Wednesday, 1 October 2014
Last updated 6 hours 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.
Sep 22 2014 | 4:15pm ET
"I tell people that everybody likes good news and so if you have good performance that’s wonderful,” explains Mike McKitish of Peddie School's endowment, “but it’s the people that want to talk about the bad news or where they drifted and how they came back and how they stayed to their discipline…” that he wants to hear from. Read more…
Sep 30 2014 | 9:29am ET
The crisp Autumnal days of October are upon us, and so are a few of the hedge fund industry’s favorite charitable events. If you have never been to Rocktoberfest, well, you are missing out. And for a quieter evening of sipping and socializing, stop by HFC’s Wine Soiree. Read more…
High frequency trading is not evil, it is not a conspiracy and it really is not new; it is the natural evolution of the professional trading community making markets, providing liquidity and hopefully...