Quantitative Investment Management has not started the new decade off on the right foot.
Three of the firm’s four hedge funds finished the first quarter of 2010 in negative territory. Its flagship Quantitative Global Program, with $4.6 billion in assets, is down 5.74% after shedding 1.02% in March. Its Quantitative Global Fund 1x is a little further down, with a 5.81% drop in the beginning of 2010 following a 1.06% loss in March.
Unsurprisingly, its three-times levered version of the latter fund is really down in the dumps. The $348 million fund fell 3.07% in March and is down 16.76% on the year.
The funds’ interest rates investments took the biggest hit in March, accounting for nearly three-quarters of the decline. Grains and soft commodities also hurt the funds.
But, according to QIM, the bad news is actually good news.
“On March 12, the Global Program reached a 10% decline from its September peak, triggering a third reduction in risk which brought our exposure to 25% of its normal level,” QIM wrote to investors. “This is the second time in our track record that the 10% drawdown level has been hit. Despite the last severe drawdown, which occurred in March 2004, the Global Program still managed to return over 23% that year.”
The first quarter was not all bad for QIM: The firm’s two-year old, $482 million Quantitative Tactical Aggressive Fund rose 1.09% in March, and is up 4.95% on the year.