Quant-loving Canadian pension fund backs new hedge fund

Wed Oct 28, 2015 12:19pm EDT
 
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By Lawrence Delevingne

NEW YORK Oct 28 (Reuters) - The Canada Pension Plan Investment Board has invested money with hedge fund firm Engineers Gate, its latest bet on so-called "quant" managers whose market bets are guided by elaborate computer algorithms, according to a recent disclosure.

CPPIB, which invests more than $200 billion on behalf of current and future Canadian retirees, is one of the largest pools of pension capital in the world.

Quants are increasingly popular with investors because they are seen as having a better chance of performing well when other, more common strategies are faltering.

New York-based Engineers Gate was formed in early 2014 by Glenn Dubin, who co-founded Highbridge Capital Management, a hedge fund and private equity manager that was sold to JPMorgan Chase & Co. Dubin holds a majority stake in Engineers Gate and is chairman, according to filings with U.S. regulators.

The firm's investments are run by a team of portfolio managers, including veterans of quantitative trading strategies at SAC Capital Advisors, the former hedge fund firm owned by top investor Steven Cohen and Citadel Llc, founded by Ken Griffin, another successful investor, They have doctorates in subjects such as mathematics and computer science, as opposed to MBAs, a traditional Wall Street degree, according to public biographies.

Engineers Gate comes from the name of one of the entrances to New York City's Central Park.

Quant strategies have posted relatively strong performance this year, a difficult one for other hedge funds. The HFRI Equity Hedge Quantitative Directional Index gained 0.13 percent over 2015 through September, beating a loss of 1.35 percent by a composite index of all hedge fund strategies measured by HFR, a performance tracker.

Part of the CPPIB's assets, about $910 million, go to external hedge funds, including a stable of managers with a quantitative bent.   Continued...