Quants Burned By Euro Whipsaw

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%.

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