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2007 wasnÆt a good year in general for quant funds, and some of the big names came a cropper in August, as their black boxes went into meltdown mode.
Nevertheless, Cornucopia Capital Partners launched its new Cornucopia Alpha Fund with partnersÆ money in late-2007. It now stands at $22 million in size.
The fund is now hoping to blossom via its first foray into capital raising and targets $500 million from funds of funds, university endowments, private banks, institutional investors and family offices.
CornucopiaÆs strategy is a process-driven quant model concentrating on Asia, but with a component of US stocks (especially where inclusion of those foreign stocks can offer some additional depth and scope to shorts). As well as the pure quant strategy, Cornucopia also has a sub strategy incorporating a qualitative overlay, which involves a top-down specific sectoral choice bolted on to the quant machine.
Cornucopia was founded by Dr Kevin Chan, who used to work at Goldman Sachs Asset Management and then Sparx in Tokyo. He is the chief modeler and co-portfolio manager along with Johnny Heng, who was formerly global head of trading and quantitative equities at the Government of Singapore Investment Corporation.
The third co-founder is William Choy, who used to be chairman of Asian equities at Citigroup, and before then, ran Asian equities for Warburg and Salomon Smith Barney.
The fund targets volatility of 15% and three-quarters of the way through its first year is down by 5%, (which the founders think is a satisfactory performance in relation to other global quant funds during the same period).
Leverage does not exceed 300%, and net exposure is on average 60%, though at present stands below that number. There is a management fee of 2% and a performance fee of 20%.
Service providers are Morgan Stanley as prime broker and Fortis as administrator.
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