BlueTrend Among Disappointing Quants

Futures traders have on the whole not fared well in markets rocked by the European debt crisis, no matter how diversified the instruments they trade. March losses are widespread though not large, BarclayHedge reported.

Among the vehicles that have disappointed investors since 2011 is the  highly regarded BlueTrend futures fund managed by Leda Braga, part of $30 billion BlueCrest Capital. Another is Man Group’s AHL program, which lost 1.5% in the past 12 months.

Systematic traders who use computerized systems to catch market trends – like BlueTrend and AHL – are down about 0.8% this year through March in the BarclayHedge database. Discretionary traders, by contrast, are slightly up for the year. Perhaps current markets are more amenable to trader judgment rather than quants’ algorithms.

Last year was not good for managed futures but many traders did better early this year.  Systematic managers blame recent losses on the market impact of Spain’s financial difficulties.


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