Japan’s GCI, Orix Target Market Volatility With Quant Fund

Jun 10 2010 | 1:16pm ET

A pair of Japanese hedge funds is joining forces to launch a quantitative fund seeking to profit from the market turmoil.

GCI Asset Management and Orix Investment Corp., both based in Tokyo, today launched their Orix Commodities Fund, only the sixth commodity-trader adviser in Japan. While technically a CTA, the fund will trade a wide variety of futures and options, including those on stocks and bonds, with about half of its assets invested in commodity futures.

The fund will use its computer models to seek out price signals on derivatives traded on 80 markets, Bloomberg News reports. Most of the fund will be invested outside Asia, with only 20% to 30% invested locally, Orix chief trader Atsuhito Mori said.

“CTAs have had a record of being the sole winners in every market crisis, including the Lehman collapse,” Mori told Bloomberg. “Being one of the few Japan-based CTAs, we will aim to capture the appetite of those seeking Asian exposure.”

While the fund is new, the strategy is not: Orix has employed it for some 15 years with proprietary capital and capital from some U.S. institutional investors. In that time, it has posed annualized returns in excess of 10%. But Orix will not manage the fund alone: While its Singapore-based affiliate will be the fund’s manager, Mori will lead a team that directs strategy.

The fund debuted with ¥4 billion. GCI and Orix hope to increase that total to ¥30 billion over the next three years.

GCI said the fund is the first in its “umbrella trust” platform. The firm hopes to add several “promising” Japanese hedge funds and Japan-focused hedge funds to the platform in the future.

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