PARIS: Societe Generale subsidiary Lyxor Asset Management will in the next two weeks open two managed accounts, based on Old Mutual quant funds, to new investment.

The Global Statistical Arbitrage Fund, launched in June this year, is a short-term market neutral statistical arbitrage fund focused on global equity markets, according to Nathanael Benzaken, Lyxor’s managing director of hedge fund research and selection.

The fund, which has $75m AUM, was up 1.5% in August. Paul Simpson and John Dow of Old Mutual and formerly of Millennium, are the fund’s portfolio managers.

The Global Sector Opportunities Fund is a $58m low frequency, factor-based global equity market neutral fund, but is sector neutral, Benzaken said. The fund was launched in May 2006. Although the fund is down 2.4% in 2007 and record­ed its worst month in August, with a negative 6.17%, it is “bouncing back” in September, according to a spokesperson for Old Mutual.

Quant funds suffered badly in August before rallying to recover a large proportion of intra-month losses. They have been criticised for not being flexible enough to respond to fluctuations in the markets. However, Lyxor remains confident of the strategy.

The firm already manages $600m in quant funds, comprising four funds that use factor models and one high frequency statistical arbitrage fund.

“The [quant funds] we know have managed to find some solution to that criticism,” Benzaken said. He added that none of Lyxor’s quant funds had experienced any significant losses.

Benzaken added that Lyxor analyses potential quant funds’ research capabilities in depth, and requires the funds to have robust risk management strategies and sufficient technical capacity in the execution of trades.

“Unless we get sufficient comfort on all those elements we won’t proceed. We have to trust the team to do what they claim they do with sufficient professionalism and talent,” Benzaken said.

Formed in 1998, Lyxor has built a managed account platform which now comprises nearly 170 managed accounts, replicating a range of hedge fund strategies. Lyxor’s total AUM is nearly €70bn.