Asia Top-Gaining Macro Fund Offset Franc Loss With Bonds, StocksKlaus Wille
Asia’s best performing macro hedge fund of 2014 said it lost money on the sudden rise in the Swiss franc earlier this month though it offset those currency losses with gains on its equity and fixed income holdings.
The net impact on the Quantedge Global Fund of the Swiss National Bank’s surprise decision on Jan. 15 to scrap the three-year-old cap on the Swiss franc was “minimal,” the fund’s Singapore-based management company Quantedge Capital Pte said in an e-mailed response to queries by Bloomberg News.
“We lost money on our FX book and made money on bonds and equities, so overall performance was flat for” Jan. 15, Quantedge said.
The Swiss central bank’s move sent the franc soaring as much as 41 percent against the euro that day, and triggered hundreds of millions of dollars in losses at European banks and hedge funds.
Billionaire Michael Platt’s BlueCrest Capital Management lost money in one of its funds and at least two employees departed, two people with knowledge of the matter said. Comac Capital, Fortress Investment Group LLC and Everest Capital also reported declines.
As well as sending the currency higher, the central bank decision caused Swiss franc volatility to jump and the country’s benchmark Swiss Market Index to plunge 8.7 percent that day. The Stoxx Europe 600 Index climbed 2.6 percent, Eastern European currencies tumbled and Swiss and other global bond prices rallied.
Quantedge declined to comment on the details of its positions in the currency, bond and equity markets, though it said its holdings are “ultra-diversified.”
It said its fund gained 29.4 percent in 2014, and has returned an annualized 30 percent between its inception in October 2006 and the end of December. That made it the best performer last year among Asia-based hedge funds which take positions on macroeconomic trends, according to Singapore-based data provider Eurekahedge Pte.
Assets under management were $1.05 billion at the end of December, the fund management company said. Quantedge started with $3 million in 2006.