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SAC Said to Open Quant Fund as Main Fund May Close to New Money

SAC Capital Advisors CEO Steven Cohen
Steven Cohen, founder and chief executive officer of SAC Capital Advisors LP, speaks during the SkyBridge Alternatives (SALT) conference in Las Vegas on May 11, 2011. Photographer: Ronda Churchill/Bloomberg

SAC Capital Management LLC, the $14 billion investment firm founded by Steve Cohen, is opening a fund specializing in quantitative trading, its first new fund in six years, according to two people familiar with the decision.

The hedge fund will be managed by SAC’s 20 teams of so-called quant traders, who buy and sell stocks based on signals from computer models, said the people, who asked not to be identified because the Stamford, Connecticut-based firm is private. Current investors asked SAC to open the fund, which will launch in the third quarter, the people said. Quantitative investing makes up about 15 percent of the roughly $35 billion, including leverage, that the firm manages.

“Some investors want quantitative funds because they are very liquid and a good diversification from fundamental long-short equity,” said Larry Chiarello, a partner at SkyView Investment Advisors LLC in Shrewsbury, New Jersey, which places money with hedge funds.

SAC, which has attracted about $1.5 billion into its main fund since mid-2010, told clients last week that it is considering closing that fund to new investments to ensure that returns remain high. Cohen, who has averaged gains of 30 percent a year, kept the fund closed for its first 13 years.

“You start with $23 million -- if you asked me if we were going to get to $100 million, I would have been surprised,” Cohen, 54, said last week during an interview at SkyBridge Capital LLC’s hedge-fund conference in Las Vegas.

Winding Down Fund

Jonathan Gasthalter, a spokesman for SAC Capital, declined to comment.

SAC opened a multistrategy fund in 2005 that offered clients a range of strategies beyond equities, including fixed-income, private-equity and macro investments. In exchange for an initial three-year lock-up, investors were charged 3 percent of assets and 35 percent of gains, compared with 3 percent and 50 percent for the main fund. Cohen is winding down that fund after many of the strategies lost money in 2008, according to two people familiar with the decision.

The main fund climbed 8 percent this year through April, compared with a 5.7 percent increase for Bloomberg’s Long/Short Equity hedge fund index.

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