The decline left Platinum Grove Contingent Master fund with a 38 percent loss this year through Oct. 15, according to investors. Funds employing a similar approach of exploiting differences in the value of related securities fell 14 percent last month and 30 percent this year, according to data compiled by Hedge Fund Research Inc.
Somebody really ought to take Scholes' equations away from him. Scholes was also a partner in Long Term Capital Management that blew up in spectacular fashion in the late 1990's by losing $4 billion.
According to Platinum Grove's web site, they:
...rely upon sophisticated and proprietary quantitative modeling augmented by
qualitative research, on a global basis... Risk control is central to asset management and PGAM relies on an innovative risk-control framework and on sophisticated processes to add to returns while preserving capital.
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