The Global Program pursues a fully systematic short-term trading strategy. The manager is quantitatively-focused and employs sophisticated, pattern-based time series prediction methods to capture short-term trading opportunities across global futures markets. These models are generally derived from cyclical analysis, statistical probabilities, momentum oscillators, and moving average of prices, among other methods. Due to its short-term focus, QIM provides a distinct return profile that exhibits a low level of correlation to both traditional market indices and longer-term managed futures strategies.
| Year or YTD | Program | SP500 TR |
| 2016 | 16.69 | 11.98 |
| 2015 | 20.82 | 1.41 |
| 2014 | -12.30 | 13.69 |
| 2013 | -0.43 | 32.41 |
| 2012 | 4.65 | 15.98 |
| 2011 | 4.99 | 2.12 |
| 2010 | -3.08 | 15.06 |
| 2009 | 10.93 | 26.45 |
| 2008 | 12.51 | -36.99 |
| 2007 | 29.53 | 5.50 |
| 2006 | 6.51 | 15.79 |
| 2005 | 18.43 | 4.89 |
| 2004 | 21.85 | 10.87 |
| 2003 | 6.54 | 12.18 |
| Average | 9.83 | 9.38 |
| utures Sectors Traded | |
|---|---|
| Stock Indexes | Yes |
| Interest Rates | Yes |
| Currencies | Yes |
| Metals | Yes |
| Energies | Yes |
| Softs | Yes |
| Grains | Yes |
| Meats | Yes |
| Forex | No |
| Investment Methodology | |
|---|---|
| Technical | Yes |
| Systematic | Yes |
| Discretionary | No |
| Diversified | Yes |
| Sector Specialist | No |
| Pattern Recognition | Yes |
| Instruments Traded | |
|---|---|
| Futures | Yes |
| Geographical Focus | |
|---|---|
| Global | Yes |
| Holding Period | |
|---|---|
| Short Term | Yes |
| Intra-Week | Yes |
| Investment Terms & Information | ||
|---|---|---|
| Managed Account Minimum: | $20,000,000 | |
| Margin / Equity Ratio: | 12% | |
| Managed Account Availability: | Closed | |
| Manager Name: | Quantitative Investment Management, LLC |
| Address: | 401 East Market St. Suite 104 |
| City: | Charlottesville |
| State: | VA |
| Zip: | 22902 |
| Country: | USA |
Jaffray Woodriff, Jaffray has over 20 years’ experience trading financial markets using proprietary quantitative models that he has developed. In 2003, Jaffray co-founded QIM to offer the Global Program to outside clients. He guides all aspects of QIM’s business and is chiefly responsible for the constant innovation and improvement of the models and techniques that underlie QIM’s predictions, trading, and risk management. Jaffray served as head trader for Blue Ridge Trading from October 1991 to July 1994. He then founded Woodriff Trading as a CTA and managed client money there until October 1997. In January 1998, he joined Société Générale in its New York office, where he served for two years as a director in the Treasury department, trading proprietary funds in futures, currencies and U.S. equities. Following his departure from Société Générale in March 2000, Jaffray and Michael began managing their own money in a short-term, market-neutral equities program. This led them to co-found a broker-dealer, DHR. In October 2002, Jaffray also co-founded Biomind, a bioinformatics consulting and software firm. Jaffray graduated from the University of Virginia in 1991 with a B.S. in Commerce.
Michael Geismar, Michael co-founded QIM with Jaffray Woodriff in 2003. As the President of QIM, Michael oversees the implementation of the firm’s investment models and its portfolio management. Michael also manages investor relations and QIM’s general business affairs. Michael and Jaffray first worked together from January until July 1994, when Michael was an assistant trader at Blue Ridge Trading. Michael then worked as an actuary and benefits consultant for Towers Perrin from September 1994 until August 1996, Coopers & Lybrand from August 1996 until October 1997, and William M. Mercer from October 1997 until October 1998, when he joined Capital One Financial as an analyst. In February 2000, he re-joined Jaffray, assisting in the development of an equities investment program that led the two to co-found DHR. Michael graduated from the University of Virginia in 1994 with a B.A. in Mathematics and a minor in Statistics.
Greyson Williams, Greyson co-founded QIM after joining Jaffray and Michael as a consultant to DHR in December 2002. Greyson guides the firm’s broad technical strategies and implementations. He shares with Michael in managing QIM’s general business and organizational development. Greyson spent the previous 13 years specializing in the collection, management, analysis, and application of financial information and market data. He worked as an analyst in the Bank Mergers & Acquisitions Department at SNL Securities from August 1997 until July 2000, serving as director of banking mergers & acquisitions research from May 1999 until his departure. In December 2000, he co-founded VW Capital, a firm created to map complex merger terms into programmatic models for interfacing with real-time market data. In October 2002, he founded Jobe Analytics & Consulting, a financial information management consulting firm. Greyson graduated from the University of Virginia in 1995 with a B.A. in English and a minor in Art History. Greyson earned the Chartered Financial Analyst (CFA) designation in 2008.
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Regards,
Peter Knight Advisor
Asset Investment Management
