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Jaffray Woodriff has spent his career creating a statistical learning method for time series prediction. Over the course of the past 21 years, he has meshed this endeavor with a keen interest and career in the financial markets. Jaffray Woodriff has successfully managed client accounts as a Commodity Trading Advisor (CTA) and also has spent two years trading on a Wall Street proprietary desk. In April 2000, Jaffray Woodriff and Michael Geismar launched a proprietary market neutral equities program. In December 2001, they began to manage a proprietary futures account using the Global Program methodology. In October 2003, after successfully managing this account for almost two years, Jaffray Woodriff and Michael Geismar and Greyson Williams decided to offer the Global Program to clients.

Financial markets are not entirely efficient. Numerous small inefficiencies exist which can be exploited through the prudent use of robust quantitative analysis and predictive technologies.

Quantitative Investment Management currently employs numerous quantitative trading models that utilize pattern recognition to predict all types of price movements. All models are tested across massive data sets that expose them to a wide range of market, economic, and political environments, as well as a wide range of time frames and interactions. Only those models that prove to be the most robust, statistically significant, and conceptually diverse are used in actual trading. The resultant system of models creates predictions on a daily basis that have resulted in excellent outperformance versus most benchmarks over the past six and a half years.  Past results are not necessarily indicative of future results.  The risk of loss in trading futures, options and off-exchange forex can be substantial. 

Quantitative Investment Management’s trading strategies and models may be revised from time to time as a result of ongoing research and development that seeks to devise new strategies and systems, as well as to improve current methods. As a result of our research, the strategies and systems used by Quantitative Investment Management in the future may differ from those presently used. Changes to risk weightings, execution factors and the active universe of futures contracts traded may occur from time to time, for example, without notice to clients. Although these underlying parameters evolve over time, these adjustments do not represent material changes to the predictive framework itself. Quantitative Investment Management will notify all clients in advance of a material change to this fundamental trading approach.

The enduring success of any trading program relies heavily on the risk management used in implementing the strategy.

Quantitative Investment Management applies highly sophisticated risk management procedures that take into account the price, size, volatility, liquidity, and inter-relationships of the markets traded. On the portfolio level, account risk is monitored on a daily basis to target a specific standard deviation of daily returns. For the standard version of the Global  Program, annualized volatility is targeted at 12%.

During significant drawdowns in equity, Quantitative Investment Management reduces market exposure by scaling back the overall leverage.
 

The execution of Quantitative Investment Management’s trading strategies is systematic. All facets of the predictive models, risk management, and trade allocation are fully automated. However, discretion plays a role in the evolution of the trading system over time as Quantitative Investment Management does seek improvements to the trading strategy.

In addition to the abundance of technologies driving the daily trading, Quantitative Investment Management’s staff monitors every market in which it trades on a daily basis and monitors numerous other factors, including, but not limited to: volume and open interest, news, correlation pairings, cash prices, opening calls, slippage and volatility.

The trading is discretionary in that final decisions are made, and systems can be overridden, based on the full set of information that has been compiled. That being said, the trading system has never been overridden.

Quantitative Investment Management trades in, or monitors the following markets:

Quantitative Investment Management’s programs seek to profitably trade each of the markets in which they participate while taking advantage of the diversification available from such a varied list of futures contracts. The trading programs often take opposing long and short positions within the same or related classes of correlated futures. Taken in conjunction with the powerful effect of diversification across a broad range of contracts, this generally results in far less risk than trading a single market with similar leverage. Other futures contracts or currencies may be added to the Global Program if Quantitative Investment Management’s research demonstrates that such an addition would potentially enhance that program’s performance.  Past results are not necessarily indicative of future results. The risk of loss in trading futures, options and off-exchange forex can be substantial. 

Jaffray Woodriff has 20 years experience trading financial markets using proprietary quantitative models that he has developed. In 2003, Jaffray Woodriff co-founded Quantitative Investment Management to offer the Global Program to outside clients. He guides all aspects of Quantitative Investment Management’s business and is chiefly responsible for the constant innovation and improvement of the models and techniques that underlie Quantitative Investment Management’s predictions, trading, and risk management. Jaffray Woodriff graduated from the University of Virginia with a BS in Business in 1991. Jaffray Woodriff formed Quantitative Investment Management in May 2003, has been registered with the CFTC as an Associated Person and listed as a Principal since January 16, 2004 and January 13, 2004, respectively.
 

Michael Geismar co-founded Quantitative Investment Management in April 2003 with Jaffray Woodriff after 18 months of successfully trading their proprietary accounts. As the head of trading for Quantitative Investment Management, he implements the firm’s investment models and oversees its portfolio management. Michael Geismar also manages investor relations and Quantitative Investment Management’s general business affairs. Michael Geismar graduated from the University of Virginia in 1994 with a BA in Mathematics and a minor in Statistics. Michael Geismar formed Quantitative Investment Management with Jaffray Woodriff in May 2003, has been registered with the CFTC and listed as a Principal since January 16, 2004 and as an Associated Person since November 28, 2005.
 

Greyson Williams co-founded Quantitative Investment Management in April 2003 after working with Jaffray Woodriff and Michael Geismar as a consultant beginning December 2002. He serves as an analyst, assists in statistical analysis and the development of predictive and risk models, and manages the internal databases and in-house software development. Greyson Williams graduated from the University of Virginia in 1995 with a BA in English and a minor in Art History. Greyson Williams formed Quantitative Investment Management in May 2003, has been registered with the CFTC and listed as a Principal since January 16, 2004 and as an Associated Person since November 28, 2005.
 

Ryan Vaughan has spent the last ten years working in financial and corporate management. Mr. Vaughan joined Quantitative Investment Management in September 2005 and became Chief Financial Officer and Chief Compliance Officer in January 2006.

In the fall of 2002, Ryan Vaughan began providing investment consulting services as a Registered Investment Advisor to retail clients, including work for the following financial institutions: UBS Financial Services (September 2002 through February 2004), Blue Ridge Financial Planning Services (February 2004 through September 2005) and under a sole proprietorship Registered Investment Advisory practice (September 2005 through present). Ryan Vaughan does not manage futures investments for his Registered Investment Advisor clients and there is no overlap between his Registered Investment Advisor clients and Quantitative Investment Management’s clients. Ryan Vaughan spends approximately 5% of his time on his Registered Investment Advisor practice.
 

Ryan Vaughan graduated from the University of Virginia in 1993 with a BS in Commerce, concentrating in Management Information Systems. Ryan Vaughan graduated from the University of Georgia in 1995 with an MBA with concentrations in economics and finance. Ryan Vaughan earned the Chartered Financial Analyst (CFA) designation in 2003. Ryan Vaughan has been registered with the CFTC as an Associated Person and listed as a Principal of Quantitative Investment Management since June 8, 2006 and October 31, 2006, respectively.
 

Paul McKee joined Quantitative Investment Management in January 2005 and became Chief Technology Officer in March 2009. His responsibilities include managing developers and other technical staff, developing Quantitative Investment Management’s broad technical strategy and assisting with maintenance and development of predictive code. Before coming to Quantitative Investment Management, Paul McKee was a research physicist at the University of Virginia for four years from September 2000 through October 2004. His research was primarily conducted at Department of Energy particle accelerator facilities in Newport News, Virginia, and Stanford University, California. From November 2004 through December 2004, Paul McKee was between employment positions. Paul McKee graduated from Georgetown University in 1990 with a B.S. in Physics and a minor in Computer Science, from the University of Virginia in 1995 with an M.A. in Physics, and from the University of Virginia in 2000 with a Ph.D. in Nuclear Physics. Paul McKee has been registered with the CFTC as an Associated Person and listed as a Principal of Quantitative Investment Management since February 17, 2009 and March 3, 2009, respectively.

The descriptions above are from the manager’s disclosure document.

THE RISK OF LOSS IN TRADING FUTURES, OPTIONS AND OFF-EXCHANGE FOREX CAN BE SUBSTANTIAL.  PAST RESULTS ARE NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.  PLEASE READ THE CTA'S RISK DISCLOSURE DOCUMENT CAREFULLY BEFORE INVESTING MONEY.