NEW YORK – Singapore sovereign wealth fund GIC has scaled back a core quantitative unit set up in 2016 under former Goldman Sachs Group banker Percy Wong, following a “tough” internal rethink of its investment teams and strategies.
The Systematic Investment Group (SIG), which had about 30 staff earlier in 2023, is being reorganised with some team members reassigned to different units while others are leaving to join external quant firms, according to people familiar with the matter.
Mr Wong, who joined GIC in 2012, is also poised to leave, said the people, asking not to be identified discussing a private matter. Mr Wong did not respond to requests seeking comment.
“The large majority of the existing team members will remain in GIC and continue to integrate quant skill sets into the business,” a GIC spokesman said in a statement. “We expect fewer than 10 members to leave.”
The SIG had underperformed some of its peers within GIC, said the people, without elaborating.
While some of the world’s best-known quant funds managed to deliver stellar performances during a challenging 2022 – raising the bar for similar strategies – the industry is having a more difficult 2023 even as global stocks rise.
GIC this week reported its worst annualised five-year returns since 2016, citing the slowing global economy following Russia’s invasion of Ukraine and rising inflation.
“Constantly evaluating each and every team is par for the course,” said chief executive officer Lim Chow Kiat, in an interview this week.
GIC has lots of partnerships with external managers because they are particularly good in some areas, he added. “If our expectation is that net of fees returns are going to be great, then of course we have to do so rather than build our own team.”
Quant hedge funds use detailed research, statistical modelling and maths to turn huge reams of data into investment ideas.
Firms that run these strategies have raised hundreds of billions of dollars around the world, despite some critics claiming the benefits are overstated.
The SIG was traditionally considered a core part of the fixed-income and multi-asset department, led by Fixed Income and Multi Asset chief investment officer Liew Tzu Mi.
GIC’s efforts to use data to invest started with a bang, hiring former Point72 Asset Management chief data scientist Michael Recce in 2016. Ms Fanesca Young – a quant expert from Los Angeles Capital Management – joined in 2017 and was head of global systematic equities.
But Mr Recce left the firm within months to join Neuberger Berman Group in New York, while Ms Young moved to Boston-based Acadian Asset Management in 2023, according to her LinkedIn profile.
Other efforts by GIC to drive cutting edge quant-related strategies and ideas included setting up a skunkworks called Kepler FI in 2017. The New York-based unit was wholly-owned but autonomous and supposed to create new investment methods.
Kepler eventually closed shop, with some executives leaving the firm while others were absorbed into teams including the SIG. By April 2023, Kepler’s corporate vehicles in New York and Singapore were formally shuttered, according to regulatory documents from both jurisdictions seen by Bloomberg News.
