After two decades of managing traditional equity strategies, Roxbury Capital Management has launched its first hedge fund.
The $3 billion Santa Monica, Calif.-based firm’s RQS Migration Fund, a quantitative long/short vehicle, debuted in September with $5.4 million in assets. The fund now manages about $8 million and has returned an estimated 11.1% in its first four months of trading, benchmarked against the Russell 3000 Index.
The fund is agnostic to capitalization, growth, value or sectors and uses a behavioral, quantitative model to predict demand shocks in stocks, which tend to be driven by analysts’ information, according to Jon Foust, head of marketing and client services.
“What we’ve heard from large hedge fund of funds players is that it’s different from any other quant model out there because it is based on behavioral dynamics in a given stock as opposed to fundamentals,” he said.
“From a placement standpoint, it can be very complementary in uncorrelated returns to the traditional quant funds that have gotten a black eye in the back half of 2007.”
The Migration Fund charges a 2% management fee and a 20% incentive fee, with a $1 million minimum investment requirement.