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Alternative Market Briefing

Rate of style drift in quant funds - author Rishi Narang offers help to understand black boxes

Friday, August 28, 2009

From Kirsten Bischoff, Opalesque New York:

California-based Telesis Capital (previous Opalesque coverage here: Source) manages the Ergos Fund, a fund of managed accounts that invests in short term quant managers. The Fund successfully increased its asset base during the financial crisis, and for portfolio manager Rishi Narang who met with many potential investors it became clear that there was no one source for them to use as in-depth, guide to quant strategies and how to approach evaluating them.

With the release of his reference book Inside the Black Box: The Simple Truth About Quantitative Trading Narang hopes to provide investors with the information that will help them both evaluate managers for allocations and track those managers once invested.

"I find what quants do to be eminently understandable. They cover a wide variety of strategies and with "Inside the Black Box" I wanted to give investors a framework at how to look at and evaluate this space," says Narang.

Domain knowledge Ergos has always invested through separate accounts in order to maintain optimal levels of transparency into the managers through which it invests. Even prior to the current trend towards separate account structures, Narang says that Ergos never saw resi......................

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