QIM Contains Losses In May

Jun 7 2010 | 7:52pm ET

You know it’s been a rough year when a hedge fund calls a 1.39% loss a “strong month,” but in the case of Quantitative Investment Management, it will do.

The firm’s flagship Quantitative Global Program indeed lost that amount, but the average hedge fund lost even more, and the broader markets even more: Early figures show the average hedge fund shed about 3% on the month, while the Standard & Poor’s 500 Index dropped more than 8% in a month that began with May 6’s precipitous drop and featured copious volatility.

QIM blamed “unfortunate timing in the systematic execution of the firm’s drawdown reduction policy” for its May loss, noting that “the stronger periods of returns for the month came with the program at its lowest risk exposure and the worst stretch of trading was during a higher level of exposure.” Still, the strategy did keep the fund’s losses at just 2 basis points on May 6.

Still, the average hedge fund remains in the black on the year, while the $4.4 billion QIM Global Program is down 7%. Of course, things are even worse for QIM’s three-times levered version of the fund, which is down almost 20% on the year.

By contrast, QIM’s Tactical Aggressive Fund did even better than its flagship in May, losing an inconsequential 0.09%. That fund is up an impressive 14.8% on the year.


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