David Gorton and Brevan Howard have formed a joint venture, DG Systematic Trading, to pursue systematic trading strategies.

Gorton is the chief investment officer of the new venture with responsibility for the management and development of trading strategies based upon a suite of systematic models which have been running capital since May 2006 including capital allocated from Brevan Howard Master Fund since 1 March 2010. 

DG Systematic Trading will be FSA authorised and will act as investment manager of Brevan Howard Systematic Trading Fund, a systematic trading fund which uses Brevan Howard's risk management and execution platform.

Brevan Howard Systematic Trading Fund has been seeded with USD300m from Brevan Howard Master Fund and has been traded by Gorton and his team since 1 March 2010. 

For the period from 1 March to 30 September this strategy has delivered returns on allocated capital of 9.3 per cent net of fees.  

Gunther Thumann, chief executive of Brevan Howard Capital Management, says: "Brevan Howard has been seeking to add a fund based upon a strictly quantitative approach. We are delighted to achieve this in partnership with David Gorton and an experienced fund management team with an outstanding track record in systematic trading."