Computer-Based Hedge Funds and the Japanese Crisis

March 29, 2011 James Heinsman Hedge Fund News

Some of the largest computer-operated hedge funds in the world have taken a serious hit following the Japanese earthquake and tsunami. This strategy was hit the hardest by the disaster.

Connecticut’s Graham Capital’s primary $4 billion fund lost $300 million (almost 8%) over the course of two weeks, while their other funds also dropped by almost 5% each. Meanwhile, London Winton Capital’s flagship fund dropped almost 4%, and AHL, the largest computer fund in the world, also suffered significant losses this month.

Computer-operated trend analysts often encounter rough patches when markets lose their stability. It depends, however, on their trading models’bets. For example, Blue Trend, which is worth $9 billion, dropped only 1.24%, but was also one of the worst off during last year’s Greek debt crisis. For this reason, most quant funds set up diversified bets in an effort to lessen the impact of situations such as the Japanese crisis.

Discretionary managers who traded in Japanese were impacted nonetheless, and often worse than the quantitative funds. London’s Marathon Japan Vertex sank 13%, and Arcus Japan- 9%.

Computer-Based Hedge Funds, Graham Capital, Hedge Funds, Japan, Japan Earthquake,

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