Computer error? Individual stock-pickers top hedge funds far in 2017
Big hedge funds like Aspect Capital, AQR Capital Management and Two Sigma lost money with individual, in the first seven months of 2017.
The typical hedge fund made 4.8 percent from the beginning of the year to July 31, Hedge Fund Research data reveals, but a lack of market leadership, June’s sharp change and reduced volatility has made trading more difficult for automatic funds.
“Trend-followers are searching for long, drawn-out, directional motions and seem to ride that trend as long as you can,” Tom Wrobel, Director of Alternative Investments Consulting in Societe Generale, said.
“When there is a sharp change — such as in June — they lose money as it goes contrary to the established position.”
Returns on hedge funds betting on macroeconomic trends were down by 1.4 percent on average to July 31 after losses of between 1.2 and 1.8 percent in three from the first seven weeks of 2017, HFR statistics revealed.
Losses might have been exacerbated by market volatility because funds put on positions in these circumstances, when trends reversed, a strategy that could have backfired for them.
One of the losers was the $ 16-billion managed futures strategy, which dropped 6 percent in the first seven weeks of AQR Capital Management, data reviewed by Reuters and accumulated by BarclayHedge revealed.
2 Sigma’s Compass Fund, which has $2.5-billion in funds under management, dropped 4.4 percent over the same period, while London-based Aspect Capital’s flagship $3.9-billion diversified fund dropped 3.4 percent, the data showed.
Two Sigma, AQR and Aspect Capital declined to comment.
Winton Capital, the fund set up in 1997 by David Harding, was down 0.8 percent, a source near the company told Reuters. Harding helped finance the “stay” effort in Britain’s European Union referendum this past year.
And Leda Braga’s Systematica Investments’ BlueTrend, that was set in January 2015 after turning from former hedge fund BlueCrest Capital, was down 6.4 percent.
But some computer-driven trend-following funds bucked the trend, such as Braga’s Systematica Alternative Markets program, which made profits of 11.2 percent, a source with knowledge of the company told Reuters.
Also successful during the period were the five primary trend-following AHL funds run by Man Group, which delivered returns of between 0.5 percent and 10 percent over the same period, according to its site.
Man Group is the world hedge fund that is listed.