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This Hedge Fund Left Decisions to a Computer - and Made 19%

  • GCI's fund reversing JGB bet that profited in first 2 months
  • `Follow the model and run based on its rules,' says Yamamoto
Share indexes are displayed on an electronic stock board outside a securities firm in Tokyo, Japan, on Wednesday, Jan. 20, 2016.
Photographer: Kiyoshi Ota/Bloomberg
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For Kyo Yamamoto, leaving investment choices to a computer rather than making his own calls has been the best strategy as unorthodox global monetary policies only worsen market volatility. Right now, the machine says sell Japan government bonds.

GCI Systematic Macro Fund, a Japanese hedge fund that earned 19 percent in the first two months of the year after buying the nation’s sovereign notes, has been switching towards selling, said Yamamoto, the head of the quantitative research and strategy group at Tokyo-based GCI Asset Management. The fund’s return since inception in February 2014 is 173 percent, he said. That compares with a 16 percent gain by the Hedge Fund Research’s Systematic Diversified Index of similar funds in the same period.