Quantedge

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Quantedge Capital Pte Ltd
Company typePrivate
IndustryInvestment Management
Founded2006 (2006)
Headquarters
Singapore & New York City
AUM~$3.8 billion (Mar 2024)
Number of employees
~ 70 [1]
Websitequantedge.com

Quantedge Capital is an alternative investment asset manager based in Singapore and New York City. It manages over US$3 billion under its flagship Quantedge Global Master Fund primarily on behalf of high-net-worth individuals, family offices and institutions.[2]

Firm overview[edit]

Founded in 2006, the firm has more than 70 employees based in Singapore and New York.[3]

Investment strategy[edit]

Quantedge employs a systematic investment strategy that uses statistical models to invest across major macro asset classes such as bonds, equities, commodities, currencies and reinsurance. The fund has an investment universe of more than 200 instruments and typically invests in more than 90% of these instruments. Hence, the portfolio is exceedingly diversified as the manager believes that "ultra-diversification" helps to enhance the overall portfolio's risk-adjusted returns. It also uses dynamic asset allocation to overweight more attractive instruments and underweight less attractive ones.[4][5] Quantedge also targets a constant level of total risk, which approximates to 25% annualized volatility and it does not employ short-term day-trading strategies; instead holding its positions ranking from weeks to several years.[6]

Investment returns[edit]

Since its launch in October 2006, the firm's Quantedge Global Fund has delivered roughly +20% annual returns after fees.[7] The fund has delivered positive returns for most years since inception, except in 2008 (-23%), 2015 (-18%), 2018 (-29%) and 2022 (-21%).[8] Its largest annual gains were in 2010 and 2019 with 82% and 70% return respectively.[9][10] The consistent outsize returns set the firm apart in the hedge-fund industry. Hedge funds globally have produced an average net annualized return of 7.2% as of the end of 2021.[11]

Annual Net Returns (%)
2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 2022 2023
36% 19% -23% 47% 82% 33% 39% 9% 29% -18% 27% 38% -29% 70% 7% 20% -21% 30%

Source: Bloomberg,[7] Stega Capital [12]. 2006 returns are since October.

The fund's track record makes it one of the most successful hedge funds as ranked by AsiaHedge,[4] Bloomberg,[13][14] Barrons,[15] HSBC[16] and Stega Capital[17][12] amongst others. Other notable hedge funds with similar outstanding long-term performance in the past include the Medallion Fund by Renaissance Technologies and George Soros' Quantum Fund which are both closed to outside investors and have been since the 1990s and early 2000s respectively.[17][18]

Criticism[edit]

High target volatility[edit]

Quantedge targets a high level of total risk for its portfolio relative to other hedge funds. As a result, the fund expects to experience a 10% to over 40% loss periodically as part of its strategy.[5][19] During the 2008 financial crisis, Quantedge experienced a 45% drawdown before ending the year with a narrower 23% loss.[20] In March 2020, Quantedge experienced its largest monthly decline of 29%.[21] Hence, the fund only accepts investors who understand its strategy, are able to tolerate high levels of short-term volatility and who can invest for the long term.[5][22]

Multi-year lock-ups[edit]

New investors are only offered investments in Share Classes which require either a 3-year or 5-year fixed-term investment, or semi-permanent capital with limited redemptions of to up to 5% per calendar quarter. More than 85% of their assets under management today are in such share classes, minimizing the risk of a run on the fund.[7][21]

References[edit]

  1. ^ Quantedge "About Us"
  2. ^ Klaus Wille “Asia’s Best Performing Macro Hedge Fund hits US$1 billion mark.’ Bloomberg, 20 August 2014.
  3. ^ "One of the World's Best Quant Funds Plunged 29% in March". Bloomberg.com. 2020-04-14. Retrieved 2020-10-16.
  4. ^ a b "AsiaHedge Awards 2014.”, Hedge Fund Intelligence, Euromoney Institutional Investor PLC, 24 November 2014.
  5. ^ a b c "The Billion Dollar Interview with Quantedge Global Fund", Eurekahedge Pte Ltd, August 2014.
  6. ^ Netty Ismail “Quantedge Aims to More Than Double Assets After Topping Macro Hedge Funds.” Bloomberg, 6 January 2011.
  7. ^ a b c "Hedge Fund Up 38% Wants to Stop Investors Taking Out Their Cash" Bloomberg, 1 February 2018
  8. ^ "Quantedge Hedge Fund Rebounds From 2015 Losses With 24% Surge", Bloomberg, 6 April 2016.
  9. ^ "Quantedge breaches US$1 billion in AUM after big gains.", Hedge Fund Intelligence, Euromoney Institutional Investor PLC, 7 July 2014.
  10. ^ "Quantedge jumps 12% in June as Brexit roils markets", Bloomberg, 14 July 2016.
  11. ^ "The Most Consistently Profitable Hedge Funds Continue to Prove Their Edge". RIA Intel. 2022-07-25. Retrieved 2024-05-02.
  12. ^ a b CIO Office (March 2023). "Portfolio Review". Stega Capital.
  13. ^ “Bloomberg Brief: Special Report on Asia Hedge Funds.” Bloomberg, September 2014.
  14. ^ "Bloomberg Top 100 Large Hedge Funds" Bloomberg, January 2015.
  15. ^ Eric Uhlfelder "Barron’s Best 100 Hedge Funds” Barrons, 18 May 2013
  16. ^ "40% Returns? How One High-Risk Hedge Fund Does It", Wall Street Journal, 20 July 2016.
  17. ^ a b Co-CEO Office (February 2021). "G.O.A.T Money Managers". Stega Capital.
  18. ^ Zuckerman, Gregory (2 November 2019). "The Making of the World's Greatest Investor". The Wall Street Journal.
  19. ^ Quantedge "Volatility of the Fund.”
  20. ^ Simon Kerr "Does the Absence of Marketing at Quantedge Capital Matter?”, Hedge Fund Insight, 25 August 2014.
  21. ^ a b David Ramli (15 April 2020). "One of the World's Best Quant Funds Plunged 29% in March". Bloomberg.
  22. ^ Nishant Kumar "Quantedge hedge fund surges 32 pct in 2011.”, Reuters, 6 January 2012.
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