Professor Paul van Rensburg has formed his own asset management company, Salient Quants, as of 1 July, taking with him his long/short equity
The SalientQuants SA Hedge Fund employs a statistical arbitrage strategy to invest in Johannesburg Stock Exchange-listed equities. It has returned 23.45% since inception last August, with no down months (see South AfricaHedge July/August 2006).
The fund now has R81 million under management, including seeding from Hedgehog Capital, which has until now had sole access. Van Rensburg will begin talking to other investors this month and is looking to soft-close the strategy at around R400 million.
The fund uses multifactor stock selection models, diversified across more than 15 factors at any one time, to accumulate a range of small positions. Van Rensburg will typically have up to 100 active positions spread over both the long and short sides.
Van Rensburg's proprietary quant process is the result of years of ongoing research. He is the University of Cape Town's professor of finance and has been active in asset management since 1998, including as head of research at Futuregrowth before joining Kagiso as senior portfolio manager and head of equities.
Kagiso continues to use Van Rensburg's quant system under licence on the long-only side, with more than R12 billion under management. The Kagiso Active Quants Fund remains the best-performing unit trust in the country of the 65 funds listed in the general equity sector.