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Quantitative Investment Management

Global program

Printable download

Monthly performance

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year
20173.23%1.04%0.98%-0.10%-0.05%0.18%0.12%-2.91%2.97%2.40%  7.99%
20162.59%6.16%-2.98%0.15%1.59%0.83%0.14%0.62%1.93%-1.26%2.51%3.55%16.69%
2015-0.18%2.27%-1.42%5.07%0.73%3.95%-1.46%3.17%4.60%0.23%4.07%-1.62%20.82%
20140.99%0.43%-2.43%-4.90%-0.36%-0.13%-0.75%-1.39%2.61%-2.88%-0.09%-3.90%-12.30%
2013-2.51%-0.43%-2.61%-1.32%-0.05%-0.38%0.43%1.30%-1.15%0.04%2.21%4.24%-0.43%
2012-4.49%-1.41%1.20%5.77%7.17%1.29%-2.05%0.52%0.32%-1.81%-2.99%1.66%4.65%
20110.33%1.29%-0.41%-2.33%-3.22%-0.90%1.14%0.30%4.55%3.01%4.36%-2.87%4.99%
2010-4.32%-0.45%-1.01%0.08%-1.28%0.45%-0.77%1.39%0.40%2.50%-1.90%1.97%-3.08%
20095.99%-0.10%-2.29%4.29%3.43%-0.52%1.82%0.70%1.45%-2.38%2.18%-3.70%10.93%
2008-7.59%5.30%3.55%1.86%5.78%-1.53%-1.84%3.36%3.10%-2.54%2.31%0.90%12.51%
20071.67%1.37%5.40%1.27%-3.80%1.18%2.03%7.56%1.04%4.27%3.40%1.19%29.53%
20060.57%1.60%1.48%-2.15%5.02%-2.31%2.34%-0.02%-1.19%2.29%0.10%-1.16%6.51%
2005-0.40%-1.65%4.26%5.77%2.85%-1.97%0.55%1.40%0.86%0.56%2.04%3.05%18.43%
20040.92%3.51%-8.93%-0.63%2.94%1.44%2.07%0.10%6.05%5.75%9.58%-1.69%21.85%
2003         5.88%-2.64%3.35%6.54%

Performance statistics — Oct 2003 to Oct 2017

Cumulative total return 274.73%
Annualized compound return 9.83%
Annualized standard deviation 9.77%
Monthly correlation to S&P 500 TRI -0.00
Annualized sharpe ratio (0%) 0.89
Monthly maximum loss (Mar 2004) -8.93%
Maximum drawdown (Jul 2012 - Jan 2015) -16.63%

Annual performance (%) — Oct 2003 to Oct 2017

Year or YTD Quantitative Investment Management S&P 500 TRIBTOP50 Index
20177.9916.91-1.40
201616.6911.96-4.44
201520.821.38-0.92
2014-12.3013.6912.33
2013-0.4332.390.74
20124.6516.00-1.83
20114.992.11-4.25
2010-3.0815.066.38
200910.9326.46-4.77
200812.51-37.0013.58
200729.535.497.57
20066.5115.795.61
200518.434.912.76
200421.8510.880.86
20036.54--

Performance comparison: Growth of $10,000 invested since inception — Oct 2003 to Oct 2017

This chart represents a hypothetical investment of $10,000 at the time of the strategy’s inception and is not intended to imply an actual investment. Hypothetical returns do not assume the reinvestment of dividends and income.

Monthly returns — Nov 2007 to Oct 2017

Distribution of monthly returns — Oct 2003 to Oct 2017

Underwater curve — Oct 2003 to Oct 2017

 

See glossary for index descriptions and definitions of terms.

Investors cannot directly invest in an index, unmanaged index returns do not reflect any fees, expenses, or sales charges.

EASP656

Company background

Founded in 2003 by Jaffray Woodriff and Michael Geismar.

Investment goal

The program seeks to deliver strong risk-adjusted returns through the use of proprietary, machine-learning, and predictive techniques. Only those models that prove to be the most robust, statistically significant, and conceptually diverse are used in actual trading. The resulting system of models offers what QIM believes to be reliable signals that guide market timing and trade allocation.

Markets traded

FX, metals, agriculturals, equity indices, intererst rates, energy

Strategy

The Global Program employs quantitative models that utilize pattern recognition techniques to predict price movements.  The program seeks to deliver strong risk-adjusted returns through the use of proprietary, machine-learning, and predictive techniques. Only those models that prove to be the most robust, statistically significant, and conceptually diverse are used in actual trading.  The resulting system of models offers what QIM believes to be reliable signals that guide market timing and trade allocation. The portfolio is diversified across the 6 sectors (i.e., currencies, metals, agricultural commodities, equity indices, interest rates, and energy) and multiple markets. The average trade length for the program is one to two weeks. The holding period for all trades typically ranges from 1 to 50 days.

Key personnel

Jaffray Woodriff, Co-Founder — Mr. Woodriff began devising technical trading systems after graduating with a BS in Commerce from the University of Virginia.  He opened a CTA, Woodriff Trading, in 1994.  4 years later, he joined Société Géneralé, where he traded futures for the proprietary desk.  In 2001, he and Michael Geismar co-founded DHR, a broker-dealer and co-founded QIM in 2003.

Michael Geismar, President — Mr. Geismar began working with Mr. Woodriff in 1998.  He is a co-founder of DHR and QIM.  He holds a BA in Mathematics from the University of Virginia.

Greyson Williams, Co-Founder — joined DHR in 2002 as a consultant, and co-founded QIM in 2003.  Previously, he worked as an analyst at SNL Securities LC.  Mr. Williams received a BA in English from the University of Virginia.

 

See glossary for index descriptions and definitions of terms.

Investors cannot directly invest in an index, unmanaged index returns do not reflect any fees, expenses, or sales charges.

EASP656