Graham Capital in Connecticut saw its $4bn flagship fund lose around $300m, down just under 8 per cent, over the first two weeks of the month. The firm’s other funds also suffered steep losses of around 5 per cent each, according to an investor.
Other so-called trend following hedge funds – which use complex computer algorithms to identify trends in futures markets – have also seen losses.
The strategy has been one of the worst hit among hedge funds by Japan’s worst natural disaster.(...)
Computer-driven trend followers often lose money during periods of increased market volatility, though movements can affect them in different ways, depending on what their trading models are betting on.(...)
Discretionary managers, particularly those trading in Japanese equities, have nevertheless been hit hard too by the Japan crisis – in many cases worse than their quantitative peers. The Marathon Japan Vertex fund in London was down 13 per cent mid-March, while the Arcus Japan fund was down 9 per cent, according to investors in the funds.
Other so-called trend following hedge funds – which use complex computer algorithms to identify trends in futures markets – have also seen losses.
The strategy has been one of the worst hit among hedge funds by Japan’s worst natural disaster.(...)
Computer-driven trend followers often lose money during periods of increased market volatility, though movements can affect them in different ways, depending on what their trading models are betting on.(...)
Discretionary managers, particularly those trading in Japanese equities, have nevertheless been hit hard too by the Japan crisis – in many cases worse than their quantitative peers. The Marathon Japan Vertex fund in London was down 13 per cent mid-March, while the Arcus Japan fund was down 9 per cent, according to investors in the funds.
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