After a rough 2012 for many Quant funds its deja vu. The recent sell off in treasuries dipped bond prices to new lows and brought major losses for the quant funds who trade fixed income futures. Bond traders were punished as Fed hinted on stemming its quantitative easing program. A 10-year bond yields increased from 1.6 percent to 2.25 percent on May 29, as a number of hedge funds incurred losses. Goldman Sachs Group, Inc. (NYSE:GS)’s Francesco Garzarelli thinks that bond yields will go as high as 2.5 percent by the end of this year but dismisses fears of treasury holders. He argues that it is healthy for the markets if they start moving on macroeconomic fundamentals rather than blind trends.
Managed Futures Strategy Major Loser In May
Funds who trade commodity futures were major losers in the last month. Man Group, Aspect Capital, which have a chunk of their assets invested in treasuries detracted in huge numbers, reports Sam Jones for Financial Times. Man Group Plc (LON:EMG) declined as much as 16 percent on London Stock Exchange today as news broke of its abysmal performance in last month. AHL Diversified was down 3.68 percent as of May 27 whereas AHL Evolution lost 2.9 percent in the same period.
Anthony Todd’s Aspect Diversified, AUM $1.6 billion, lost a painful 5.3 percent in May alone, taking the YTD performance down to -0.01 percent.
Another managed future fund that took losses was Cantab Capital’s CCP Quantitative Fund that lost 8.3 percent in last month, suffering from its short USD and long bond positions. Cantab Capital, based in UK, has over $5.2 billion under management and the recent dip takes year to date performance of the flagship fund to -5 percent.
Renaissance Technologies’s Quant Funds Poor 2013
US based Graham Capital lost 3.7 percent in May whereas the already troubled Renaissance Technologies quant fund did not do any better as well. Renaissance Institutional Diversified Alpha lost 2.5 percent till May 24 whereas Renaissance Institutional Futures Fund dropped 1.2 percent over the same period.
Winton Capital, the largest quant fund with nearly $26 billion under management, lost 3.28 percent in Winton Evolution share class till May 29 and 1.84 percent in Winton Futures. Winton Futures is still up 7 percent for the year.