Quant Trader Offers New Portfolio Weighting Equities Program

Jun 20 2007 | 8:31am ET

Janu Subramanian, principal of Woodside, NY-based Jai Guru Capital Management, is looking to offer investors a non-directional take on the equities market. Subramanian is launching the Jai Guru Dynamically Weighted Global Equity program next month, which leverages inter-market volatility and dynamic weighting to produce non-directional alpha.

“What we do is weight parts of the portfolio and we keep changing these weights so it is not directional,” explained Subramanian. “Entry point is not so important as much as the relative weights of various parts of the portfolio. The alpha is primarily from portfolio weighting. We don’t think about our portfolio as longs and shorts. We think about it as a bunch of positions and optimal weightings at that moment.”

Subramanian’s motivation behind the product launched stemmed from what he perceives as the lack of alpha in the hedge fund industry. “What was considered as alpha before is disappearing and a lot of the traditional hedge fund strategies are becoming beta, which can be replicated using indices like HFR, so investors need something totally different,” he said.

The program charges a 2% management fee and a 20% incentive fee.

Prior to founding Jai Guru Capital Management in 2002, Subramanian was head of quantitative finance at Integral Development Corporation.  From 2004-2005, he managed the Jai Guru Futures Select program, which uses change in fractal dimension to make selective bets on the short-term movements of various futures markets.

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