The highest negative press these days is probably spent on how badly quant hedge funds are doing, we have shed the same negative light on these vehicles as well a couple of times. While it looked like September was going to mark a change in the course of negative returns, so far there is no considerable respite in losses.
Hedge fund losses
Simone Foxman did a good piece yesterday saying that if you had put your money in a robot, you would have lost 3.5% this year, pointing to the return on the HFR indices, where Systematic Diversified CTA Index is down 3.5% YTD.
Winton lost in 2012, profits plummeted 64%
It appears that it is not just this year that these trend followers are getting thrashed. The largest ones, including U.K based Winton Capital Management suffered a decline of 64% in 2012 profits, according to filings that were made public now. The quant firm generated revenues of $310 million last year which were less than $562 million for 2011. At the same time pre tax profits were down from $373 million to $135.5 million in 2012. Total assets fell from $28 billion to $26 billion.
Last year the flagship Winton Futures Fund which has $10 billion under management suffered a loss of -3.5%. This year has not been particularly great as well, the fund is up just 3.4% in the three quarters of 2013. Winton Futures has managed a handsome 17% annualized return since its inception in 1997.
Anthony Todd’s Aspect Capital down 7% this year
Aspect Capital, another quant king, has been suffering through a tough couple of years. Anthony Todd’s flagship Aspect Diversifed was down 10.66% last year, and has taken a decline of -7% in 2013 so far. According to filings, Aspect Capital saw a fall of 50% in pre-tax profits in 2012, attributing to the dull performance of its main program.
BlueCrest Capital Management however did better last year than its peers, assets rocketed from $6.7 billion in 2011 to $35.3 billion in 2012. The highest increase in assets was witnessed in the flagship BlueCrest Capital International, which manages $12 billion now. Notwithstanding the asset growth in last year, the same fund is down 2% in the first eight months of this year. The other large CTA managed by BlueCrest, BlueTrend Fund with $10 billion under management is down 11.5% in the same period. BlueCrest MultiStrategy is up 4.3% through August while BlueCrest Emerging Markets is up 3.25% through September.
BlueCrest Capital International was up 5.8% last year.