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Computer Driven Hedge Funds Performance Suffers Post Japan

Computer-driven hedge funds have suffered performance-wise after the earthquake and tsunami.  For example, Connecticut’s Graham Capital’s flagship fund has lost at least 8% and other computer-driven hedge funds have suffered equally.

Other so-called trend following hedge funds – which use complex computer algorithms to identify trends in futures markets – have also seen losses.

The strategy has been one of the worst hit among hedge funds by Japan’s worst natural disaster.

In London Winton Capital, which manages around $17bn, saw its flagship fund drop 3.6 per cent midmonth.

AHL, the world’s biggest computer fund, run by FTSE-listed Man Group, is down just under 4 per cent this month, according to the latest data from the company.

Movements in Japanese equities and the yen have driven losses for many quantitative funds, but most managers are hopeful.

Computer-driven trend followers often lose money during periods of increased market volatility, though movements can affect them in different ways, depending on what their trading models are betting on. Source

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