Thursday, 25 December 2014
Last updated 1 day ago
Feb 7 2008 | 1:06pm ET
Charlottesville, Va.-based Quantitative Investment Management didn’t exactly have the kind of start to the New Year it was hoping for. The firm’s Quantitative Global Program, a global diversified futures strategy, dropped 7.77% due to volatility in global equity markets.
By far, the program’s biggest lost was in global stock indices (-7.58%) followed by a small loss in the interest rates sector (-1.18%). The vast majority of the program’s losses occurred during back-to-back days, according to the firm, and based on its signals, the Global Program was long all of the global indices going into Martin Luther King Day.
“The sharp, sudden increase in volatility in the markets, exacerbated by the massive unwind of a fraudulently constructed portfolio of stock indices at [Société Générale], increased our volatility dramatically as well, especially since the program happened to be long stock indices,” said the firm, in a letter to investors.
“It is worth noting that the DJ Euro Stoxx 50 index futures dropped 15% from high to low in a day and a half of trading. This move is representative of the global market action that occurred in a short period of time and disrupted a large number of investment programs.”
QIM notes that although the program has a “very low correlation” to global stock indices, it is not negatively correlated to global stock indices.
Dec 1 2014 | 10:21am ET
As 2014 winds down, Northern Trust Hedge Fund Services executives took some time to share their outlook on trends facing the industry in 2015. Read more…
Jeff Sprecher was simply looking for a platform to trade energies when launching ICE 14 years ago but it has grown to reach the pinnacle of both the listed futures and equities world.