Quant Hedge Funds Post Strong Q1 Returns, Driven by Cocoa Prices and Yen Slump

Strong cocoa prices and a significant drop in the Japanese yen have been among the key financial trends that have driven impressive returns for computer-driven quant hedge funds in the first quarter of this year, as reported by the Financial Times. According to an index compiled by Société Générale, trend-following funds managed by firms such as Man Group, Aspect Capital, and Winton have reported gains of approximately 12% for the year up to the end of March.

Razvan Remsing, Director of Investment Solutions at London-based quantitative hedge fund Aspect Capital, which oversees $9.4 billion in assets, noted that the firm's performance has never been better. He said, “We have been trading for 25 years, and this was our best first quarter ever.”

Other prominent quant funds, including those managed by Winton, AQR, and Capital Fund Management, have also had a stellar start to the year, with returns of 13%, 17.4%, and 17.5%, respectively.

Aspect Capital, in particular, reported an exceptional 21.4% gain for its flagship fund. The firm increased its leverage from a long-term average of four times to seven times, enabling it to capitalise on a variety of disparate trends that have supported its strong performance.

This year’s success marks a sharp contrast to 2023 when trend-following strategies struggled due to the collapse of Silicon Valley Bank in March and a subsequent increase in bond prices. Despite those challenges, this year’s market dynamics have proven highly favourable for quantitative hedge funds, resulting in significant returns across the sector.