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