As more details emerged on how hedge funds fared following Britain’s surprise decision to leave the European Union, computer-driven hedge funds led the winners. Human traders appeared to have limited losses by reducing risk.
Lynx Asset Management, which uses mathematical models to decide when and which securities to buy and sell, posted a 5.1 percent gain on Friday in one of its funds, according to its website. Capital Fund Management, a $7 billion firm in Paris, gained 4.2 percent that day in its Discus fund, while Systematica Investments, the $10.2 billion fund run by Leda Braga, gained 1.35 percent in its main BlueTrend fund, people with knowledge of the matter said.
Trillions were wiped from global equity values and the pound slumped after the Brexit victory, with the U.K. stripped of its top credit grade by S&P Global Ratings. Hedge funds overall lost 1.1 percent on Friday, according to the HFRX Global Hedge Fund Index. In a sign traders had prepared for the event, options-derived measurements of market stress fell Monday despite a second day of weakening stocks.
“We are entering a new regime of higher volatility where prices are vulnerable to sharp reversals and breakout of new trends,” said Nigol Koulajian, founder and chief investment officer of Quest Partners, a $650 million quantitative hedge fund. “Years of aggressive Central Bank policies suppressed volatility across markets and this is now changing as macro and political risk begin to rise.”
Quest, based in New York, gained 1.6 percent on Friday and 3.6 percent on Monday in its main fund, AlphaQuest Original Fund, a person familiar with the matter said.
Quantitative Investment Management, a computer-driven firm based in Charlottesville, Virginia, gained 3.6 percent on Friday and 12 percent this month before fees in an equity strategy that manages about $500 million, a person with knowledge of its returns said. The performance adds to a gain of almost 30 percent after fees in the first five months of this year.
The firm’s main futures strategy, which manages about $2.5 billion, also made money on Friday, bringing gross returns for June to 4.2 percent. Before this month, it had gained 7.7 percent, net of fees, in 2016.
Man Group Plc, the world’s largest publicly traded hedge-fund firm, reported a 1.3 percent gain in AHL Diversified Programme and 0.9 percent rise in AHL Alpha Programme. Its AHL Evolution Programme lost 0.5 percent, while the AHL Dimension Programme declined 0.7 percent, according to the firm’s website.
Other computer-driven funds that profited include Winton Capital Management in London, whose founder David Harding gave 3.5 million pounds ($4.6 million) to the Remain campaign.
Officials for the hedge funds declined to comment on performance. Many funds will update investors on their June performance this week and next.