Tuesday, 21 October 2014
Last updated 5 min ago
Jul 9 2012 | 7:14am ET
It seems quantitative hedge fund managers are going to have to go back to school, thanks to the European debt crisis.
Commodity trading advisers in June suffered their worst month in seven, losing 3.1% on the month, according to the Newedge CTA Index. Much of the pain came on the last trading day of the month, Friday the 29th.
"Last Friday was a killer for the CTAs," Gabriel Garcin of Europanel Research and Alternative Asset Management told Bloomberg News. "Most trend followers are on the same side of the trades, so when we get a risk-on environment, they get hammered hard."
And, in the last week, hammered hard they got: The euro suffered its longest losing streak of the month—four days—only to turn around and post its biggest gain since October. Trend-followers were not amused, losing 3.7% on the month, including 2.2% on the 29th alone.
Some of the most prominent quantitative funds were among the victims: BlueCrest Capital Management's flagship BlueTrend Fund fell 5.4%, Bloomberg reports, while Man's AHL Diversified dropped 3.4% and Winton Capital's Futures Fund fell 3.2%.
Sep 22 2014 | 4:15pm ET
"I tell people that everybody likes good news and so if you have good performance that’s wonderful,” explains Mike McKitish of Peddie School's endowment, “but it’s the people that want to talk about the bad news or where they drifted and how they came back and how they stayed to their discipline…” that he wants to hear from. Read more…
Sep 30 2014 | 9:29am ET
The crisp Autumnal days of October are upon us, and so are a few of the hedge fund industry’s favorite charitable events. If you have never been to Rocktoberfest, well, you are missing out. And for a quieter evening of sipping and socializing, stop by HFC’s Wine Soiree. Read more…
Most traders agree that proper risk management is the key to successful trading. However, many traders depend on the deeply flawed measure of standard deviation as a benchmark of risk. Here we put it ...