Clarium LP

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.