Two Sigma Quant Fund Said to Surge 6% in May, Reversing Drop

(Bloomberg) -- Two Sigma, the $52 billion quantitative firm run by David Siegel and John Overdeck, recouped losses in one of its main funds in May, according to a person with knowledge of the performance.

Its Compass fund, which trades futures across markets from commodities to currencies, jumped 6 percent last month, said the person who asked not to be named because the firm is private. That brings its return so far this year to 2.96 percent.

The firm’s Absolute Return fund, which trades stocks, climbed just 0.7 percent in May and is up 2.4 percent this year, the person said.

Jesse Comart, a spokesman for New York-based Two Sigma, declined to comment.

Separately, Leda Braga, the quant manager who built her name at BlueCrest Capital Management, saw her main hedge fund fall 3.1 percent in May, extending losses this year to 6.9 percent, according to an investor update. A spokesman for her Systematica Investments Ltd. didn’t respond to an email seeking comment.

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