Quant fund Amplitude returns 14.48% in September....

Opalesque London: Karsten Schroeder, Amplitude Capital�s PM and CEO, talked to Opalesque about the Amplitude strategy and the need for investors to diversify, and include quants in their portfolios � especially as they seem to be doing well in times of crisis.

Quants faring well
The Amplitude strategy returned 14.48% in September and 31.26% YTD and has compounded 28.28% p.a. since its June 2005 inception.

These results mirror the success of many other quant funds: Tudor Investment Corp�s Tensor Tudor was up 21.3% and Jim Simon's flagship Medallion fund up 49% through the end of September, Wealth Bulletin reported. SGAM AI�s quant fund, the Global Volatility Fund, was up 6.17% YTD to August and AM Investment Partners� volatility fund went up 6% in just the month of September - when the S&P500 and Nasdaq Composite Index sunk 5.4% and 7.8%, respectively, reported WSJ. Opalesque yesterday reported on Welton�s CTA fund, the Global Directional Portfolio, which is up 11% YTD. The top 3 performing programs in the AlternativeEdge Short-Term Traders Index (which rose 2.12% in September, 11.3% YTD) were R.G. Niederhoffer Negative Correlation (+17.4% est.), R.G. Niederhoffer Diversified (+14.7% est.) and the Conquest Macro Fund (+8.46% est.). Opalesque has also just received the September performance for the AIMhedge�s systematic fund, which is up 5.07% (almost 39% YTD). But on the other hand the market turmoil and Lehman�s collapse forced the Amsterdam-based quantitative hedge fund HiQ Invest to close out some positions at significant losses.

�Over the last couple of months we have seen big moves in the market which help quant funds to perform well,� noted Karsten Schroeder. �Generally speaking, the bigger the herd mentality in the market, the greed or fear phenomenon � obviously at the moment it is fear � the better these quantitative models can be exploited��

It is true that the short-selling bans on financials did affect some quant funds, but the Amplitude strategy, which aims to take advantage of the market�s volatility, was not. However, the new Amplitude Select fund was affected by the US ban and its launch has therefore been postponed till January 1st (Opalesque exclusive on the Amplitude Select Fund.)

Strategy: systematic managed futures
At the QuantInvest conference in London last month, Peter Keutgens, senior investment consultant at Watson Wyatt, said that the typical 'core' quant processes were value, momentum and others. The current market for quants includes pure value managers (the few remaining quant pioneers and the post TMT generation); 'core' quant managers (long only and 130/30); hedge fund managers (long/short quant strategies); quant screen......................

Source:
http://www.opalesque.com/AMB2008/47810Quant_fund_Amplitude_returns_in_September.html