Macquarie Group Ltd. plans to start a quantitative hedge fund this year that will invest in stocks listed in the U.S., Canada, Brazil, Chile and Mexico, said people with knowledge of the matter.
The fund will trade stocks in the Russell 2000 Index, avoiding larger companies targeted by peers, said the people, who asked not to be identified as the information is private. It is expected to have the capacity to manage $1 billion of assets, including allocation from a global fund that Macquarie is starting, they added.
One in three investors in a Deutsche Bank AG survey said they will allocate more money to quantitative hedge funds this year, including equity strategies similar to Macquarie’s, after strong performance in 2014. In the past year, Ray Dalio’s Bridgewater Associates and Steven A. Cohen’s Point72 Asset Management have been among firms that hired people or created new units that use computers to help with investment decisions.
Nick Bird leads a Macquarie team of more than 20 people in Hong Kong, Sydney and New York that picks stocks with computer models without betting on broad market moves. Their investment approach allows fund managers to override decisions made by computers when the markets are at major turning points -- like in the wake of the 2008 global financial crisis -- or because of issues such as regulatory risks or mergers, the people said.
Fiona McDonald, a Hong Kong-based spokeswoman for Macquarie, declined to comment on the fund plans.
Macquarie is starting the Americas fund after assets for its Asian quantitative equity hedge-fund strategy reached $2 billion and a similar strategy focused on Europe gathered $759 million, according to March newsletters sent to investors. Both have hit their investment capacity and stopped accepting more money from investors, the people said.
Macquarie will cap the size of the global fund at $1 billion and it will allocate capital to the three regional strategies, the people said.
The Macquarie Asian Alpha Fund, the team’s oldest, has had a compounded annual return of 9.3 percent between inception in October 2005 and March, according to its newsletter. The Eurekahedge Asian Hedge Fund Index returned an annualized 7.9 percent over the same period.
The fund, one of the largest quantitative equity hedge funds focused on the region, started with $20 million of Macquarie capital in 2005, one of the people said.
The European fund generated a compounded annual return of 11 percent since inception in August 2012, according to its newsletter.
Some large institutions, such as sovereign wealth funds, pensions and endowments, have used Macquarie’s quantitative funds as substitutes for bond investments because of their stable returns, the people said.