Henderson plans quantitative currency hedge fund
LONDON, Jan 8 (Reuters) - British fund manager Henderson Global Investors HGI.L is planning to launch a quantitative currency hedge fund in the coming months aimed initially at institutional investors, a company spokesman said on Thursday.
The fund will be developed and managed by a five-strong team of currency traders who joined Henderson from the investment banking arm of Belgian financial services group Fortis on Monday.
New fund launches have been scarce in recent months as investors retreat from the market amid extreme volatility. The launch will also follow sustained bad publicity around hedge funds and quant funds after the credit crisis caught out many managers and data-based strategies.
The team will spend the next month developing its quantitative model which will invest in G10 and possibly emerging market currencies, the spokesman told Reuters.
"Once that's built we'll go out to the market pretty swiftly," he said.
Henderson had previously run a currency overlay strategy -- effectively a currency hedge -- but does not yet have a fund specifically designed to generate alpha returns from currency trading.
Alpha returns refer to gains made beyond the growth of an appropriate benchmark
Mitesh Sheth, deputy head of fixed income at Henderson, said: "In a climate where available leverage is expensive, correlations are high and liquidity is at a premium, the opportunity for currency as an asset class in its own right will be advantageous in 2009 and beyond."
Head of the team is Bob Arrends, formerly global head of currency management at Fortis. The team will spend six months in London before moving to Henderson's Amsterdam office. (Reporting by James Molony; Editing by Jon Loades-Carter)
