Singapore-based AQG Capital Management is all set to launch
its market-neutral, pan-Asia equity quant fund at the beginning
The Able Quant Master Fund, which starts with a seed capital
of $100 million solely provided by Korean firm Hyundai
Securities, is one of the more highly-anticipated hedge fund
launches in the region this year given the size of funding it
has already attracted. The Monetary Authority of Singapore is
understood to be issuing AQG’s hedge fund license
The market-neutral long/short strategy will initially trade
across Asian liquid markets such as Korea, Hong Kong, Japan and
Australia but will eventually diversify exposures to include
other markets around the region. The focus of the strategy will
always be pan-Asia and not on any single market in the region,
according to the managers.
AQG chief investment officer Hongshik Kim says the strategy
is relatively less trading-oriented compared to other quant
funds since it will limit portfolio trading to only once a
month using a quant-based multi-factor model to select stocks
in the four Asian markets to populate the portfolio.
AQG’s proprietary multi-factor model was
developed based on the experience of the team’s
individual managers over the years. It inputs various factors
numbering in the thousands to determine quantitatively which
Asian stocks to buy or sell short.
AQG will start marketing the fund to investors three to four
months after launch and will soft close the strategy once it
has scaled to a $1 billion size. "We have to establish a good
track record of delivering consistent and stable risk-adjusted
returns," said Kim.
The strategy targets a conservative Sharpe ratio of
between1.5 and 2 and an average yearly return of 13-14%. Kim
says that a back-test indicated a hypothetical return of least
9% in the first seven months this year from the unique trading
Before joining AQG, Kim was the chief investment officer of
K3 Capital Management, a pan-Asia multi-strategy hedge fund
that he established in 2006 after leaving ABN AMRO.
The fund delivered a high double-digit return in 2007 but
took a hit in 2008 following market turmoil as a result of the
Lehman Brothers bankruptcy.
Before K3, he successfully headed ABN AMRO’s
Asian equity-linked platform from 2004 to 2006. He had also
served as a senior executive vice-president at Shinhan
Securities, the investment banking arm of Korea’s
third largest listed financial group, where he oversaw all
equity and fixed-income trading divisions. He holds a doctorate
in finance from the University of Missouri-Columbia
The other members of the AQG investment team are former
Korea Investment Corporation (KIC) portfolio manager Minsoo Seo
and former Shinhan Bank prop trader Sung Won Oh.
Seo used to run a $1.5 billion equity portfolio at KIC while
Oh is considered one of the most experienced traders in South
Korea. The firm has also hired two other junior analysts and
appointed former Korea Technology Bank executive Daero Won as
its COO. The group has selected Goldman Sachs and Morgan
Stanley as its prime brokers while Citco has won the mandate to
administer the fund.