QIM Facing First Losing Year After November Setback

Dec 7 2010 | 1:05am ET

Quantitative Investment Management's second-half sprint came to a crashing halt in November with a big setback for the firm's flagship managed futures fund.

QIM's Quantitative Global Program dropped 1.89% last month, putting an abrupt end to the momentum it built up in October, when it rose 2.45% for its best month of the year. The $4.4 billion fund is now down 5.2% on the year, making it likely that 2010 will be QIM's first-ever losing year since the Global Program was launched in October 2003.

The Charlottesville, Va.-based firm blamed its long bet on the Hong Kong Hang Seng Index for November's losses, although energy, metals and interest rate bets also played a big role in the decline. Only the fund's agriculture investments produced a positive return in November.

The bad news is even worse for investors in QIM's triple-levered fund, which is now down 15.21% on the year.

The news, however, is not all bad. QIM's two-and-a-half-year old long/short equity fund, Quantitative Tactical Aggressive, put itself in position to enjoy its third-straight year of double-digit returns last month with a 0.81% estimated rise. The fund is up approximately 11.02% on the year.

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