Quantedge Hedge Fund Lost 16% in August From Market Turmoil

  • The hedge fund gained 29.4% last year to rank second
  • Uses computer-driven models to trade currencies, bonds, stocks

Quantedge Global Fund, Asia’s second-best performing macro hedge fund last year, tumbled 16.1 percent in August, as market turmoil across equities, currencies and commodities caused computer-driven trading strategies to unravel.

The decline brings the quantitative macro hedge fund’s year-to-date loss to 16 percent, according to a person with knowledge of the matter who requested anonymity. Assets under management were at $992 million as of the end of August, the person said. Quantedge, which started with $3 million in October 2006, increased its assets under management to $1.05 billion at the end of December. Meeshell Koh, a spokesperson for Quantedge, did not immediately have comment on the returns.

Quantedge, managed by Singapore-based Quantedge Capital Pte, joins other hedge funds relying on computer models that posted losses last month as global markets were rattled by concerns that China’s economy is slowing. Winton Capital Management lost an estimated 4.3 percent in August in its $11.8 billion Winton Futures Fund, the worst month since July 2008, according to a letter sent to investors last week. Cantab Capital Partners erased gains for the year in its $2.6 billion CCP Quantitative strategy after it slumped 10 percent, an investor letter last week showed.

The Eurekahedge Global Macro Hedge Fund Index lost 0.8 percent in August, according to the Singapore-based data provider. The index has gained 0.9 percent since the beginning of the year, on track for the lowest return in four years.

Markets Plunge

The MSCI World Index plummeted 6.8 percent in August, the most in more than three years, while emerging market currencies fell and the Bloomberg USD Emerging Market Corporate Bond Index declined 2 percent, the most in eight months.

Quantedge Global Fund was founded by former reinsurance pricing actuary Leow Kah Shin and Chua Choong Tze, who had previously taught a course in portfolio management at Singapore Management University.

The fund gained 29.4 percent in 2014, and returned an annualized 30 percent between its inception in October 2006 and the end of December, according to data from Eurekahedge Pte.