Gorton's LDFM Takes Full Control of Brevan Howard Quant Fund

Mar 18 2016 | 10:28pm ET

David Gorton’s London Diversified Fund Management has reportedly assumed full control of a $450 million quantitative hedge fund managed by a joint venture between it and Brevan Howard Asset Management, as Alan Howard’s company continues to refocus on its flagship macro strategy.

Brevan Howard will have a stake in Gorton's firm, while Gorton will continue to manage some money for Brevan Howard as part of the agreement, according to a Bloomberg article citing unidentified persons familiar with the matter. 

Brevan Howard and Gorton formed the joint venture, named DG Systematic Trading, in early 2010 to manage Brevan’s Systematic Trading Fund, the company’s first pure quant vehicle. It was initially seeded with $300 million from Brevan, according to media reports at the time, and about $200 million of the fund’s current AUM is from outside investors.

The quant fund is up about 11% for the year through the end of February, noted the article, following a -1.4% loss last year.

The step comes as Brevan Howard seeks to reassert focus on its flagship macro hedge fund strategy after losses in each of the last two years, and a tumbling asset base that has dropped from a peak near $40 billion in 2013 to under $25 billion as of the end of February. Steps have included the spin-off of non-core funds, such as David Warren’s $6 billion credit fund DW Partners. 

Macro funds have been under severe pressure since mid-2015 amid significant market volatility, which has taken a high toll among managers. Fortress Investment Group closed its $2.3 billion macro business last year, BlackRock shuttered its $1 billion Global Ascent macro fund, while Bain Capital wound down a $2.2 billion macro fund. 

On the other hand, former Brevan Howard co-founder Chris Rokos had little trouble raising approximately $3.5 billion for his new macro fund earlier this year.

Gorton spun London Diversified Fund Management out of JP Morgan Chase in 2002. The firm focuses on fixed-income markets with a strong emphasis on liquidity, risk control and investor transparency, according to its website.

In Depth

PAAMCO: Will Inflation Deflate the Asset Bubble?

Jan 30 2018 | 9:49pm ET

As the U.S. shifts from monetary stimulus to fiscal stimulus, market pricing should...


CFA Institute To Add Computer Science To Exam Curriculum

May 24 2017 | 9:25pm ET

Starting in 2019, financial industry executives sitting for the coveted Chartered...

Guest Contributor

Boost Hedge Fund Marketing ROI By Raising Your ROO

Feb 14 2018 | 9:57pm ET

Tasked with delivering returns on client capital, a common dilemma for many alternative...