UK's Augustus relaunches quant currency hedge fund
LONDON, March 27 (Reuters) - British fund firm Augustus Asset Managers said it has relaunched a quantitative currency hedge fund after changing its computer-driven model following tough conditions for quant funds last year. Many quant funds -- which rely on computer models to make their bets -- suffered badly last August and November after being caught out by a spike in market volatility following the summer's U.S. subprime mortgage meltdown.
High-profile funds to be hit included Goldman Sachs Group Inc's (GS.N) Goldman Sachs Global Alpha Fund, which fell nearly 40 percent for the year according to an investor. Goldman has declined to comment on the fund's performance.
Augustus Chief Executive and Chief Investment Officer Tim Haywood said Augustus's Systematic fund, which was launched on July 1 but closed in early November after a tough third quarter, was relaunched on Feb. 1.
The fund is being run with seed money and has not yet been sold to external investors.
"It's being road-tested. This is the second systematic fund we've launched in the last year. It's a reworking of the first, as the first one did not work as well as we'd expected," he said on Wednesday.
"Systematic funds had a very tough third quarter (of 2007). (The tweaks) were particularly in the way we exited trades ... It's now working much better."
The fund aims to use its observations of the drivers of currency movements to predict future moves and generate returns.
Augustus, which was formed last year after a buyout by management of private bank Julius Baer's (BAER.VX) UK-based fixed-income and currencies subsidiary, runs around $13 billion in assets including $1 billion in hedge funds.
(Editing by Erica Billingham)
