By Lawrence Delevingne
NEW YORK, Oct 28 (Reuters) - The Canada Pension Plan
Investment Board has invested money with hedge fund firm
Engineers Gate, its latest bet on so-called "quant" managers
whose market bets are guided by elaborate computer algorithms,
according to a recent disclosure.
CPPIB, which invests more than $200 billion on behalf of
current and future Canadian retirees, is one of the largest
pools of pension capital in the world.
Quants are increasingly popular with investors because they
are seen as having a better chance of performing well when
other, more common strategies are faltering.
New York-based Engineers Gate was formed in early 2014 by
Glenn Dubin, who co-founded Highbridge Capital Management, a
hedge fund and private equity manager that was sold to JPMorgan (N:JPM)
Chase & Co JPM.N . Dubin holds a majority stake in Engineers
Gate and is chairman, according to filings with U.S. regulators.
The firm's investments are run by a team of portfolio
managers, including veterans of quantitative trading strategies
at SAC Capital Advisors, the former hedge fund firm owned by top
investor Steven Cohen and Citadel Llc, founded by Ken Griffin,
another successful investor, They have doctorates in subjects
such as mathematics and computer science, as opposed to MBAs, a
traditional Wall Street degree, according to public biographies.
Engineers Gate comes from the name of one of the entrances
to New York City's Central Park.
Quant strategies have posted relatively strong performance
this year, a difficult one for other hedge funds. The HFRI
Equity Hedge Quantitative Directional Index gained 0.13 percent
over 2015 through September, beating a loss of 1.35 percent by a
composite index of all hedge fund strategies measured by HFR, a
performance tracker.
Part of the CPPIB's assets, about $910 million, go to
external hedge funds, including a stable of managers with a
quantitative bent.
The funds include vehicles managed by Capital Fund
Management, OxFORD Asset Management, Two Sigma Investments,
Amplitude Capital and AQR Capital Management, according to
public disclosures.
CPPIB's approximately 60 external fund managers also include
other large firms such as Bridgewater Associates, Elliott
Management and Pershing Square Capital Management.
CPPIB also has a quantitatively driven internal unit that
makes short-term market bets, called Short Horizon Alpha. Alpha
is a measure of investment returns above a market index, and is
meant to represent the value added by the manager.
The size of the CPPIB investment in Engineers Gate wasn't
clear. As of June, Engineers Gate had invested a total of $645.7
million, including borrowed funds, according to public filings.
Tudor Investment Corp founder Paul Tudor Jones is a minority
owner in Engineers Gate, holding an equity stake of at least 10
percent, according to disclosures.
Spokesmen for CPPIB and Engineers Gate declined to comment.
(Editing by Jeffrey Benkoe)