Tuesday, 1 December 2015
Last updated 1 hour 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%.
Oct 21 2015 | 10:41am ET
One of the most unique charity benefits in the hedge fund industry, A Leg To Stand On's (ALTSO's) Hedge Fund Rocktoberfest - NYC, raised nearly $500,000 last Thursday thanks to the generous support of major sponsors and nearly 1,400 attendees from the Tri-State finance, business and hedge fund communities. Read more…