Monday, June 8, 2009

Jim Simons Experimenting With New Signals (As All The Old Ones Have Failed)

Zero Hedge announced RIEF's MTD (under)performance on Friday. Now, an apologetic Simons is out, explaining wtf is going on with the worst performing quant fund of the year (give or take).
Research was productive in May. We installed a new predictive signal of unusually high statistical significance and discovered another promising signal that will be explored further in the coming weeks.
Does this predictive signal have anything to do with gang-banging any uptick in /ES? Only (prime broker) JPY (sic) truly knows.

Alternatively could today's massive outperformance of the SPY vs. the IWM indicate that the reign of the high-beta high-flying crap is finally coming to an end? There must be a limit to even how long RenTec can stay completely deleveraged. Only "new predictive signals of unusually high statistical significance" can tell us.

hat tip Dealbreaker Sphere: Related Content
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