The high-flying Quantitative Investment Management, Jaffray Woodriff's $5 billion commodity hedge fund firm, is closing its two largest funds to new investments at the same time the fund has hit a streak of poor performance.
QIM will hard close its $4.5 billion Quantitative Global Program, which has lost 8.28% since September, and its $400 million Quantitative Tactical Program, wrote Woodriff in a January 28 letter to investors. While neither fund has hit capacity—the Global Program could handle as much as $10 billion and the Tactical Program could manage up to $1 billion—the firm decided to preemptively close both programs to new investment after March 1, a decision QIM will reevaluate at the end of the year. Only investors with existing capacity agreements can get in after the March 1 deadline.
Raising money has not been a problem for the Charlottesville, Va. firm. In January 2009 the Quantitative Global Program managed $2.6 billion, and by the end of December 2009 it had grown to $5.1 billion because of new money and positive performance, though its assets have dipped recently because of losses. In January the fund lost 4.33%, but it was up in 2008 and 2009, rising 11.94% and 11.07%, respectively.
"CTAs in general have struggled a great deal over the past two months, and we are disappointed that we have been unable to give our clients the returns to which they have become accustomed," Woodriff wrote in the letter. "The program's models did a poor job of predicting market direction, losing money in all sectors."
Woodriff cited interest rate futures as one area that hurt performance, but he dispelled the idea that the fund's size led to the losses. "It's important to note that the recent drawdown in the Global Program over the last two months is within our expectations and is not a result of excessive slippage due to our asset size," wrote Woodriff. The fund fell 6.54% in January. QIM plans to liquidate its Quantitative Ultra Program and Quantitative Ultra Fund 3x, which manage a combined $65 million. The firm will also shutter its Quantitative Fund 1x and Quantitative Fund 3x, which manage less than $10 million combined. —Suzy Kenly