SAC Plans Quantitative Boost
SAC Capital Management, a long/short equity hedge fund with approximatel USD4 billion under management, has hired Neil Chriss, co-founder and president of brokerage firm ICor in New York, to increase the hedge fund's assets dedicated to quantitative strategies capabilities. SAC plans to increase its use of quantitative strategies, such as statistical arbitrage, by both growing its assets under management and boosting the relative importance of the strategies in its group, according to Chad Loweth, managing director and head of business development in Stamford, Conn. Quantitative strategies could jump to 20%, from 5% of the firm's assets under management, added Loweth.
Chriss, who joins in the new position of managing director of quantitative strategies, was hired to bring on board and manage hedge fund experts with experience in quantitative portfolio management. The managers will be able to use the full remit of over-the-counter derivatives. Chriss said the number of managers he hires will depend on the talent available. SAC looks for a minimum return on capital of 20% with a Sharpe ratio of around 1.5 or 2.
At SAC, Chriss will report to Loweth and SAC senior management. Chriss has become a non-executive director of ICor and he will not be replaced as president. Jeff Larsen, co-founder and ceo, will take control of the company.