11 Oct 2010
Brevan Howard, Europe’ biggest hedge fund group, is to seed a new systematic fund with $300 million in a joint venture with David Gorton, a co-founder and the CEO of fixed income quantitative specialist London Diversified Fund Management. Gorton will be the chief investment officer of the joint venture, DG Systematic Trading LLP, being set up with Brevan Howard.
The link-up potentially marks a new beginning for Gorton. Once one of Europe’s biggest hedge funds, London Diversified has shed staff and partners as assets under management haven fallen well below $1 billion. The firm’s main fund is understood to remain below its high water mark, meaning that performance fees can’t be levied.
The new fund with Brevan Howard is targeting the investment management territory occupied by several of London’s biggest and most venerable managed futures funds including AHL and Winton Capital. The launch comes after a fallow period for managed futures strategies generally, though Winton and AHL are both showing double digit returns for the year to date. It also coincides with a subdued period for the Brevan Howard Master Fund, which has returned just over 2% in 2010.
Gorton’s team will continue to be based in London and DG Systematic Trading will be FSA authorised. It will act as the investment manager of Brevan Howard Systematic Trading Fund using Brevan Howard’s risk management and execution platform.
Gorton has used systematic models to run capital since May 2006 including capital allocated from the Brevan Howard Master Fund since 1 March 2010. For the period from 1 March to 30 September the strategy delivered net returns on allocated capital of 9.3%.
The prime broker to the fund is Credit Suisse. The minimum investment is $1 million.
The link-up potentially marks a new beginning for Gorton. Once one of Europe’s biggest hedge funds, London Diversified has shed staff and partners as assets under management haven fallen well below $1 billion. The firm’s main fund is understood to remain below its high water mark, meaning that performance fees can’t be levied.
"Brevan Howard has been seeking to add a fund based upon a strictly quantitative approach,” said Gunther Thumann, CEO of Brevan Howard Capital Management. “We are delighted to achieve this in partnership with David Gorton and an experienced fund management team with an outstanding track record in systematic trading."
The new fund with Brevan Howard is targeting the investment management territory occupied by several of London’s biggest and most venerable managed futures funds including AHL and Winton Capital. The launch comes after a fallow period for managed futures strategies generally, though Winton and AHL are both showing double digit returns for the year to date. It also coincides with a subdued period for the Brevan Howard Master Fund, which has returned just over 2% in 2010.
Gorton’s team will continue to be based in London and DG Systematic Trading will be FSA authorised. It will act as the investment manager of Brevan Howard Systematic Trading Fund using Brevan Howard’s risk management and execution platform.
Gorton has used systematic models to run capital since May 2006 including capital allocated from the Brevan Howard Master Fund since 1 March 2010. For the period from 1 March to 30 September the strategy delivered net returns on allocated capital of 9.3%.
The prime broker to the fund is Credit Suisse. The minimum investment is $1 million.
