Sac plans major increase in quantitative strategies

New York-based hedge fund Sac Capital Advisors is planning a major increase in its use of quantitative fund strategies, with their share of Sac’s total assets under management set to grow from a current 5% to as much as 20%.

Sac currently manages about $4 billion of funds, meaning about $200 million of assets are invested in quantitative strategies. This figure could swell to $2 billion within five years, based on Sac’s minimum annual return on capital target of 20% per annum with a Sharpe ratio of between 1.5 and 2.

The hedge fund hired Neil Chriss, an ex-Goldman Sachs interest rate swaps trader and former president of electronic brokerage Icor, on January 2 as managing director of quantitative strategies (see: Reuters readies for swaps broking foray), reporting to Chad Loweth, head of business development, and other senior managers. Chriss will spearhead the effort to boost quantitative exposures.

“The idea is to hire the best quantitative talent in the world,” Chriss told RiskNews. “My job is to put in the right infrastructure, and the right people and resources.” But he declined to comment on potential raids on other firms, saying the number of new recruits would depend on the talent available. Sac is likely, however, to hire in teams of quants and traders.

Strong performance at Sac’s current quantitative strategies is believed to underpin the aggressive plans to increase activity in this area, although Chriss declined to provide details on the performance of any Sac funds.

Chriss said the creation of new statistical arbitrage and high frequency strategies as well as fixed income and currency strategies were attractive to the firm. These strategies would help Sac diversify risks in its funds.

Sac hired Barry Schachter, a prominent name in the financial engineering industry, in October as head of risk management (see: Schachter quits Caxton for Sac Capital Advisors). He previously worked at the $9 billion Caxton fund.

Sac currently employs about 300 staff.