We decided to close down in the fall of 2002. Returns, although respectable, had declined in 2001 and 2002. I believed this was due to the huge growth in hedge fund assets, with a corresponding expansion of statistical arbitrage programs. I had seen this happen before in 1988 when Morgan Stanley’s expansion of statistical arbitrage seemed to have a negative effect on our returns. The declining rate of return in statistical arbitrage seemed to be confirmed by the experience
