Quantedge


Quantedge Capital is an alternative investment asset manager based in Singapore and New York City. It manages over US$4 billion under its flagship Quantedge Global Master Fund primarily on behalf of high-net-worth individuals, family offices and institutions.

Firm overview

Founded in 2006, the firm has more than 100 employees based in Singapore and New York.

Investment strategy

Quantedge employs a systematic investment strategy that uses statistical models to invest across major macro asset classes such as bonds, equities, commodities, currencies and reinsurance. Quantedge's investment strategy includes both long only as well as market-neutral positions in those asset classes. The fund has an investment universe of more than 200 instruments and typically invests in more than 90% of these instruments. Hence, the portfolio is exceedingly diversified as the manager believes that "ultra-diversification" helps to enhance the overall portfolio's risk-adjusted returns. It also uses dynamic asset allocation to overweight more attractive instruments and underweight less attractive ones. Quantedge also targets a constant level of total risk, which approximates to 25% annualized volatility and it does not employ short-term day-trading strategies; instead holding its positions ranking from weeks to several years.

Investment returns

Since its launch in October 2006, the firm's Quantedge Global Fund has delivered roughly +20% annual returns after fees. The fund has delivered positive returns for most years since inception, except in 2008, 2015, 2018 and 2022. Its largest annual gains were in 2010 and 2019 with 82% and 70% return respectively. The consistent outsize returns set the firm apart in the hedge-fund industry. Hedge funds globally have produced an average net annualized return of 7.2% as of the end of 2021.
2006200720082009201020112012201320142015201620172018201920202021202220232024
36%19%-23%47%82%33%39%9%29%-18%27%38%-29%70%7%20%-21%30%31%

Source: Bloomberg, Stega Capital. 2006 returns are since October.
The fund's track record makes it one of the most successful hedge funds as ranked by AsiaHedge, Bloomberg, Barrons, HSBC and Stega Capital amongst others. Other notable hedge funds with similar outstanding long-term performance in the past include the Medallion Fund by Renaissance Technologies and George Soros' Quantum Fund which are both closed to outside investors and have been since the 1990s and early 2000s respectively.

Criticism

High target volatility

Quantedge targets a high level of total risk for its portfolio relative to other hedge funds. As a result, the fund expects to experience a 10% to over 40% loss periodically as part of its strategy. During the 2008 financial crisis, Quantedge experienced a 45% drawdown before ending the year with a narrower 23% loss. In March 2020, Quantedge experienced its largest monthly decline of 29%. Hence, the fund only accepts investors who understand its strategy, are able to tolerate high levels of short-term volatility and who can invest for the long term.

Multi-year lock-ups

New investors are only offered investments in Share Classes which require either a 3-year or 5-year fixed-term investment, or semi-permanent capital with limited redemptions of to up to 5% per calendar quarter. More than 85% of their assets under management today are in such share classes, minimizing the risk of a run on the fund.