Quantitative Investment Management, the $3.5 billion money management shop run by Jaffray Woodriff, saw its tactical hedge fund return 55% in the first five months of the year, according to an investor document seen by Bloomberg News.
Passive investments garnered most of the investor cash so far in 2017, but beyond that it was a wide net: S&P 500, small cap, emerging markets, fixed income — anything that could be structured as an ETF.
The Charlottesville, Virginia-based quantitative firm’s $1.2 billion Tactical Aggressive Fund — which only invests in equities and ETFs — ended May up 13%, adding on to a 9.2% gain in April.
QIM’s quantitative global program, a $2.2 billion managed futures vehicle, was mostly flat in May. That brought its year-to-date returns through last month to 5.2%.
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After yanking $719.9 million from a technology fund in May, investors poured $1.78 billion in one day to another fund in the sector.
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The exploding popularity of quants has created a gold rush for fund developers.
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A tweak in accounting guidelines the firm helped to modify is expected to make the funds cheaper and easier to own.
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As the S&P 500 eked out a 1.2% gain last month, other equity quant funds were able to boost returns.
Renaissance Technologies’s quantitative equity fund gained 4.4% last month, according to an investor letter seen by Bloomberg News.
QIM’s trading strategies are based on programs that Woodriff first discovered in 1991. They assemble over 10,000 mathematical formulas through machine learning, each with flavors of favorite quant inputs, and are sometimes referred to as “the third way.”
