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Ermitage attracts former FRM specialist to head Portfolio Construction & Risk

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Following its leveraged buyout from Liberty Group in May, Ermitage Limited has appointed Nick Macleod as Head of Quantitative Research & Risk Management.

Macleod, a leading light at rival fund of hedge fund house, FRM, will report to Chief Operating Officer, Mark Hucker, and he brings 13 years’ hedge fund experience with an emphasis on quantitative strategies, risk measurement and portfolio construction to the firm. Based in Jersey, Macleod heads up a dedicated Portfolio Construction & Risk team of four professionals, which works alongside Ermitage’s Hedge Fund Research team. 

His appointment is seen by Ermitage as the final piece of the jigsaw in taking the company’s quantitative research and risk management capability to the next level, and coincides with the company recently breaking through the USD 2bn assets under management barrier in alternative investments.

Macleod, whose views and analysis have been published by several journals, is a Fellow of the Institute of Mathematics and its Applications and a Chartered Mathematician, amongst other qualifications.

Ermitage has invested significantly during recent years in the refinement of its proprietary hedge fund database LEWIS, which is complemented by specialist best of breed analysis software.

"Nick has proven that he can produce workable solutions to some of the more intractable, real-world problems faced in the fund of hedge fund world,’ says Mark Hucker, Ermitage’s Chief Operating Officer. ‘These solutions are driven by a very clear understanding of the quantitative and statistical issues in combining managers, coupled with an in depth knowledge of investment strategies.  We believe Nick’s appointment is one of the final pieces in the jigsaw of the investment process we have been advancing over the past two years. We expect him to provide significant value to new and existing clients, both in the creation of optimised bespoke portfolios and in the analysis and reporting of performance for our established fund of hedge fund products.’

Commenting on his appointment Macleod adds: ‘Hedge funds typically refuse to adopt conventional benchmarks due to their dynamic investment strategies and non-standard return distributions, and as such, are prime candidates for analytical methods that reduce their complexities to manageable proportions. Many standard statistical techniques fail to come to grips with hedge fund return data, thereby confusing rather than clarifying the issues. My experience has convinced me that effective quantitative analysis starts from a thorough understanding of real-world problems, coupled with a willingness to develop methods specifically suited to their individual features – rather than relying on textbook answers to idealised questions. I am very excited with the opportunity I have at Ermitage to apply the insight and techniques I have developed and fine-tuned over the years.’

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