Quant shop Amplitude Capital....

Hedge Fund Exclusive: Quant shop Amplitude Capital grows to $700m in 3 years and announces new high frequency, stat-arb, equity fund launch for October 1 By Kirsten Bischoff, Opalesque New York: Amplitude Capital, founded in 2005 with $5m has grown to $700m over the past three years and will launch a new high-frequency, stat-arb equity fund in October 2008. Opalesque recently had the opportunity to catch up with Amplitude CEO and founding partner Karsten Schroder and learned a bit more about the fall launch of Amplitude Select.

Amplitude Select - a new spin on an established program
Amplitude's flagship fund, The Amplitude Dynamic Trading Fund is a CTA which trades highly liquid exchange-traded futures across all asset classes. The new fund, Amplitude Select Fund will utilize many of the same program components of the flagship fund however Select will invest in single stocks. With a target launch of $50m, the fund's program will determine and trade a basket of the 300 most liquid US based stocks and Schroder expects to add a basket of European stocks and possibly another of Asian stocks at later dates. By using technical indicators such as price and volume, and trading at a very high frequency the Select strategy is completely disconnected from the fundamental world, and efficiently exploits the "herd mentality" rampant in the markets has shown pre-launch returns non-correlated to other US stock funds.

Amplitude's flagship - a double edged sword slicing through the credit crunch
The Amplitude Dynamic Trading Fund has found itself in the envious position of being both a quant fund and a CTA during a market environment whereby traditional quant funds have thrived due to the emotional trade reactions of a volatile market and CTAs have had the strongest performance across all asset classes (Barclay CTA Index is +7.56% YTD and the Barclay Alternative Edge Short-Term Traders Index is +9.84% YTD). Outspoken about the media's portrayal of quant funds during the credit crisis, Schroder points out the definition of a true quant fund is one which completely neglects fundamental market information and trades purely on technical information. These pure quant funds have been able to exploit the emotional and opinion based trend swings in the market and take advantage of the increased volatility during the year-long credit crisis. In fact, Schroder noted in a discussion about the credit crisis during the June Opalesque London Roundtable (download here), "assets actually started coming in with the start of the credit crisis....

Source:
http://www.opalesque.com/AMB2008/46569Fund_launches_Quant_shop_Amplitude_Capital.html


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