A Brazilian hedge fund hit by withdrawals is starting a quant trading desk in a bid to win back its investors.
Vinicius Andrade filed this report for Bloomberg:
(Marcelo) Giufrida’s Garde Asset Management Ltda. put together a five-person team to start a quantitative-trading desk, partially inspired by Renaissance and other global hedge funds that have been successful with the approach, he said in an interview. The launch is part of a comeback bid for the fund, the Garde D’Artagnan Master, which lost half its assets in little over a year.
“We’re starting to see some of the biggest global quantitative funds having a stronger presence in Brazilian markets, which means there are new, competitive players with a different approach making life more difficult for the traditional ones,” said Giufrida, Garde’s chief executive officer. “So we decided it was time for a more ambitious project.”
The strategy will initially account for about 7% of total risk at the firm’s 4.3 billion-real ($1 billion) flagship fund, Chief Investment Officer Carlos Calabresi said. “Global markets are much more advanced than Brazil on this front, but the gap will close and we want to be ahead of it,” he said.
Renaissance Technologies, founded by military code breaker James Simons, is one of the oldest hedge funds with a quantitative strategy. The secretive firm is known for its Medallion Fund, which generated average annual returns of close to 70% before fees since 1988 without ever suffering a yearly loss.
Christian Spanger, who’s been at Garde since 2015, will head the effort along with Mauricio Carneiro, who was hired from QuantumBlack, a data-science firm owned by McKinsey & Co. Spanger had already been using some algorithms as a trader for Brazilian rates and now, with Carneiro’s arrival, the duo is developing models for foreign exchange and equities. They said they prefer the term systematic trading, instead of quantitative.