BFW 10/23 14:20 Man Group’s AHL Leads Quant Funds’ Comeback as BlueTrend Gains
Man Group’s AHL Leads Quant Funds’ Comeback as BlueTrend Gains
2014-10-23 14:19:33.380 GMT
By Lindsay Fortado
Oct. 23 (Bloomberg) -- European hedge funds that rely on
computer models to follow market trends are showing signs of
revival after years of losses, with Man Group Plc’s AHL
Diversified returning to gains for the first time since 2010.
AHL, Man Group’s largest hedge fund, has made about 21
percent from the start of 2014 through last week, according to a
person with knowledge of the performance who asked not to be
identified as the results are private. BlueCrest Capital
Management LLP’s BlueTrend quantitative fund, which is being
spun out to create a new firm, is up about 8.5 percent this
year, according to an update to investors yesterday obtained by
Bloomberg News.
“The recent volatility we’ve seen in markets has proved to
be broadly positive for momentum strategies, with the
opportunities increasing in most asset classes,” said James
Skeggs, who heads the advisory group at Newedge Group, a
brokerage unit of Societe Generale SA, in London. “In October,
this has been most notable in the bond and energy markets.”
European trend-following quant funds at Cantab Capital
Partners LLP and Winton Capital Management Ltd. have also posted
positive returns, according to people with knowledge of the
returns. Newedge’s CTA Index, which tracks 20 large trend-
following funds, has risen about 5.6 percent this year,
outperforming the wider Bloomberg Global Aggregate Hedge Fund
Index, which is up 2.3 percent.
The funds use algorithms to try to capture profitable moves
in stocks, bonds and commodities. Sometimes called managed-
futures funds or commodity-trading advisers, the funds have
their own computer models.
QE Woes
Over the three years ending Dec. 31, the Newedge index fell
an average of 2.2 percent each year, while the Bloomberg
aggregate index rose 2.3 percent annually. The quant funds’
underperformance has been blamed in part on central bank
interventions in markets, such as the bond purchases known as
quantitative easing, that have altered the expected movements of
security prices.
Cantab Capital’s main fund, Aristarchus, returned to profit
after gains in August and September erased previous losses for
the year. The $2.4 billion fund advanced 3.6 percent as of the
end of September, after a decline of 28 percent in 2013,
according to its most recent investor letter. Cantab’s Core
Macro Fund, with assets of $670 million, is also up, with
returns of 10.74 percent through the end of last month.
Man Group shares have risen about 13 percent since it
reported on Oct. 16 that AHL Diversified was up 9.1 percent for
the third quarter. Its AHL Alpha fund was up 6.1 percent for the
period.
Below Peak
The $10 billion Futures Fund run by David Harding’s London-
based Winton Capital has gained 3.1 percent this year, according
to an investor letter sent yesterday. The fund bucked its peers’
trend of losing money last year, returning more than 9 percent.
Still, redemptions in the category have continued,
according to data from eVestment, a data provider.
Investors pulled about $32 billion from so-called managed
futures funds last year and $28.5 billion so far this year, over
half of which came in January, February and March. The firm
estimates that such funds manage about $122 billion globally,
down from a peak of $198 billion in 2010.
Officials at all of the hedge funds declined to comment on
the figures.
Allocation Decisions
“Prior to August and September, the group was not doing
well,” said Peter Laurelli, vice president of research at
eVestment in New York. “If investors are going to show interest
in the group based on relative performance strength, then we
should start to see it next month, or two months after their
large August gains at the earliest, since allocation decisions
take time.”
Systematica, the BlueCrest spinout to be led by Leda Braga,
will begin managing $8.9 billion on its own in January. The
BlueTrend strategy had shrunk almost 50 percent from May of last
year through Aug. 1 of this year, and posted losses of 11.5
percent in 2013, its first annual decline since it was started a
decade ago.
Even with the improved performance, consultants may not
advise institutional investors to allocate to quant funds just
yet, according to Laurelli.
“It is much more difficult to argue for a non-
discretionary systematic approach that is not producing returns
at least in line with other more ‘traditional’ approaches to
security valuation,” Laurelli said.
For Related News and Information:
Man Group Jumps as Inflow Streak and AHL’s Gains Continue
{NSN NDJKUC6KLVRE <GO> }
Hedge-fund news: NI HEDGE <GO>
Hedge-fund rankings: HFND <GO>
--With assistance from Saijel Kishan in New York.
To contact the reporter on this story:
Lindsay Fortado in London at +44-20-3216-4806 or
lfortado@bloomberg.net
To contact the editors responsible for this story:
Edward Evans at +44-20-3525-3190 or
eevans3@bloomberg.net;
Keith Campbell at +44-20-3525-3829 or
k.campbell@bloomberg.net
Keith Campbell
2014-10-23 14:19:33.380 GMT
By Lindsay Fortado
Oct. 23 (Bloomberg) -- European hedge funds that rely on
computer models to follow market trends are showing signs of
revival after years of losses, with Man Group Plc’s AHL
Diversified returning to gains for the first time since 2010.
AHL, Man Group’s largest hedge fund, has made about 21
percent from the start of 2014 through last week, according to a
person with knowledge of the performance who asked not to be
identified as the results are private. BlueCrest Capital
Management LLP’s BlueTrend quantitative fund, which is being
spun out to create a new firm, is up about 8.5 percent this
year, according to an update to investors yesterday obtained by
Bloomberg News.
“The recent volatility we’ve seen in markets has proved to
be broadly positive for momentum strategies, with the
opportunities increasing in most asset classes,” said James
Skeggs, who heads the advisory group at Newedge Group, a
brokerage unit of Societe Generale SA, in London. “In October,
this has been most notable in the bond and energy markets.”
European trend-following quant funds at Cantab Capital
Partners LLP and Winton Capital Management Ltd. have also posted
positive returns, according to people with knowledge of the
returns. Newedge’s CTA Index, which tracks 20 large trend-
following funds, has risen about 5.6 percent this year,
outperforming the wider Bloomberg Global Aggregate Hedge Fund
Index, which is up 2.3 percent.
The funds use algorithms to try to capture profitable moves
in stocks, bonds and commodities. Sometimes called managed-
futures funds or commodity-trading advisers, the funds have
their own computer models.
QE Woes
Over the three years ending Dec. 31, the Newedge index fell
an average of 2.2 percent each year, while the Bloomberg
aggregate index rose 2.3 percent annually. The quant funds’
underperformance has been blamed in part on central bank
interventions in markets, such as the bond purchases known as
quantitative easing, that have altered the expected movements of
security prices.
Cantab Capital’s main fund, Aristarchus, returned to profit
after gains in August and September erased previous losses for
the year. The $2.4 billion fund advanced 3.6 percent as of the
end of September, after a decline of 28 percent in 2013,
according to its most recent investor letter. Cantab’s Core
Macro Fund, with assets of $670 million, is also up, with
returns of 10.74 percent through the end of last month.
Man Group shares have risen about 13 percent since it
reported on Oct. 16 that AHL Diversified was up 9.1 percent for
the third quarter. Its AHL Alpha fund was up 6.1 percent for the
period.
Below Peak
The $10 billion Futures Fund run by David Harding’s London-
based Winton Capital has gained 3.1 percent this year, according
to an investor letter sent yesterday. The fund bucked its peers’
trend of losing money last year, returning more than 9 percent.
Still, redemptions in the category have continued,
according to data from eVestment, a data provider.
Investors pulled about $32 billion from so-called managed
futures funds last year and $28.5 billion so far this year, over
half of which came in January, February and March. The firm
estimates that such funds manage about $122 billion globally,
down from a peak of $198 billion in 2010.
Officials at all of the hedge funds declined to comment on
the figures.
Allocation Decisions
“Prior to August and September, the group was not doing
well,” said Peter Laurelli, vice president of research at
eVestment in New York. “If investors are going to show interest
in the group based on relative performance strength, then we
should start to see it next month, or two months after their
large August gains at the earliest, since allocation decisions
take time.”
Systematica, the BlueCrest spinout to be led by Leda Braga,
will begin managing $8.9 billion on its own in January. The
BlueTrend strategy had shrunk almost 50 percent from May of last
year through Aug. 1 of this year, and posted losses of 11.5
percent in 2013, its first annual decline since it was started a
decade ago.
Even with the improved performance, consultants may not
advise institutional investors to allocate to quant funds just
yet, according to Laurelli.
“It is much more difficult to argue for a non-
discretionary systematic approach that is not producing returns
at least in line with other more ‘traditional’ approaches to
security valuation,” Laurelli said.
For Related News and Information:
Man Group Jumps as Inflow Streak and AHL’s Gains Continue
{NSN NDJKUC6KLVRE <GO> }
Hedge-fund news: NI HEDGE <GO>
Hedge-fund rankings: HFND <GO>
--With assistance from Saijel Kishan in New York.
To contact the reporter on this story:
Lindsay Fortado in London at +44-20-3216-4806 or
lfortado@bloomberg.net
To contact the editors responsible for this story:
Edward Evans at +44-20-3525-3190 or
eevans3@bloomberg.net;
Keith Campbell at +44-20-3525-3829 or
k.campbell@bloomberg.net
Keith Campbell