Quantitative: Riding Out The Storm

November 2007 | Fund News

This summer has not been kind to many fund groups. In July and August, hedge funds of all strategies made average negative returns of -1.53%, as measured by the Credit Suisse Tremont Hedge Fund Index. For managed futures funds, which invest in equities, bonds, currencies and commodities using systematic trading programmes, the figures were even worse, down 9.4% on average globally. Bad news all round for model-based investors? Not quite. The performance of one manager, Quantitative Investment Management (QIM), stands out from the crowd, its US$1.8bn Global Program returning a trend-bucking 9.55% in July and August. What is more, not only do the fund's figures stand up to a wider scrutiny, it also boasts negligible correlations to standard indices. Talking to Global Fund News, CEO and chairman Jaffray Woodriff tries to explain what sets his firm apart.

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