Some of the world’s biggest quantitative hedge funds are enjoying a big surge in returns on the back of sustained moves in the world’s currency and bond markets in the past few weeks.
So-called trend followers, including the London-based trio Winton Capital, BlueCrest and Man Group, have seen two months of peer-beating performance numbers for their flagship quant funds and are on course for a third strong month.
For some, the recent strong performance marks a comeback for the strategy after a painful summer and a difficult 2009, when many quant fund models were wrong-footed by the distortions that quantitative easing had on investor behaviour in bond and currency markets.
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