“Dear Investor” — Quant Letters to Clients

These are floating around anyway, so we might as well offer them all up in one place: (Thanks, Rob!)

Below you will find the various letters written to clients from many of the quant shops which have experienced some "dislocations over the past month or so.

The list includes:

AQR (AQR.pdf)
Barclays Global Investor (
Black Mesa Capital (Black Mesa.pdf)
Highbridge Statistical Opportunities Fund (
Renaissance Technologies (Renaissance Technologies.pdf)
Sowood Capital Management (Sowood.pdf)
TYKHE (GS) (Tykhe.pdf)

I found it particularly interesting that very few managers took real responsibility for what occurred. Only Jim Simons of Renaissance Technologies actually blamed their own system ("the principal culprit was our Basic System") for the recent performance issues.


Did I miss any? If so, forward a PDF to me for posting . . .


Update:  August 23, 2007 10:23am

An amusing variation of these letters comes to us courtesy of Long or Short Capital blog via fund manager Scott Frew:

Long or Short Capital "Dear Valued Client" 
"Dear valued client".pdf

Update 2:  August 23, 2007 3:09pm

I see that most of these ran earlier this month in the WSJ:

Dear Investors, We’re…

Hedge Funds Strain To Find Words to Say ‘Sorry’ for Your Losses
August 16, 2007; Page C1

Category: Hedge Funds, Psychology, Quantitative, Trading

Voice Recognition Software ?

Category: Web/Tech

Five Reasons Why the Fed Won’t Cut Rates

Category: Credit, Federal Reserve, Fixed Income/Interest Rates, Psychology

Brilliant Economists Can’t Figure It Out

Tom Toles perfectly sums up both the present economic environment, and the problem with economists:

Category: Earnings, Economy, Employment, Psychology, Wages & Income

E*Trade/TD Ameritrade?

Category: Corporate Management, Investing, M&A, Trading

Category: Credit, Federal Reserve, Legal, Real Estate

Capital One 0.75 Financial

Category: Corporate Management, Credit, Real Estate

Fed Easings and Market Tops

Category: Federal Reserve, Markets, Psychology, Technical Analysis, Trading

Real Income Fails to Rise for most of the 2000s

Category: Data Analysis, Economy, Employment, Psychology, Wages & Income

Casio Exilim EX-Z75 7.2MP Digital Camera

Category: Digital Media, Web/Tech