Overview

The fifth month of the year has started, and evidence of life in markets seems to be flowing back. Most commodities were up, especially ones that respond to inflation. Copper and gold benefited, as did oil. Even natural gas joined in with the party (up 3.6%). Unsurprisingly, the dollar weakened slightly against most currencies, but especially against the Brazilian Real.

Equities were pretty flat, as were bonds. There seems to be some backwardation creeping in, at least for long-dated euro equity options. This may just be a stray tick.

The VIX has suddenly jumped off the low of about 16 to about 17.9. This is quite a big percentage jump (although, conceivably, the VIX could drop to zero, in which case we’d see much bigger percentage jumps). It seems odd that SPX didn’t move but the VIX jumped. I’m sure the Convexity Maven or Spot Gamma would have an answer.

It the future trend

Renaissance Technologies

The Best Hedge Fund Performance in History; Now Clients Can’t Get Access to their Money

This is a fascinating article. I am sure that Jim Simons is a brilliant guy, but there is something very odd about the fund(s). I read a book about the guy, but I can’t say that I was any the wiser after reading it than before, other than that he and his team used some mathy technical analysis in a way that nobody could replicate (which, as I write it, seems highly unlikely, at least over a timescale of several decades).

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