QIM’s Global Fund Drops 2.3% In March, Still Up YTD

Apr 7 2009 | 11:55am ET

Quantitative Investment Management’s flagship $2.6 billion Global Fund dropped 2.32% last month in what the firm describes as a temporary loss “in the face of exogenous events.”

The global diversified futures strategy program stumbled in its currency and interest rate trades last month because of uncharacteristic volatility in both markets, according to the firm.

“The program initiated a short position in the euro the day before the Federal
Reserve announced its broad initiative,” it said.

“Unfortunately, the program increased this position on the morning of the 18th adding to the loss on that trade. We exited this position on the 24th with a sizeable loss, but did reap the benefit of a slight bounce in the days following the huge down move.”

Interest rate trading, which had been profitable early in the month, also suffered a setback on March 18 as the fund’s short positions in long-term U.S. interest rate futures reacted strongly to the Fed’s news, according to QIM.

The loss brings down the fund’s year-to-date gains to 3.65%.


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