Friday, 22 August 2014
Last updated 12 hours ago
Jun 7 2013 | 11:36am ET
Betting on an end to the U.S. Federal Reserve's quantitative-easing program is proving painful for a number of quantitative hedge funds.
Some of the most prominent were caught out by the recent global bond sell-off, fueled in part by the Fed's refusal to taper off its bond-buying. "Since mid-May it has been a perfect storm of some of the biggest market trends in the markets reversing all at once," one quant manager told the Financial Times. "It has been particularly brutal."
Among the hardest hit was Man Group's flagship AHL program, which lost 11% over the past two weeks, contributing to its worst month in a decade. Other quants nursing losses include Aspect Capital, which lost 6.4% in May, and BlueCrest Capital Management's BlueTrend Fund, which fell 4.4% through May 24.
Graham Capital fell 3.9% on the month, Transtrend 3.1% and Winton Capital Management 2.5%—the latter's decline entirely attributable to losses on U.S. bonds.
Aug 4 2014 | 7:42am ET
By now, U.S. and international subscribers have received their home or office delivery of the special 500th issue of Futures magazine. You can too!—a very special offer follows. The issue is the 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. Read more…
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 Editor's Note