Deutsche quant trio plot Auriel systematic approach to macro
EuroHedge Magazine
May 2nd 2004

Larry Abele, Anoosh Lachin and Asif Noor have moved on from Deutsche Asset Management in the past month and are now planning to launch their own hedge fund operation in London, called Auriel Capital Management. The trio's new fund, based on a systematic approach to global macro, is expected to lauch in July with initial assets of at least $25 million.

The investment team have extensive experience in quantitative management strategies, and are still retained by Deutsche on a consultancy basis. Abele worked at First Quadrant and then Barclays Global Investors in the US before joining Deutsche in January 2000, where he developed a global tactical asset allocation overlay programme used for some $20 billion of assets.

Lachin was with IKOS, the London-based quant boutique, for three years before he joined Deutsche in 1999, where he jointly developed the DB Equilibria equity hedge fund. Noor worked for Barra RogersCasey in the US before he also joined Deutsche to work on quantitative research and portfolio engineering.

Auriel has developed a quantitative model-based approach to assess a mulitude of factors affecting bonds, equities and currency markets, ranging from short-term to long-term momentum and mean reversion, to the outlook for economic growth, relative valuations, and market sentiment. The model generates signals, which are used to build a long/short market neutral portfolio for each of the asset classes. The aim is to 'harvest' multiple small anomalies in a systematic, scientific and scalable process.