GAM, the troubled Swiss asset manager, was forced to issue a profit warning last July as a result of problems at Cantab Capital. The $US1 billion ($1.4 billion) GAM Systematic Cantab quantitative fund lost 23.1 per cent in 2018, while its $US1.5 billion core macro fund fell 13 per cent.
“2018 was a challenging year but not one that causes us to question whether market dynamics have changed,” said said Anthony Lawler, head of GAM Systematic. “Trend-centric strategies expect to be hurt at points of price reversal, and the pay-off to bearing this risk is the ability to perform positively in sustained risk-off or bear market environments.”
Connecticut-based Graham Capital’s $US1 billion quant macro fund delivered a 15.1 per cent return last year, making it the best performer in HSBC’s sample. Yet Graham’s 15 times-levered K4D fund was among the worst performers, losing 17 per cent, while Graham’s $US6.2 billion tactical trend fund dropped 13.3 per cent.
Trend-following commodity trading advisers, the computer-driven managers responsible for almost a 10th of the hedge fund industry’s assets, registered their worst performance for 16 years, according to Gernot Heitzinger, managing director of Vienna-based manager SMN, which oversees €600 million. SMN’s €50 million diversified futures fund ended 2018 down 17.8 per cent.
“The absence of stable trends in combination with numerous short-term trend reversals was the reason for the poor performance of the strategy,” said Mr Heitzinger.
BlackRock, the world’s largest asset manager, suffered a 19.9 per cent loss last year on its BSF European Diversified Equity Absolute Return fund. BlackRock said trade tensions, the path of US rate increases and uncertainty over the timing of the end to the current market cycle had driven underperformance of export-orientated companies held by the fund.
Heavy exposures to China hurt London-based Schroder’s $US103.7 million GAIA Indus PacifiChoice fund, which lost 17.8 per cent last year. Schroders declined to comment.
Data from the consultancy eVestment indicated that the hedge fund industry registered its third worst year. The 10 largest hedge funds delivered an average loss after fees of 4.5 per cent, a weaker performance than the S&P 500.
Long/short funds, the biggest sector, delivered an average loss of 6.8 per cent, while activist funds, which have attracted significant inflows in recent years from institutional investors, fell 13.3 per cent on average.
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