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Godzilla


Total Posts: 25
Joined: Sep 2008
 
Posted: 2010-06-06 01:26
QIM is down again in May. I believe they have been loosing money for 6 straight months now.

Any insight into what's happening there?

starchild


Total Posts: 90
Joined: Nov 2007
 
Posted: 2010-06-06 05:59
Not sure about QIM, but some biggest hedge funds were down in May. I guess flight to quality hit most firms.

http://www.businessweek.com/news/2010-05-31/hedge-funds-post-biggest-monthly-losses-since-lehman-aftershock.html



When I see a bubble, I buy it, because that's how I make money. -- G. Soros

FDAXHunter
Founding Member

Total Posts: 8370
Joined: Mar 2004
 
Posted: 2010-06-06 15:58
Godzilla: Any insight into what's happening there?

QIM is trading way over capacity. That's what's happening.

The Figs Protocol.

amateur


Total Posts: 147
Joined: Mar 2010
 
Posted: 2010-06-07 04:00
3rd week of month, QIM was short EUR, long Equities, I guess it impacted their performance...

“unnecessary complex models should not be preferred to simpler ones. However . . . more complex models always fit the data better”

Godzilla


Total Posts: 25
Joined: Sep 2008
 
Posted: 2010-06-09 01:44

Mighty FDAXHunter, how do you know they are trading over capacity?

They did very well last year. They had 4B+ assets....

amateur


Total Posts: 147
Joined: Mar 2010
 
Posted: 2010-06-09 02:17
FIN Alternatives

07-06-2010

You know it’s been a rough year when a hedge fund calls a 1.39% loss a “strong month,” but in thecase of Quantitative Investment Management, it will do.

The firm’s flagship Quantitative Global Program indeed lost that amount, but the average hedge fundlost even more, and the broader markets even more: Early figures show the average hedge fund shed
about 3% on the month, while the Standard & Poor’s 500 Index dropped more than 8% in a month thatbegan with May 6’s precipitous drop and featured copious volatility.

QIM blamed “unfortunate timing in the systematic execution of the firm’s drawdown reduction policy”for its May loss, noting that “the stronger periods of returns for the month came with the program at itslowest risk exposure and the worst stretch of trading was during a higher level of exposure.” Still, thestrategy did keep the fund’s losses at just 2 basis points on May 6.

Still, the average hedge fund remains in the black on the year, while the $4.4 billion QIM GlobalProgram is down 7%. Of course, things are even worse for QIM’s three-times levered version of the
fund, which is down almost 20% on the year.

By contrast, QIM’s Tactical Aggressive Fund did even better than its flagship in May, losing aninconsequential 0.09%. That fund is up an impressive 14.8% on the year.

“unnecessary complex models should not be preferred to simpler ones. However . . . more complex models always fit the data better”

FDAXHunter
Founding Member

Total Posts: 8370
Joined: Mar 2004
 
Posted: 2010-06-09 17:31
Godzilla: how do you know they are trading over capacity?

Short explanation: I know.
Long explanation: We know what the market impact is on the turnover they specify and see tremendous impact costs on a portfolio that is smaller than theirs on more markets, in a similar time frame. There's no way they can move 4 billion USD+ in that time frame effectively. Just not happening. It's also worth pointing out that when they started, they thought their capacity was going to be.... 500 million.

PS: The AUM ramped up significantly in 2009-H2.

The Figs Protocol.

SirAppleby


Total Posts: 182
Joined: Dec 2006
 
Posted: 2010-06-10 16:58
QIM sent a letter earlier this year announcing a "hard close" for the Global program at the end of February. The letter said that "they estimate capacity in the Global program to be approximately $6b to $10b".

Not many CTAs are able to handle that size, so time will tell if QIM is one of the few.

Patience is necessary, and one cannot reap immediately where one has sown.

amateur


Total Posts: 147
Joined: Mar 2010
 
Posted: 2010-07-08 11:15
FIN Alternatives

07-07-2010

Quantitative Investment Management appears to have bucked the trends facing both its fellow commodity-trading advisors and the hedge fund industry generally in June with a 0.42% return.

The Charlottesville, Va.-based firm credited its “contrasting positions in energy products” with driving “performance in a muted month for risk.” In particular, QIM pointed to index futures and a “positive month in metals trading.”

Following June’s bump, the firm’s flagship $4.2 billion Global Program is down 6.61% on the year. Its 1x fund is down 6.57% after a 0.4% estimated jump last month, and its 3x fund is down and estimated 18.71% after gaining 1.29% on the month.

QIM’s $527 million Quantitative Tactical Aggressive Fund ended its strong first half with a strong June, rising an estimated 1.65% on the month to end 2010’s first six months up 16.78%.

“unnecessary complex models should not be preferred to simpler ones. However . . . more complex models always fit the data better”

DocAdam7


Total Posts: 153
Joined: Nov 2007
 
Posted: 2010-07-08 15:03
Anyone know what their strategies are in the tactical fund? I think that one is an equities fund focusing on the 1500 highest market cap companies. Seems like a very high return for a quantitative equities long/short fund....

That which counts cannot always be counted. That which can be counted does not always count.

gnarsed


Total Posts: 87
Joined: Feb 2008
 
Posted: 2010-07-08 18:21
from their website:

PROGRAMS – Tactical Agressive Fund – Overview

The Tactical Aggressive Fund is an equity long/short hedge fund that utilizes a machine learning method developed by Jaffray Woodriff, chairman & CEO of QIM. QIM seeks to maximize the Sharpe ratio of the Tactical Fund by optimally deploying our considerable edge predicting financial markets in conjunction with the excellent diversification available in investing in the wide universe of liquid equities and stock index futures. Over time, the fund is expected to exhibit near-zero correlation to both the S&P 500 Index and hedge fund benchmark indices.

The fund is currently focused on approximately 1,500 stocks from a universe of 3,000 U.S.-denominated issues (including ADRs and ETFs). The fund expects to have 200-500 active positions at any point in time and expects to make 50-200 trades per day. The median holding period for a trade is eight days. Gross exposure is expected to average about 500%, but may range as widely as from 50% to 1,000%, depending on market conditions, and more specifically, the volatilities of the underlying stocks.

The Quantitative Tactical Agressive Fund targets 36% annualized volatility and clears at Credit Suisse and Merrill Lynch/Bank of America. Capacity for the fund is expected to be between $500 million and $1 billion. Ongoing research and the further development of stock markets worldwide will most likely lead to capacity increases over the long-term.

ricko


Total Posts: 73
Joined: Apr 2010
 
Posted: 2010-07-23 16:14

"The Tactical Aggressive Fund is an equity long/short hedge fund that utilizes a machine learning method developed by Jaffray Woodriff..."

Anyone can develop a method like that if they have a little patience, market knowledge and basic programming skills. The philosophy of a similar method is described in this paper: http://tinyurl.com/2f4rc8e

It is made sound like a heavy duty method but anyone who understands trading and has basic skills like I said can develop his own in a few days. This has the potential of an edge if it is used properly.

   

 


DocAdam7


Total Posts: 153
Joined: Nov 2007
 
Posted: 2010-07-23 17:02
If Michael Harris actually had something worthwhile why would he write books about it? I have to assume QIM is doing something a little more robust than this.

That which counts cannot always be counted. That which can be counted does not always count.

Godzilla


Total Posts: 25
Joined: Sep 2008
 
Posted: 2010-08-01 00:20
Any updates on QIM?

amateur


Total Posts: 147
Joined: Mar 2010
 
Posted: 2010-08-02 02:52
up in June, down in July...-0.39 as of 23 July for the Global Program.

“unnecessary complex models should not be preferred to simpler ones. However . . . more complex models always fit the data better”

intradaybill


Total Posts: 110
Joined: Mar 2008
 
Posted: 2010-08-02 10:32

Doc: "I have to assume QIM is doing something a little more robust than this."

Hmmmm...I wouldn't bet on that.  Several years ago while in NYC I visited a friend in a highly rated investment bank (still exists) and I got an idea what they do in terms of program trading. You would be laughing on the floor. When you read the material of many funds you think of people in white uniforms sitting around a supercomputer. The real picture is some guys in ripped jeans eating BLT, drinking soda and talking to their girlfriend on the phone.


Godzilla


Total Posts: 25
Joined: Sep 2008
 
Posted: 2010-08-02 17:44

 

Of course, there are more people that are charlatans. In this case, though, I think you are wrong. Not everyone is a simpleton.


DocAdam7


Total Posts: 153
Joined: Nov 2007
 
Posted: 2010-08-06 15:48
fyi

That which counts cannot always be counted. That which can be counted does not always count.

DocAdam7


Total Posts: 153
Joined: Nov 2007
 
Posted: 2010-08-06 15:48
oops, guess that didn't work. Tried attaching the QIM July newsletter.

That which counts cannot always be counted. That which can be counted does not always count.

SimJimons


Total Posts: 198
Joined: Aug 2007
 
Posted: 2010-08-06 16:20
They were down 77 bps in July...

Sounds great...keep me out!

Godzilla


Total Posts: 25
Joined: Sep 2008
 
Posted: 2010-12-09 04:32
QIM is having a pretty bad year.

Seems anytime someone starts publishing articles about how great they are, they go down...

Updates or opinions anybody?

Tradenator


Total Posts: 1592
Joined: Sep 2006
 
Posted: 2010-12-09 04:48
The real pain begins when you win a fund database award, it is the kiss of death.

gnarsed


Total Posts: 87
Joined: Feb 2008
 
Posted: 2010-12-09 06:49
their long-short equity program seems pretty interesting. is it a market neutral thing, or directional as well?

SimJimons


Total Posts: 198
Joined: Aug 2007
 
Posted: 2010-12-09 10:29

It's market neutral, or at least so they say...

November numbers below:

The Quantitative Global Program returned -1.89% net-of-fees and is -5.20% net year-to-date.

The Quantitative Tactical Aggressive Fund returned an estimated +0.81% net-of-fees and is +11.02% net year-to-date.


Sounds great...keep me out!

amateur


Total Posts: 147
Joined: Mar 2010
 
Posted: 2010-12-10 01:14
they lost on energies (-1.13%), other markets down too, except for agri (+0.46%).

BTW
"both the Global Program and Tactical Fund are now open to new investments. QIM management recently made a significant increase in their personal allocations to the Global Program."

heard that' once...

“unnecessary complex models should not be preferred to simpler ones. However . . . more complex models always fit the data better”
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