Former JPMorgan Executive Launches Brazil Long-Bias Quant Fund

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(Bloomberg) — A Brazilian asset manager created by a former JPMorgan Chase & Co. executive is launching a long-bias quantitative fund.

EnterCapital Gestao de Recursos Ltda. is looking to raise about 500 million reais ($90 million) from clients who want “a dynamic allocation” to Brazilian stocks, according to co-founder Renato Naigeborin.

The fund, called EnterCapital Pascal, will use the firm’s own algorithms to implement automated trading strategies and pick investments, keeping the exposure to Brazilian equities at 50% to 100% of total assets, Naigeborin said in an interview.

It will use a wide array of approaches, from taking advantage of arbitrage opportunities to surfing trends in prices. The benchmark will be inflation measured by IPCA plus an average interest rate in inflation-linked Treasury bonds.

Naigeborin, formerly head of equity-trading strategies at Banco Bradesco SA, joined Jayme Fernandez, previously JPMorgan Chase & Co.’s head of Latin America equity trading, to create EnterCapital in 2018. In 2019, they started their first quant fund, EnterCapital Turing, which now has 185 million reais in assets, including a pension fund exclusive to Bradesco. It trades equities, equity indexes and futures, and futures for currencies and interest rates in Brazilian markets, and will soon start investing in markets abroad in search of liquidity, Naigeborin said.

Turing posted returns of almost 18% since it started in October 2019, 9.54 percentage points more than its benchmark, the interbank rate DI, according to data compiled by Bloomberg. Pascal will seek investors with more tolerance for risk, Naigeborin said.

“Pure” quantitative funds, those that don’t focus on risk allocation, have more than tripled in size in Brazil in the past two years, to about 15 billion reais, Naigeborin estimated. That represents a bit more than 0.2% of Brazil’s total fund industry of about 6.9 trillion reais as calculated by Anbima, the nation’s capital-markets association.

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