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Brevan Howard to pursue systematic trading in joint venture with David Gorton

Friday, October 08, 2010
Opalesque Industry Update - David Gorton and Brevan Howard are pleased to announce the formation of a new joint venture, DG Systematic Trading LLP, to pursue systematic trading strategies. David Gorton is the Chief Investment Officer of the new venture with responsibility for the management and development of trading strategies based upon a suite of systematic models which have been running capital since May 2006 including capital allocated from Brevan Howard Master Fund since 1 March 2010.

DG Systematic Trading LLP will be FSA authorised and will act as investment manager of Brevan Howard Systematic Trading Fund, a systematic trading fund which utilises Brevan Howard's risk management and execution platform. Brevan Howard Systematic Trading Fund has been seeded with $300 million from Brevan Howard Master Fund and has been successfully traded by David Gorton and his team since 1 March 2010. For the period from 1 March to 30 September this strategy has delivered returns on allocated capital of 9.3% net of fees.

Gunther Thumann, CEO of Brevan Howard Capital Management Limited, commented "Brevan Howard has been seeking to add a fund based upon a strictly quantitative approach. 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."

(press release)

Source

What do you think?

   Use "anonymous" as my name    |   Alert me via email on new comments   |   
9.3 % on allocated capital of $300 in 6 month time ? Can someone provide us with the usual statistical performance data ? Astron Susilovic |   October 09, 2010 08:46:32 PM
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