AMP Capital sets up first Asian quant fund at $25m
Australia's AMP Capital has launched a long/short equity strategy using proprietary computer models and human fundamental research, with $25 million in capital.
The Asia Quant Fund has been running with internal money since 2011, although AMP declined to disclose its performance figures. It trades more than 800 stocks in the Hong Kong, Singapore, Taiwan, Korea and Australia markets.
The fund targets net annual returns of 8-9% and has a capacity of $1 billion, says Anthony Fasso, international chief executive and head of global clients at AMP Capital. The $25 million starting capital comes from one of the firm's fund of funds.
The Asia Quant Fund is managed by Mark McClatchey and Lachlan Davis, co-heads of AMP’s multi-strategy equity funds, who are based in Sydney.
Quant funds – also called managed futures, commodity trading advisers or trend-following strategies – are often sought out by investors in bear markets. This is because quants have the least correlation to the market compared to other strategies.
However, central bank intervention in markets has thrown off computer models in recent years, with the announcement of policies such as monetary stimulus and US tapering of bond purchases triggering unexpected market moves.
The Eurekahedge Asia CTA Hedge Fund Index rose 3.32% last year, compared to the MSCI AC Asia Pacific Index’s 12% rise.
AMP Capital says the Asia Quant Fund’s hybrid approach is different from typical quants, which rely purely on computer-driven models to pick stocks. Quant models use past market-movement trends to try to anticipate future stock movements.
At AMP, human research is used to conduct due diligence to identify trades that may carry significant risks. It is also used to ascertain that the computer model’s view of a stock correctly reflects the fundamentals of the company and that the data driving the firm's view is accurate, says Fasso.
Rival Australian house Macquarie has also been running a hybrid quant strategy, the Macquarie Asian Alpha Fund, since 2005. Managing just over $1 billion, it returned 9% in 2013.