Quantedge Hedge Fund Jumps 12% in June as Brexit Roils Markets

  • Hedge fund gained 40 percent in first half, newsletter shows
  • June gain compared with 4.4% increase among comparable funds

Quantedge Global Fund gained 12 percent last month to return almost three times as much as global peers, as bond holdings gained amid the market dislocation that followed the unexpected U.K. decision to leave the European Union.

The June gains brought first-half returns at the $1.3 billion Singapore-based fund, which uses quantitative models to bet on global macro themes, to 40 percent, according to a newsletter to clients obtained by Bloomberg News. The HFRI Macro Systematic Diversified Index, which tracks similar strategies, rose 4.4 percent in June and 4.5 percent year to date, according to Hedge Fund Research Inc. in Chicago.

Macro hedge funds, which trade in the currency, stock, bond and commodity markets, posted their strongest monthly performance in more than five years, data from HFR show. That’s provided some relief for such managers, who’ve struggled in a market whipsawed by abrupt reversals of trends and exaggerated swings.

“Our fixed-income investments led the way, supplemented by contributions from our commodity and currency positions,” Quantedge wrote in its newsletter, without providing additional details on holdings. “A loss in our equities book was the one blemish on our scorecard this month.”

Meeshell Koh, a spokeswoman for Quantedge, declined to comment on the newsletter.

Other Gainers

Quantedge’s hedge fund joins others in Asia that posted gains in June. The $77 million PruLev Global Macro Fund in Singapore advanced 21.1 percent, also largely because of a surge in bonds. The funds’ returns contrast with a loss of 0.5 percent for Asia’s hedge funds last month, according to Eurekahedge Pte. Since the beginning of the year, hedge funds in the region lost 2.8 percent, the data show.

Hedge funds that lost money in June include the relative value Credence Global Fund in Singapore, which lost 0.3 percent last month to pare its year-to-date gain to 6 percent, according to a client newsletter obtained by Bloomberg News. The $183 million fund has returned an annualized 18.2 percent since inception in 2011.

The $100 million APS Greater China Long/Short Fund lost 0.2 percent last month, bringing its year-to-date loss to 11 percent, according to an e-mail from the firm. The APS China A Share Fund, which including related strategies has $2 billion in assets, gained 2 percent in June, paring its loss since the beginning of the year to 7.7 percent.

“Investors are still overwhelmingly cautious and hence we believe markets have priced in a lot of the known negatives,” APS Chief Investment Officer Wong Kok Hoi said via e-mail.

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 27 percent since inception in October 2006, according to the newsletter. A 15.9 percent loss in August contributed to a total annual decline in 2015, the second in its history after a 22.6 percent loss in 2008. The fund manager said it has reduced risk exposure as volatility is expected to stay high.

“In the aftermath of the Brexit referendum, most financial markets are experiencing elevated levels of volatility,” Quantedge said in its newsletter. “In line with our goal of maintaining constant aggregate portfolio volatility, we have reduced our open positions accordingly. When the volatilities of global markets revert to more normal levels, we will replenish our exposures in the markets.”

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