TRADERTALK
University of Madrid Carlos III. I switched careers because I wanted to apply the skills and knowledge I learned in academics in a fast-moving environment that rewards decision-making.
My time at QFS has been especially gratifying because I share convictions with my colleagues about the investment research process and risk management. My doctoral thesis in economics incorporated game theory, dynamic modelling and numeric computation to solve models of sovereign debt repayment. Tose models amount to understanding why sovereigns choose to pay or default. In the mid-90s my work was beginning to seem a little ‘academic’ due to a dearth of defaults; however the last decade has provided a rich environment for application of my area of specialization. Coincidentally, Dr. Grossman was a professor of economics at Princeton while I attended as an undergraduate student. Later I got my PhD in economics from Stanford, which gave me the opportunity to study under Robert Hall, Tomas Sargent and Joe Stiglitz. It was an exciting time to work with scholars whose research focused on the interaction of uncertainty, imperfect information and government policy, and how these factors affect asset prices, business cycles and macroeconomic growth.
When was QFS Asset Management (QFS) founded and what were the original objectives for the company when it started?
In 1988, Sanford Grossman, PhD founded Quantitative Financial Strategies, Inc. as a financial research firm to develop investment models using his pioneering work in quantitative finance. Te QFS Currency Program is based on research in international financial economics that explores the transmission of information through asset prices in the presence of shifting global capital flows.
One of the most significant publications that relates to the origins of the firm is Te Informational Role of Prices (MIT Press, 1989). Te idea of being able to
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make inferences from asset prices to make economic forecasts forms the fundamental underpinnings of the firm’s approach to investing. Te firm’s original objectives remain the same as they are today: to provide investors with a favourably risk-adjusted investment returns in liquid markets that have low correlation to other components of their portfolio, while using a rigorous and systematic method of risk reduction and optimal position sizing.
Who are the key people involved in the firm and what are their main day to day responsibilities?
Karlheinz: We have made changes at QFS to give the firm a more institutional structure. We have operating committees with Dr. Grossman and me as the two members of the Board. I chair the Management Committee and he chairs the Investment Committee. Naturally, we have many of the other expected committees, such as compliance and operational risk. While we are a relatively small firm, we have found that instilling these processes helps us achieve our goal of industry best practices.
Jim Conklin is the Director of Research and manages a team that includes five PhDs. Steve Van Besien, a co-founder of Volaris and Cenario Capital Management, chairs the Origination Committee. Steve has a background of over 20 years advising clients on risk. Robert Shustak is our COO and CFO and chairs Operational Risk, the committee that oversees operational and accounting functions. David Zimmerman is our General Counsel. Jonathan Silber is our Head of Trading and George Holt is our head of Technology.
I would like to mention that a fundamental change that has taken place at QFS is my assumption of the CEO position. Tis gives my partner and the founder, Dr. Grossman, the opportunity to be fully engaged in the research process. We are already seeing the benefits of a more invigorated and accelerated research process. Naturally we are fortunate to have Jim Conklin
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