Wednesday, 31 August 2016
Last updated 58 min ago
Sep 17 2007 | 11:02am ET
Charlottesville, Va.-based Quantitative Investment Management in August had its best month ever relative to its benchmark at a time when many other quant funds struggled with their performances. The firm’s flagship $1.5 billion Global Program, which systematically trades a diversified universe of futures contracts, returned 7.49% in for the month, putting its year-to-date performance at +17.06%.
By comparison, the non-investable Calyon Financial Barclay Index, which is comprised of 20 managed futures products including those from Winton Capital Management, FX Concepts and John W. Henry & Co., was down 3.49% last month, bringing it year-to-date returns to just 2.26%.
“During August, most quantitative strategies struggled, including some of the biggest and most respected names in the investment management business,” according to an investor letter from the firm. “World equity markets tumbled as a crisis in the U.S. subprime lending market dominated the headlines. When markets react like this, correlations between managers typically go up; however, the Global Program surged during the crisis as many of our competitors were floundering.”
The Global program made money in each of the eight stock index futures contracts that it trades as well as in Japanese government bonds and U.S. ten-year bonds, according to the firm.
The program does not charge a management fee and its performance fee is 30%. There is a $250,000 minimum investment requirement for fund investors, and a $20 million minimum for managed accounts. The firm recently reopened the program to new investments, and is targeting a close at $2 billion.