London-based BlackTree Investment Partners is readying a quantitative fund to invest in currencies in developed markets. The fund has been seeded with some US$25 million by a “well-known” name in the currency space and has further commitments of US$75 million, according to investors familiar with the firm.
The source said BlackTree’s management, which includes Thomas Soede, Alexei Jiltsov, Balraj Bassi and Anne Sanciaume-Blankert, was instrumental in the research and development of macro quantitative trading strategies at Lehman Brothers for the past 10 years, and is now looking to build upon their previous experiences to launch their own fund, which is less constrained in terms of trading ideas.
After Lehman’s implosion, the foursome grouped together and after five months of prep work is ready to launch a new currency fund, which will use a rules-based investment framework to derive alpha from the currency markets. The fund will be focused on liquid instruments: 95% in G10 markets and 5% in liquid emerging markets.
“Currencies are an increasingly attracting alpha option given the current state of the hedge fund industry as they are transparent, liquid, and potential returns are uncorrelated to equity markets and are performing well in recent times,” said the investors.
The firm is currently busy getting approval from the Financial Services Authority for the new offering as well as building out its infrastructure.