Quants Post Worst Month Since October as Winton Falls 3.2%
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Hedge funds that use quantitative strategies executed by computers suffered their biggest losses since October last month after being whipsawed by Europe’s sovereign debt crisis.
The Newedge CTA Index, which tracks some of the largest systematic funds, lost 3.1 percent in June, erasing this year’s gains. David Harding’s $10.2 billion Winton Futures Fund Ltd. slumped 3.2 percent, extending this year’s loss to 4.1 percent, according to a person familiar with the performance. Man Group Plc’s AHL Diversified fund lost 3.4 percent, while the Bluecrest BlueTrend Fund dropped 5.4 percent in June, an investor said.