Saturday, 23 August 2014
Last updated 1 day ago
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.
Aug 4 2014 | 7:42am ET
By now, U.S. and international subscribers have received their home or office delivery of the special 500th issue of Futures magazine. You can too!—a very special offer follows. The issue is the largest in years—filled with the best trading strategies and stories from 43 years of being the primary publication for commodity, stock, options and forex traders. Read more…
The July/August 2014 issue is our largest in years—filled with the best trading strategies and stories from 43 years of being the primary publication for commodity, stock, options and forex traders.
The Alpha Pages Editor's Note