London quant shop launches new improved strategy Simon Wajcenberg

Simon Wajcenberg, CEO of K1T Capital Ltd, a systematic quant based hedge fund asset manager based in London and founded in late 2013, said the firm had launched an improved investment strategy, TS18, which began live trading on 21st July.

The new strategy is for the fund K1T was planning on launching last summer, K1T Capital Quant Fund.

K1T optimised and improved the technology and thereby the trading strategy, Wajcenberg told Opalesque. The new strategy, TS18, trades the S&P 500 and S&P400, whereas the old strategy only traded the S&P 500, he explained. The Sharpe ratio was also improved from 2.0 to 2.5.

"The new strategy is also hedged, which obviously reduces risk and is a factor in the higher Sharpe ratio," he said.

Based on a 17-year hypothetical back tested performance (1998-2014), TS18 annualized almost 28% (gross). It is fully hedged, uses low leverage and only invests in highly liquid markets.

The fund is open to new investments.

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This article was published in Opalesque's New Managers a top-down monthly analysis, news and research publication on the global emerging manager space.