Quants Burned By Bond Swoon

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.


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