QQM Enjoys Its Best Month on Record

Stockholm (HedgeNordic) – With markets tumbling worldwide last month, more than a few Nordic hedge funds managed to book solid gains. There is one fund in particular that stood out most. QQM Equity Hedge, which employs a systematic market-neutral strategy designed to capture the correlation between fundamentals and equity prices, registered its best month in its 107-month history with a gain of 7.55 percent in May.

QQM Equity Hedge uses a systematic strategy to build a well-diversified market-neutral portfolio that aims to capture the effects of fundamental and price momentum in European equity markets. The fund managed by Ola Björkmo and Jonas Sandefeldt (pictured) is built up of ten geographically dispersed market-neutral portfolios, which rely on “a combination of various fundamental momentum strategies with a price momentum overlay” according to Björkmo.

“All ten sub-portfolios gained during the month, with the fund being profitable on 16 out of 22 days,” Björkmo tells HedgeNordic, adding that May “was a really good month.” QQM Equity Hedge currently maintains 318 positions on the long side and 306 short positions, with long positions being hedged with a portfolio of single stock shorts rather than index futures. According to Sandefeldt, “the short book contributed significantly to performance in May,” with the collection of short positions generating a return of over ten percent. “On a country level, Germany, Norway, and Denmark were the fund’s best performing sub-portfolio,” says Sandefeldt.

QQM Equity Hedge is designed to maintain a market-neutral portfolio, targeting a beta to global equities of close to zero. Björkmo tells HedgeNordic that “on average, the fund is profitable two months out of three regardless of the market’s direction.” The fund earned an annualized return of 4.9 percent since the duo started managing the fund in July of 2010, exhibiting a near-zero correlation with equity markets.

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Eugeniu Guzun

Eugeniu Guzun serves as a data analyst responsible for maintaining and gatekeeping the Nordic Hedge Index (NHX), as well as being a novice columnist covering the Nordic hedge fund industry for HedgeNordic. Prior to joining HedgeNordic, Eugeniu had served as a columnist for a U.S. journal covering insider trading activity, activist campaigns and hedge fund moves. Eugeniu completed his Master’s degree at the Stockholm School of Economics in 2018.

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