(Bloomberg) -- Two former JPMorgan Chase & Co. foreign-exchange option traders will start a quantitative hedge fund in January, using artificial intelligence to trade currency options.
Atsuo Ogaki and Damien Loh have established Ensemble Capital Pte Ltd. in Singapore with capital $75 million from high-net worth investors, family offices and institutional investors, Ogaki, who has taken the chief executive officer role, said in an interview.
The fund aims to generate annual returns of 15 percent, Ogaki said. “We want to stick to our original objective as a hedge fund to pursue absolute return and eliminate correlations with traditional asset classes.”
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Ogaki joined Chase Manhattan Bank, the precursor to JPMorgan, in 1988, where he spent 23 years trading currency options before moving to the foreign-exchange department of Nomura Securities in 2010. Loh had 15 years as a currency options trader at JPMorgan before co-founding Ensemble, where he will be chief investment officer.
Ensemble aims to generate returns through machine learning and deep-learning artificial intelligence -- analyzing factors including seasonality, asset relationships and economic data. It will also use AI to forecast currency options, including direction, range, conviction and time period.
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Tests showed the model produced an annualized return of 12.7 percent after fees over the past 10 years, and a Sharpe ratio -- which measures a fund's performance adjusted for risk -- of 1.34 percent.
Ensemble will initially trade options of Group-of-10 and emerging Asian currencies. It plans to expand into interest-rate options, swaps and then commodity and equity indexes, Ogaki said.
The fund will start with seven staff, including Ogaki and Loh. “As long as our budget allows, we want to hire as many data scientists as possible as this will be the key to our business,” Ogaki said.
To contact the reporters on this story: Chikafumi Hodo in Tokyo at chodo@bloomberg.net, Komaki Ito in Tokyo at kito@bloomberg.net.
To contact the editors responsible for this story: Tan Hwee Ann at hatan@bloomberg.net, Peter Vercoe
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