Identity and Agenda

I am a quantitative trader. I sometimes call myself a statistician, although I have no formal statistical training. However, I have a considerable informal statistical training which was acquired while completing my doctorate in experimental elementary particle physics at Oxford. For my professional career I have applied this empirical knowledge, and some theoretical skills, to the financial markets.

I used to work in the Process Driving Trading Group (PDT) at Morgan Stanley. One of the things I did there was develop a formal mathematical description of the trading strategy used as part of their "Stat. Arb." quantitative trading system. I also managed futures trading which, overall, was not successful. PDT were great at relative value trading, but futures require a different focus, on outright risk taking, and I feel the two didn't mesh very well.

In 1999 I got married, and in 2000 I left PDT. I set up a commodity trading advisory (CTA) firm and, later, a registered exempt commodity pool operator (CPO). I abandoned my futures trading style from Morgan Stanley and created an entirely new business, albeit trading the same contracts -- three month eurodollar futures. This was a much more successful business generating returns, for its partners, of approximately 30% per annum from 2000 to 2003. I closed that business for personal reasons, and have been managing a private family investment fund since then.


I learned a lot working at Morgan Stanley, but I learned much much more investing my own capital. I have always tried to think carefully, and more importantly analytically, about my activities in the markets. Over the years I have developed some interesting models for financial data, and it is my intention to use this forum to publish some of this information.

I don't believe markets are efficient, but I do believe they are nearly so. I will publish some information on methods, some on particular forecasting systems, and some on general items of interest. I do hold positions in the markets and will always disclose them.

I am going to start with something concrete: a stock selection strategy I call the Compact Model Portfolio.