Head of fixed income, Aspect Capital.
In 1997, while working as a fixed income fund manager at Schroders, Richard Conyers used his knowledge of mathematics and computing to design a quantitative interest rate model for investing in fixed income. It took him long of bonds throughout the 1998 bull market and short during the 1999 bear market.
During this period, Conyers used the investment discretion he was allowed as a director to follow the trading signals from the model on his largest account. Even though the discretion restricted him to taking only positions that were in line with house policy, he managed to outperform Schroders' global model by almost 3% in 1998, with a tracking error of less than 2%.
After adding further systems to exploit such variables, such as changing yield curve shapes, currency pairs trading and country spreads, Conyers felt able to "diversify both the sources of return and the approach to managing investment risk". He decided he was ready to set up a fund. But when he took his idea to Schroders, he was turned down. "Their reaction was 'It might confuse our image in the marketplace'," he remembers. It was then suggested that if he was so confident in his model, he should set up his own hedge fund.