Winton Down In Bad Year For Quants

Jan 9 2013 | 12:49pm ET

Winton Capital Management suffered its second-ever annual loss last year, headlining a difficult year for British quantitative hedge funds.

Winton's US$10 billion flagship Futures Fund fell 3.5% in 2012. The fund had lost money only one other year since its launch in 1997.

"It's always disappointing when we're down, but it's important to remember that this is only the second time it has happened in 16 years," a spokesman for Winton chief David Harding told The Independent.

It may be small comfort, but Winton was certainly not alone in 2012. While the average hedge fund posted returns in the mid-single digits last year, quant funds did not do so well. The Newedge CTA Trend Sub-Index lost 3.4% last year, its second-straight down year. Other prominent quants to lose ground last year include Man Group's AHL Diversified Fund, which lost 2.1%.

Winton last lost money in 2009, when it was down 4%. It rose 6% in 2011, otherwise a difficult year for quants.

Of course, not every computer-driven fund lost money last year. Cantab Capital Partners' quant fund rose 15% last year, and BlueCrest Capital Management eked out a second-straight sub-1% annual return, rising 0.02% last year.

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