Sep
21

Popular Quant Hedge Fund Strategy Is Suddenly Doing Terribly

By
  • Commodity trading advisers are down in August and September
  • Mistimed bets on rates and commodities are to blame, CS says

For once, the trend was nobody’s friend.

Commodity trading advisers, the catch-all phrase for a breed of quantitative investorswho use trends in asset prices and volatility as trading signals, posted some of the hedge fund industry’s worst losses in August — and it isn’t getting better. The group is down between 1 percent to 1.5 percent this month, according to Credit Suisse Group AG.

Wrong-way bets on everything from Treasury rates to commodities have cost trend followers as market correlation whipped up before this week’s meeting of the Federal Reserve. In particular, CTAs paid a price for betting interest rates would fall in the second half of the year, Credit Suisse said…

Popular Quant Hedge Fund Strategy Is Suddenly Doing Terribly

Share
Categories : Uncategorized

Leave a Reply

You must be logged in to post a comment.