Published October 08, 2013
LONDON – Sweden-based hedge fund Density is to close after a poor performance, its manager told Reuters on Tuesday, as computer-driven funds struggle to cope with markets dominated by central bank money-printing.
Density's troubles reflect those of high-profile computer-driven (also known as commodity-trading advisor or CTA) funds such as BlueTrend, Man Group's AHL and Cantab Capital's CCP fund, which have also suffered losses as central bank actions disrupt the long-running market trends they like to follow.
The Density fund, which traded 138 markets in stocks, fixed income, currencies and commodities, had been run as a strategy in Swedish-based Brummer & Partners' Nektar unit, which manages the $4.7 billion Nektar fund, a portfolio that has made money every calendar year since 1998 apart from in 2008.
Density launched on its own in 2008 and made large profits around the time of Lehman Brothers' collapse.
But the portfolio, which grew to around $54 million in size, has struggled in recent years, losing 14.9 percent in the first nine months of this year.
"Performance has not been what we hoped for," Jonas Vikstrom, managing director of Vikstrom & Andersson Asset Management and co-manager of the Density fund, told Reuters. "It's been quite bad actually.
"We aim for a niche in the CTA space but it's not worked out well at all ... We don't have the resources to continue fighting."
Since the end of 2008 the Density fund has fallen around 26.6 percent, according to a fund factsheet seen by Reuters.
In a letter to investors seen by Reuters, Vikstrom said the fund would close by the end of the month. ($1 = 0.7368 euros)
(Editing by David Holmes)