"Izzy Englander’s Millennium shuttered Prediction, a statistical arbitrage fund, at a time when that strategy within the industry is struggling to make money. Returns for the approach are down less than 1 percent so far this year, according to a Scientific Investments index of 160 funds, marking its first year-to-date loss since 2010. While Prediction outperformed the average stat-arb fund, that wasn’t enough to keep it running, the person said.
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The fund maintained a Sharpe ratio of 3, a measure of risk-adjusted returns.
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When it closed, Prediction managed less than $350 million. The small number of employees who left are looking for a new partner."
Full article at
https://www.bloomberg.com/news/arti...to-shut-down-pioneering-quant-hedge-fund-firm
...
The fund maintained a Sharpe ratio of 3, a measure of risk-adjusted returns.
...
When it closed, Prediction managed less than $350 million. The small number of employees who left are looking for a new partner."
Full article at
https://www.bloomberg.com/news/arti...to-shut-down-pioneering-quant-hedge-fund-firm
