A $1.2 Billion Equity Quant Fund Run by QIM Is Up 55% This Year

  • Fund posted 13% gain in May compared with 1.2% rise in S&P 500
  • QIM’s managed futures vehicle is up 5.2% year to date

Quantitative Investment Management, the $3.5 billion money management shop run by Jaffray Woodriff, saw its tactical hedge fund return 55 percent in the first five months of the year, according to an investor document seen by Bloomberg News.

The Charlottesville, Virginia-based quantitative firm’s $1.2 billion Tactical Aggressive Fund -- which only invests in equities and exchange-traded funds -- ended May up 13 percent, adding on to a 9.2 percent gain in April.

QIM’s Quantitative Global Program, a $2.2 billion managed futures vehicle, was mostly flat in May. That brought its year-to-date returns through last month to 5.2 percent.

As the S&P 500 Index eked out a 1.2 percent gain last month, other equity quant funds were able to boost returns. Renaissance Technologies’s quantitative equity fund gained 4.4 percent last month, according to an investor letter seen by Bloomberg News.

QIM’s trading strategies are based on programs that Woodriff first discovered in 1991. They assemble over 10,000 mathematical formulas through machine learning, each with flavors of favorite quant inputs, and are sometimes referred to as “the third way.”

— With assistance by Hema Parmar

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