Quants Poised For Worst Month Since 2007

Oct 30 2012 | 10:19am ET

Quantitative hedge funds are about to post their worst monthly performance since 2007, thanks to an unfortunate confluence of bad bets.

Managed futures and commodity trading advisors attempt, through complicated algorithms, to spot and exploit market trends—but this month, many of these trends have turned against them.

According to the Newedge CTA Trend Sub-Index, the average fund was down 5.63% this month as of October 25. If nothing changes in the next few days, they will turn in their worst monthly performance since August 2007 (although year-to-date, the average CTA is flat).

Alex Greyserman, chief investment officers of the $900 million ISAM fund, which is down about 5% month to date, told Reuters there was no single macro factor to blame:

"Statistically these things can happen, but they shouldn't happen very often. It's just been one of those months when the trades went against you everywhere for a number of reasons."

Even the leading lights in the quant world are struggling—$29 billion Winton Capital is down 6.5% YTD as of October 26 and Man Group's $16.3 billion flagship AHL fund is down 4% YTD. Another giant, BlueCrest Capital has gone so far as to revamp the programs it uses to trade one of its computer funds.


In Depth

Q&A: Quad Advisors’ Borish Is Looking For Real Traders, Not Index Huggers

Aug 20 2014 | 1:43pm ET

Peter Borish, who served as founding partner and director of research at Tudor Investment...

Lifestyle

Viking Manager In Rent Dispute

Aug 11 2014 | 4:14am ET

A hedge fund manager is demanding most of his money back from his former landlord...

Guest Contributor

Majority Of Inflows Go To Brand Name Hedge Funds

Aug 12 2014 | 9:00am ET

Since the market correction of 2008, a vast majority of hedge fund net asset flows...

 

Editor's Note

 

Futures Magazine

PREVIEW July/August 2014 Cover

Inside Futures' 500th Issue

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

TAP July/August 2014 Cover

Real talk on alternative investments, business & finance

The Alpha Pages Editor's Note