Quantitative Hedge Funds Hurt by Japan Catastrophe, FT Reports

Date: Wednesday, March 30, 2011
Author: Alan Purkiss, Bloomberg

Several big quantitative hedge funds, which employ mathematical strategies fed into computers, have suffered severe losses as a result of the Japanese earthquake and tsunami, the Financial Times reported.

The $4 billion flagship fund of Connecticut-based Graham Capital Management LP lost $300 million, almost 8 percent of its value, in the first two weeks of the month, and its other funds lost about 5 percent each, the newspaper said, citing an unidentified investor.

Winton Capital Management Ltd., which manages $17 billion, saw its flagship fall 3.6 percent in the middle of the month, the FT said.

Other such funds have suffered smaller losses, depending on the trading models they use; BlueTrend, run by BlueCrest Capital Management Services Ltd., was down only 1.24 percent in the middle of the month, the newspaper said.

To contact the reporter on this story: Alan Purkiss in London on apurkiss@bloomberg.net.