Trading screens

Ex Winton scientist to launch systematic trading fund 

Tue, 28/08/2012 - 06:15

Thomas Morrow, ex Winton Capital Management senior scientist, plus other leading experts in the field of quantitative trading, have teamed up to expand the successful Aquantum index business to provide systematic managed futures funds and managed accounts.

Morrow left Winton in 2008 to set up Aquantum S.à r.l, the Luxembourg-based provider of systematic investment indices to issuers of structured investment products. This led to a licensing agreement with Royal Bank of Scotland (RBS) and the launch of a series of Aquantum index-based products, which to date have attracted more than USD1 billion of investment notional. The establishment of Aquantum AG as a new asset management division builds upon this success.

“Given the popularity of our indices, the establishment of a full-scale asset management business to directly harness Aquantum’s unique quantitative trading expertise is a natural next step,” says Morrow.

Other key members of the Aquantum team include Moritz Seibert, previously responsible for RBS’s equity structuring business in the Americas, as well as Dr Jochen Mirth, Mr Christian Schneider and Mr Oliver Grimm (all former partners of Assenagon Group, the Luxembourg-based fund manager with over EUR10 billion in assets under management). Together with Dr Oliver Podobrin, a former CERN scientist and leading derivatives expert, they bring significant financial engineering and operational expertise to the team.

The firm’s advisory board meanwhile includes Perry Kaufman, the renowned systematic trading expert and widely cited author of books on technical trading.

Aquantum’s approach involves applying advanced mathematical models to various forms of data in order to systematically exploit market inefficiencies, with all models tested against large number sets, thereby exposing them to a wide range of market, economic, and political changes. Aquantum can trade in over 100 markets, across a variety of asset classes. Trading strategies cover the areas of trend following, countertrend trading, spread programs, pattern recognition, and machine learning.

“We believe in the systematic approach because we know that markets are not fully efficient, which means consistent arbitrage opportunities do exist. However, many of the existing quantitative investment systems are prone to weaknesses, especially when the investment size linked to those systems rises to high levels,” says Seibert, who together with Mr Morrow is responsible for Aquantum AG’s research and portfolio management. “By harnessing the talents of our team members, who all have distinguished track records in their fields, and by applying the latest technology and thinking, we seek to offer a managed futures product that really does offer persistent positive performance, uncorrelated with other investments.”

With offices in Munich, Oxford, Luxembourg and New York, the firm plans to launch its first UCITS-compliant fund in the fourth quarter.

A further announcement will be made upon fund launch.


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