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Kirsten Bischoff, Opalesque New York: In May, 2008 the Research Foundation of CFA Institute released a survey which picked apart many aspects of the "decay in performance of many quantitatively managed funds". The blame for diminished quant performance was placed on rising correlations, style rotation, and the "herding" phenomena (Source). While quant funds have in general, suffered in the months since August, Opalesque unearthed two funds which have managed to slog through the morass and break through with positive performance.
The fixed income fund
The second fund we look at is on the opposite side of the aisle, trading fixed income. The Jersey City, New Jersey-based DMS Fixed Income Micro RV Fund which was founded in 2006 has approximately $20m in assets is run by David Sukoff and Chris Danielian. Second generation hedge fund managers, Sukoff and Danielian previously ran $450m Precept Asset Management, closing the fixed income shop at the end of 2005 as volatility lulled. Prior to that Sukoff worked in portfolio management at AVM (III), Atlantic Portfolio Analytics and New Bond Trading; and Danielian managed the emerging markets fixed income derivatives book at JP Morgan Chase.
The DMS Fund focuses on pricing anomalies amongst substantially similar securities in the fixed income world. In addition to their quant foundat...................... To view our full article Click here
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