Fulcrum Asset Management LLP, the $1.4 billion computer-driven hedge fund group founded by former British Broadcasting Corp. Chairman Gavyn Davies, has lost its head trader, James Horrocks.
Horrocks resigned Dec. 31, according to a filing on the website of the U.K.’s Companies House. He left after four years at the firm for personal reasons and will be relocating to South Africa, Chief Executive Officer Andrew Stevens said in a telephone interview from London today. A replacement has been found and will be announced in due course, he said.
Fulcrum Alpha, the company’s flagship fund, returned 1 percent net of fees in 2012, according to data compiled by Bloomberg, beating the 3.4 percent decline in the Newedge CTA Trend Sub-Index, which tracks the performance of the largest computer-driven, or quant, funds. Alpha lost 8.9 percent the previous year and has returned 31 percent since its inception in 2006, compared with a 16 percent increase in the Newedge index.
Fulcrum made money in 2012 as many of its biggest peers experienced losses. Man Group Plc’s AHL Diversified $17 billion fund lost 2.1 percent last year while the $10 billion Winton Futures Fund Ltd. slid 3.5 percent, according to investors. BlueCrest Capital Management’s $14 billion trend-following fund gained 0.02 percent.
Alpha is a “quantitative global macro fund that combines fundamental economics, behavioral finance and short term macro dislocation trading strategies,” according to Fulcrum’s website. It invests in currency, equity, fixed income and commodity markets.
Before joining Fulcrum in 2008, Horrocks spent five years running statistical arbitrage strategies at Man Group. Prior to that, he was a trader at banks including JPMorgan Chase & Co. and Societe Generale SA.
Davies, who was a managing director at Goldman Sachs Group Inc. from 1996 to 2001 and an advisory director until 2004, is also a founding partner of Prisma Capital Partners LP, a fund-of-hedge-funds manager that was acquired by KKR & Co. in June. He was chairman of the BBC from 2001 to 2004.