"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. ... 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
Interesting, I remember reading Farmer's book +- 15 years ago and being so impressed. Hardly any stationarity anymore in the markets nowadays.