Kirk’s Cantab Hedge Fund Said to Drop 14% in June SelloffKatherine Burton and Jesse Westbrook
Cantab Capital Partners LLP, a hedge-fund firm partly owned by Goldman Sachs Group Inc., has lost 14 percent in its main fund this month as bonds and currencies fell, two people familiar with the performance said.
The $4.5 billion fund, based in Cambridge, England, dropped 19 percent for the year through June 21, said the people, who asked not to be named because the firm is private. Cantab, founded in 2006 by Ewan Kirk, a former Goldman Sachs partner, has been hurt in recent days as markets tumbled after Federal Reserve Chairman Ben S. Bernanke said on June 19 that the U.S. central bank may start reducing fixed-income purchases that have helped fuel a global rally in stocks and bonds.
“It’s unusual for one to see a selloff in risk assets and a selloff in bonds at the same time,” Kirk said in an interview. “Being a systematic fund, we had quite a significant exposure to bonds and currencies.” He declined to comment on June’s performance.
Cantab, which manages $5 billion and uses computers and mathematical algorithms to spot trades, has slumped more than most major computer-driven hedge funds this month. The Newedge CTA Trend Sub-Index, which tracks the performance of the largest computer-driven, or quantitative funds, declined 3.5 percent in June through last week.
Winton Capital Management LLC’s $10 billion futures fund fell 3.3 percent in the first three weeks of June after climbing 6.4 percent through the first five months of the year, according to investors. Man Group Plc’s $16.3 billion AHL Diversified fund slid 3.5 percent in June and is down 2.8 percent in 2013, according to data compiled by Bloomberg. Spokesmen for the London-based funds declined to comment.
Bernanke’s statement sent global currencies from the euro to the Mexican peso tumbling against the U.S. dollar. Global bonds have fallen 2.9 percent since last week’s comments, according to data compiled by Bloomberg, and worldwide stocks, as measured by the MSCI Index, have dropped 3.5 percent.
Bridgewater Associates LP’s Pure Alpha funds lost about 3 percent this month through June 21 and are little changed this year, according to two people with knowledge of the results, who asked not to be identified because the returns aren’t public.
“The funds are designed for long-term performance. We do not comment on month-to-month results,” Bridgewater, which manages about $150 billion, said in an e-mailed statement. The Pure Alpha funds have returned an annual average of about 14 percent since its 1991 inception, according to one of the people.
Brevan Howard Asset Management LLP’s $27.9 billion Master fund was able to limit losses last week after suffering bigger declines at the beginning of the month. The net asset value of the firm’s publicly traded BH Macro Ltd. fund slipped 0.1 percent for the week ending June 21 in its dollar share class, reducing gains for the year to 3.2 percent, according to a filing today by the London-based firm.
BH Macro tracks the performance of Brevan’s Master fund, which bets on macroeconomic trends by buying and selling stocks, bonds, currencies and commodities.
Tudor BVI Global, the macro fund run by Paul Tudor Jones, was able to withstand the market selloff. The hedge fund rose 0.3 percent this month through June 21, bringing gains so far this year to 12 percent, according to a person familiar with the matter, who asked not to be identified because the information is private. Jones’s Tudor Investment Corp., based in Greenwich, Connecticut, oversees $13.5 billion. Patrick Clifford, a spokesman for Tudor with Abernathy MacGregor Group Inc., declined to comment on the returns.
Cantab closed to new investments last year after tripling in assets from August 2011 to October 2012. The fund gained 15 percent last year and 13 percent in 2011.
Kirk, who has a doctorate in mathematics from England’s University of Southampton, led a team of 120 employees at Goldman Sachs focused on quantitative investing before he founded Cantab with $60 million. Cantab initially paid Goldman a fee for the use of its technology and converted that arrangement into a minority stake for the New York-based bank last year after building its own systems.
Trend-following hedge funds enjoyed a resurgence over the first four months of 2013, rising 7.7 percent on average, by capturing drawn-out moves such as the fall in the Japenese yen and rising stock prices. That gain followed average losses for the firms of 3.5 percent in 2012 and 7.9 percent the previous year, according to Newedge.