Goldman Sachs??s flagship Global Alpha fund is slowly recovering from its dismal performance in 2007, when it lost 40 per cent of its value, but it remains well below its high water mark.
The quantitative Alpha fund is up about 20 per cent so far this year after two years of underperformance, Robert Litterman, a managing director for quantitative resources at Goldman Sachs Asset Management, said at a conference this week.
This year??s rise is based on a drastically reduced pool of money, however.
At its peak, Global Alpha had $12.5 bn under management, but the fund now has less than $3 bn.
In a speech at a hedge fund conference in Monaco, Mr Litterman blamed the fund??s poor performance last year on an excessive amount of hedge fund money that was also being traded according to mathematical models.
Because all the ??quant-driven? hedge funds use similar computer programs to determine which companies to focus on ?? and even use the same signals to determine when to buy and when to sell ?? the market became crowded and one-sided. Returns, which had been positive in previous years, turned down sharply in 2006 and 2007.
