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Quantitative Investment Management

ALTAVRA

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This program is only available to Qualified Eligible Persons (QEP). What is QEP?Qualified Eligible Persons | Opens in a New Window

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Program Description: Background

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.

 

Program Description: Predictive Modeling

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.

 

Program Description: Risk Management

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.
 

Program Description: Execution

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.

 

Program Description: Markets Traded

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

Currencies

Euro

British Pound

Japanese Yen

Canadian Dollar

Australian Dollar

Mexican Peso

Swiss Franc

 

Energies

Globex Crude Oil

Brent Crude Oil

London WTI Crude Oil

Natural Gas

Heating Oil

Unleaded Gas

 

Grains

Corn

Soybeans

Wheat

Stock Indices
E-mini S&P 500 (USA)

E-mini Nasdaq 100 (USA)

E-mini Russell 2000 (USA)

Dax (Germany)

DJ Euro Stoxx 50 (Europe)

FTSE 100 (Great Britain)

Nikkei 225 (Japan)

KOSPI

Hang Seng (Hong Kong)

S&P ASX 200 (Australia)

MSCI Taiwan

FTSE/JSE Top 40 (South Africa)

CAC-40 (France)

AEX (Netherlands)

S&P/MIB (Italy)

IBEX 35 (Spain)

 

Softs

Cocoa

Coffee

Cotton

Sugar

Interest Rates

US 10 Year Note

US 30 Year Note

US 2 Year Note

US 5 Year Note

Eurodollar

Euro-Bund

Euribor

Euro-Schatz

Euro-Bobl

Long Gilt

Short Sterling

JGB

 

Metals

Gold

Silver

Copper


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. 

 

Management Information: Jaffray Woodriff

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.
 

Management Information: Greyson Williams

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.
 

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

THE RISK OF LOSS IN TRADING FUTURES AND OPTIONS CAN BE SUBSTANTIAL. PAST RESULTS ARE NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. THIS MATERIAL HAS BEEN PREPARED BY A SALES OR TRADING EMPLOYEE OR AGENT OF ALTAVRA AND IS, OR IS IN THE NATURE OF A SOLICITATION. THIS MATERIAL IS NOT A RESEARCH REPORT PREPARED BY AN ALTAVRA RESEARCH DEPARTMENT. YOU AGREE THAT YOU ARE AN EXPERIENCED USER OF THE FINANCIAL MARKETS, CAPABLE OF MAKING INDEPENDENT TRADING DECISIONS, AND AGREE THAT YOU ARE NOT, AND WILL NOT RELY SOLELY ON THIS DOCUMENT IN MAKING TRADING DECISIONS. (ALTAVRA.CO/RISK)

THIS CONTENT AND ALL OF ITS LINKS ARE FOR INFORMATIONAL PURPOSES ONLY, AND IS CURRENT ONLY AS OF THE DATE(S) HEREOF. IT DOES NOT CONSTITUTE A SOLICITATION FOR ANY CTA OR TRADING PROGRAM, AND THE INFORMATION IS SUBJECT TO CHANGE WITHOUT NOTICE. THE FIGURES CONTAINED HEREIN WERE OBTAINED OR COMPILED FROM INFORMATION PROVIDED BY THE CTA, TRADER OR THEIR REPRESENTATIVES. NEITHER ALTAVRA NOR ANY OF ITS AFFILIATES OR EMPLOYEES MAKES ANY ENDORSEMENT OR REPRESENTATION AS TO ITS ACCURACY, VALIDITY OR COMPLETENESS. THE INFORMATION HAS NOT BEEN INDEPENDENTLY VERIFIED AND THEREFORE CANNOT BE GUARANTEED. WHILE ALTAVRA MAY PROVIDE INVESTORS WITH CTA ANALYSIS, ALTAVRA DOES NOT PROVIDE “DUE DILIGENCE” ON AN INVESTOR’S BEHALF AND IS NOT RESPONSIBLE FOR A CUSTOMER’S INVESTMENT DECISIONS.

NO OFFER OR SOLICITATION MAY BE MADE PRIOR TO REVIEW OF THE CTA’S CURRENT DISCLOSURE DOCUMENT (
FORMS.ALTAVRA.COM), WHICH INVESTORS SHOULD READ CAREFULLY PRIOR TO INVESTING. INVESTORS MAY ALSO WISH TO CONSULT THEIR LEGAL, TAX AND INVESTMENT ADVISORS TO DETERMINE WHETHER AN INVESTMENT IS APPROPRIATE IN LIGHT OF THE INVESTOR’S RISK TOLERANCE, INVESTMENT OBJECTIVES AND FINANCIAL SITUATION.

ALL FUTURES AND OPTIONS TRADING INCLUDING MANAGED FUTURES IS SPECULATIVE, INVOLVES A HIGH DEGREE OF RISK AND IS SUITABLE ONLY FOR PERSONS WHO CAN ASSUME THE RISK OF LOSS IN EXCESS OF THEIR MARGIN DEPOSIT. NO REPRESENTATION OR ASSURANCE IS MADE THAT ANY CTA OR TRADING PROGRAM WILL OR IS LIKELY TO ACHIEVE ITS OBJECTIVES, BENCHMARKS OR TARGETED RETURNS OR THAT ANY INVESTOR WILL OR IS LIKELY TO ACHIEVE A PROFIT OR WILL BE ABLE TO AVOID INCURRING SUBSTANTIAL LOSSES.

 

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