On September 11th, 2012, Battle of the Quants – London 2012 awarded the Global top performing Quantitative Hedge Funds with three prestigious fund category awards: Relative Value and High Frequency, Directional and Event Driven.
Each winner was presented with a gold medal by world famous Olympic Gold Medalist Dani King, keeping in touch with the fantastic summer of British Olympic Sport held in London. In total, across all categories, 13 Fund Managers were nominated with 18 individual fund award applications.
The gold medal winner for Top Performing 2012 YTD Relative Value and High Frequency Hedge Fund was awarded to Jasper Anderluh, Principal at HiQ Invest in the HiQ Invest Market Neutral Fund with a 15.1% 2012 YTD return.
HiQ Invest Market Neutral Fund is an investment fund that focuses on trading short-term and medium-term equity price anomalies. HiQ’s strategy is highly liquid and market neutral with equal long and short positions which allows to generate alpha regardless of market direction or conditions.
The fund’s objective is to provide consistent and superior risk- adjusted returns over the long-term. Based on its systematic value models, the fund will take long and short positions in equities which have deviated from their theoretical value. The fund’s models attribute a live and dynamic theoretical value for each equity in which it participates.
Since inception on 14th of August 2007, HiQ has had a net return of +95,59% and according to Bloomberg, currently number 1 in the worldwide statistical arbitrage class.
The gold medal winner for Top Performing 2012 YTD Directional Hedge Fund was awarded to Karsten Schroeder, CEO at Amplitude Capital in the Amplitude Klassik Fund with a 17.05% 2012 YTD return.
Amplitude Klassik Fund is an open-end fund incorporated in Cayman Islands. The Fund trades liquid exchange-traded futures across asset classes: equities, FX, fixed income and commodities. The strategy is based on a systematic and fully automated directional program which uses extensive quantitative analysis of real-time price data and sophisticated portfolio methodology.
The gold medal winner for Top Performing 2012 YTD Event Driven Hedge Fund was awarded to Carlos Ontaneda, CFA: Head of Multi Asset and Total Return at Pictet Asset Management in the Pictet Absolute Return Global Diversified Fund with a 2012 YTD Return of 6.13%.
Pictet uses 2 independent strategies, a dynamic beta strategy and a portable alpha strategy.
“In the beta part we build a dynamic portfolio of multiple asset classes (equities, bonds, commodities, currencies and credit) using statistical models to time our exposure to these various asset classes. In the alpha strategy, we select internal managers within Pictet and extract their value added by shorting out their respective benchmarks. We use both quantitative and qualitative selection filters to pick these managers.” (Carlos Ontaneda, August 2012).
The conditions for entering were:
• AUM > $25USD • Fund launched before 2011 • 100% quantitative driven
• Participating manager in the Battle of the Quants – London 2012
Battle of the Quants, now continues its conference in Hong Kong on December 12th & 13th, 2012.
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