onto the dynamic trading risk factor
series give an insignificant α and a β which is not significantly
different from unity. As such, we forecast a return for Citadel for July, 2009,
of 1%. However, it is fair to note that the returns of this fund per articulus
(for the data points that I have) seem to drawn from a distribution with a
β of unity, as before, but with a very negative α. The group of
points is quite distinct from the main scatter. (In my scatter plot, the
regression line is blue and the green line
represents an identity relationship.)