Quantmetrics Capital Management

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Quantmetrics Capital Management

In 2003, Dr. Mushtaq Shah and James Fowler founded Quantmetrics. They have worked in quantitative investment management for 18 years. Using short term systematic strategies, they offer QM Premier (12V) and QM Directional (10V) as managed accounts and QM Multi Strategy (which is a combination of Premier & Directional) as a fund or managed account. They employ trading models with transparent and uncomplicated strategy drivers to capture small and short term gains in futures markets, utilising a blend of behavioural finance and quantitative analysis techniques.

Company Background

Founded by Dr. Mushtaq Shah and James Fowler in 2003, Quantmetrics Capital Management uses strategies that are short term and systematic. Two products are offered, a market neutral and a market directional. Another one is offered that combines both. Low correlation and high liquidity benefits the product.

Goals in Investment

The underlying assumption is that the behavior of participants in futures’ markets generates supply & demand imbalances on a regular basis and the objective is to capture these short term risk premiums.

Markets Traded

Currencies, financial and commodities futures are being traded.

Strategies

QM Premier 12V

QM Premier, launched in 2003, is a reactive quantitative market neutral strategy. It seeks to profit from short term liquidity imbalances, trading pairs of equity index futures, on a market neutral basis. There is an average holding period of 6 hours, targeting a volatility of 12%, the strategy is designed to do particularly well in high volatility markets.

QM Directional 10V

Launched in 2007, the QM Directional strategy trades futures across equity indices, government bonds, FX & commodities. It comprises a predictive strategy which is insensitive to overall market conditions and, therefore, useful in low volatility environments, as well as a reactive component. The average holding period is 20 hours, targeting a volatility of 10%.

Multi Strategy Fund

The QM Multi Strategy Fund is an offshore hedge fund that trades a combination of two managed futures strategies offered by Quantmetrics – QM Premier and QM Directional weighted for a target volatility of 10%. It is designed to make money in all market environments, albeit more in a crisis, and is an excellent diversifier within a portfolio context

Key Personnel

Dr. Mushtaq Shah – Founding Partner

Dr Shah has over 29 years’ experience in financial services having previously worked for UBS as European Economic Analyst & Goldman Sachs as a Quantitative Analyst/Proprietary Trader. In 1996 Dr Shah joined CSFB where he became head of convertible trading, after which he moved to Equinox Capital Management Ltd, before co-founding Quantmetrics in 2003. Dr Shah has a 1st class degree in Econometrics and Mathematical Economics from the London School of Economics, an Mphil in Economics from Cambridge University and a PhD in Financial Econometrics from the London School of Economics.

James Fowler – Founding Partner

Mr Fowler has 18 years’ experience in financial service having previously worked as a proprietary trader in the Equity Derivatives and Convertibles Group at CSFB with Dr Shah. He was then a portfolio manager at Equinox Capital Management Ltd where he ran a multi strategy arbitrage fund with Dr Shah, before co-founding Quantmetrics in 2003. Mr Fowler has a Masters in Engineering Science from Oxford University.

2007 to 2014 Performance Statistics

QuantMetrics Capital Management Performance

Source: http://www.iasg.com/

QM Multi Strategy has a cumulative total return of 225.56% Annualized compound return is at 14.44% Annualized standard deviation is at 9.32%. Monthly correlation to S&P 500 -0.26% TRI is at 0.02. Annualized sharpe ratio is at1.43%. Jan 2014 monthly maximum loss is at -7.24%. From August 2009 to June 2011, there is a maximum drawdown of -11.61%.

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