qarma investor presentation eoy 2011
DESCRIPTION
QARMA Investment Strategy Presentation for EOY 2011TRANSCRIPT
Proprietary and Confidential
Partha Chakraborty, Ph.D., CFA
Investor Presentation
Introduction (Page 3)
Strategy Discussion (Pages 4 - 9) Investment Strategy and Rebalancing Process
Investment and Implementation Edge
Risk Management
Performance Presentation (Pages 10 – 16) Live Performance
Pro-forma results analyses
Live Performance when S&P return < = -1.5% (Page 17)
Future Directions (Page 18) ‘
Manager and Advisor Profile (Page 19)
Fund Details (Page 20)
1/2/2012 2
QARMA is a unique, risk aware and quantitative approach to Equity Investments that monetizes relative performance of GICS sectors with Dollar Neutral Portfolios of highly liquid unlevered ETF’s.
GICS Sector Relative Performance is the source of Alpha ▪ GICS Sectors are traditionally considered “too big to be imperfect” based solely on top down analyses and on any given
day, returns of GICS sectors are different ▪ Relative GICS sector betas can be a source of Alpha that is impossible to arbitrage away ▪ Model generates dollar neutral portfolios that implements views on relative return expectations over a 1 day horizon
Unique, Systematic and Dynamic Approach ▪ Only known model meeting all necessary conditions for a supernormal economic profits in a factor universe ▪ Factors are chosen based on bottom-up security data with distribution free methodology ▪ Model rebalances daily, essentially “recalibrating” itself dynamically using newly selected factors
Risk Aware Investments ▪ All instruments are exchange traded, liquid and unlevered- no counterparty risk, no hidden leverage, full price discovery ▪ Current implementation is Reg-T, no explicit or implicit leverage; model very adaptable to other specifications
1/2/2012 3
Absolute Performance Relative Performance
As of
Strategy (Net) St Dev Sharpe Average Beta
Index = S&P 500 Index = US Cash
12/31/2011 Index Perf Relative Performance Index Perf Relative
Performance
ITD 68.66% 9.46% 5.18 11.80% 13.89% 54.77% 0.34% 68.32%
YTD 42.31% 10.16% 4.11 6.82% 0.95% 41.36% 0.25% 42.05%
QTD 10.78% 12.10% 4.13 6.77% 11.23% -0.44% 0.05% 10.73%
MTD 1.70% 7.84% 2.86 1.60% 0.86% 0.84% 0.02% 1.68%
Macro Investments based on GICS Sectors ▪ GICS sectors will almost never move in parallel, a relative performance strategy may be
profitable ▪ Macro sectors are not “too big to be imperfect” ▪ Top down relative performance analyses have proven ineffective, no known research on a
bottom up approach
Quantitative core has key advantages ▪ Comprehensive factor modeling with a novel filtering tool ▪ Top down and bottom up approaches combined together in a harmonious whole ▪ Dynamic modeling approach “rebuilds” the model from scratch at every rebalance
Trend Overlay accommodates short holding period
▪ QARMA utilizes a 10D view on flow and stock variables at multiple horizons
Portfolio Construction ▪ Dollar neutral Reg-T portfolio of highly liquid unlevered ETF’s ▪ No counterparty risk, no pricing risk, no hidden leverage ▪ No specific risk - sector beta is the only source of alpha ▪ Extensive and rigorous back-test over entire lifetime of the instruments used ▪ Hard coded risk mitigation never hit in live trading or extensive back-test
1/2/2012 4
1/2/2012 5
Fundamental
Momentum
Macro
Risk Factors
Relative Value
Universe of Factors
Top Factors
Reliability
Breadth Profitability
Symmetry PCA 1
PCA 2
PCA 3
Principal Component Analysis
QARMA screens a broad universe of factors. Top factors are fed into robust statistical processes to generate sector return expectations. Relative return expectations are implemented in dollar neutral portfolios of SPDR’s
-15.07%-1.68%
44.23%
-15.95%
38.29%
13.76%
-5.78%
3.73%
-61.52%
XLF US Equity
XLV US Equity
XLE US Equity
XLP US Equity
XLI US Equity
XLY US Equity
XLU US Equity
XLB US Equity
XLK US Equity
Sector Allocations
01-Apr-2011
01-Apr-2011
The Rebalance Process has five steps each with its unique proposition
Step 1: Utilize five pillars of explanatory power Economic/ Macro: A broad collection Relative Valuation (both historical and cross sectional) Company Fundamentals (e.g., balance sheet, income statement and growth details) Market Risk Factors (e.g., VIX) Momentum Factors
Step 2: Utilize stock level information to rank 300 explanatory factors at each rebalancing Outcome: Top explanatory factors Process: Score each factor on four metrics and combine for a composite score
Profitability Breadth Reliability Symmetry
Step 3: Top Factors generate horizon separate return expectations Sector Specific PCA’s with the same set of top factors
Step 4: An exogenous trend overlay is built in (to be discussed separately) Outcome: Signals that represent sector views with trend overlay incorporated
Step 5: Convert signals into allocation recommendations Outcome: Long/Short ETF portfolio that is marked continuously Process: Variance smoothing mechanism for asset allocation
6 1/2/2012
QARMA has an explicit trend overlay built in.
Higher frequency implies elevated importance of market microstructure QARMA has about 190% daily turnover at 200% gross exposure
Price moves may move reflect opportunities otherwise unexplored
9 Sector ETF’s imply 10D views Nine sector ETF’s lend themselves to 10D view
Both sector composition in S&P (“stock”) and price moves (“flow”) can be viewed in 10D
Each can be viewed at multiple horizons
QARMA utilizes 10D stock and flow views at shorter horizons Stock and flow each are ranked in 10D at 1 week, 2 weeks, 1 & 3 month horizons
A proprietary process combines these data points into a score for each sector
Scores are then combined with sector return expectations to come up with Sector Signals (input to Step 5 of Rebalance Process).
1/2/2012 7
Strategy implementation has district advantages built in.
Instrument Choice: Deliberate commensurate with value proposition
All instruments are exchange traded, highly liquid and low cost
Shorting allowed on downticks
Deliberate choice of instruments to avoid hidden leverage
Capacity and Market Liquidity: Highly favorable
ETF market size exceeds USD 1 trillion and no explicit cap on size
Expense ratios average 21bps annualized. Estimated average bid offer spread 38 bps annualized.
Financing costs contained by self-imposed explicit cap on leverage
Much lower borrow risk than single stocks
Strategy Unwind: Performance drag built into back-test data
Portfolio trade at target @OPEN currently, improvements possible
A performance drag per rebalancing is already built in for pro-forma calculations
1/2/2012 8
Strategy takes a comprehensive approach to risk
Risk Philosophy
Risk and return are two sides of the same coin
Risk management built in at the level of portfolio construction
Portfolio Risk
Leverage: Capped at +1/-1 units for 1 unit of capital
Liquidity: Trade only the most liquid, unlevered, exchange traded ETFs
Concentration: No single stock risk, though we will take concentrated long/short sector positions
Model: Models and data continually undergo scrutiny/sanity checks
Factors: Exposure to certain risk factors can be easily constrained
Operational Risk
Madoff: Third Party Fund Administrator independently will certify prices and reconciles trades
Galleon: Process explicitly depends only on publicly available information, with no first call
1/2/2012 9
1/2/2012 10
Live Performance (Cumulative), 168.66
S&P Performance (Cumulative), 113.89
100.00
110.00
120.00
130.00
140.00
150.00
160.00
170.00
Axi
s Ti
tle
Comparison of Live Performance against S&P 500 (Sep 15, 2010 to Dec 31, 2011)
QARMA Live Return Highlights (Sep 15, 2010 to Dec 31, 2011)
Dollar Neutral Investment Strategy uses USD 1.0 long funded by USD 1.0 short for every USD 1 invested. No effective size restriction
Live Trading ITD Return (after trading charge) 68.66% Live Trading YTD Return
(after trading charge) 42.31% STDEV of Return (ITD)
(annl.) 9.5%
QARMA Backtest results (June 2, 1999 to Sep 14, 2010)
Annualized Gross Returns after trading charge over entire backtest (till Sep 14, 2010) 39.13% STDEV of Rtrn (ann.) 14.16% Sharpe 2.76
1/2/2012 11 Live Trading from Sep 15, 2010. Analysis as of EOD Dec 31, 2011
-4.00%
-3.00%
-2.00%
-1.00%
0.00%
1.00%
2.00%
3.00%
9/15/2010 10/15/2010 11/15/2010 12/15/2010 1/15/2011 2/15/2011 3/15/2011 4/15/2011 5/15/2011 6/15/2011 7/15/2011 8/15/2011 9/15/2011 10/15/2011 11/15/2011 12/15/2011
Ne
t P
erf
orm
ance
Date
QARMA Strategy Net Return
1 Day Strategy Return after trade slippage charge
Downside Analysis of Live Trade Peak to trough drawdown -3.42% Occurred 9/27/2011 It happened over 2 consecutive losing days
% Days with -ve daily return 38.41% Average Drawdown -0.37% Min 1 day return (net) -2.80% Occurred 10/4/2011
Upcapture % days 67.93%
Average Strategy Return on Up days / Average S&P Return on Up Days
23.2% Strategy Captures about 50%+ of the upside
on up days on average Average ITD Beta (ex-post)
11.80%
Downcapture % days 46.85%
Average Strategy Return on Down days / Average S&P Return on Down Days
-11.2% This is fantastic, as this means on down days Strategy Return is actually positive. Great for
conservative portfolios.
Average YTD Beta (ex-post)
6.64%
% Positive Return Days on extreme market move (S&P <= -1.5%)
54.29%
Average Strategy Return on Extreme Market Down Moves (S&P Return <-1.5%)
0.29%
Average Strategy Return on Extreme Market Up Moves (S&P Return > +1.5%)
0.32% Minimum 1 day strategy return
-2.80%
Annualized Return 48.2% Annualized SD 9.5% Annualized S&P Return
10.1%
Sharpe 5.10 Information Ratio (vs S&P)
1.64
1/2/2012 12 Proforma Results till Sep 14, 2010. Live net returns thereafter. As of EOD Dec 31, 2011
Monthly Return Proforma Returns till Sep 14, 2010. Live Results after trading charges thereafter. Last update EOD Dec 31, 2011
Year January February March April May June July August September October November December
1999 4.62% 1.96% -0.56% 8.21% 4.03% 9.65%
2000 11.01% 9.49% 12.95% 2.20% 0.38% 4.21% -0.15% 5.32% 3.50% -8.88% 7.45% 4.51%
2001 0.96% 8.69% 15.44% -1.30% 5.44% 2.34% 7.99% -0.51% 9.22% -5.15% -2.80% -0.25%
2002 4.23% -1.08% -0.30% 1.00% 6.85% 2.85% 8.42% 2.80% -0.96% -3.92% 7.39% -5.61%
2003 3.86% 0.45% 1.13% -2.01% 1.01% 4.31% 2.13% 5.13% -1.30% -1.82% 1.07% -0.42%
2004 2.36% 0.01% -1.74% 2.51% -0.83% 4.58% 0.69% 2.51% -0.15% 2.64% -4.14% 1.15%
2005 -0.54% 1.85% 1.23% 6.78% 0.09% 3.23% 3.91% 0.47% 2.56% 4.20% 4.06% -0.14%
2006 6.16% -3.12% 6.55% 2.79% -1.11% 5.24% 3.78% 0.22% -0.97% 3.88% 0.95% 0.65%
2007 4.82% 0.96% 0.41% -1.27% -1.42% -0.05% 4.00% 1.14% 1.59% -2.62% 2.08% 2.52%
2008 6.71% 3.01% 2.72% 0.09% 1.14% 7.61% 8.35% -2.27% 2.16% 3.90% 22.14% 3.09%
2009 -2.12% 4.88% 17.32% 5.54% -2.79% -0.70% 4.29% 5.55% 3.00% -2.88% 1.91% 1.65%
2010 8.97% 5.49% 9.26% 9.15% 3.43% 11.30% 12.40% 6.94% 4.89% 5.39% 6.97% 2.48%
2011 6.15% 5.01% 2.65% 2.18% 2.664% 1.63% -1.70% 2.82% 4.18% 4.07% 4.67% 1.70%
Quarterly Return Proforma Returns till Sep 14, 2010. Live Results after trading charges thereafter. Last update EOD Dec 31, 2011
1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011
Q1 37.28% 26.68% 2.79% 5.52% 0.59% 2.55% 9.59% 6.26% 12.91% 20.44% 25.60% 14.42%
Q2 6.91% 6.52% 10.99% 3.25% 6.31% 10.33% 6.98% -2.72% 8.93% 1.88% 25.65% 6.61%
Q3 6.07% 8.84% 17.35% 10.37% 5.98% 3.07% 7.08% 3.00% 6.86% 8.17% 13.38% 26.08% 5.30%
Q4 23.44% 1.19% -8.03% -2.61% -1.19% -0.48% 8.27% 4.92% 1.91% 30.82% 0.61% 14.96% 10.78%
Ex-post Beta Average ex-post daily beta over the entire period = -1.60%
1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011
Q1 0.94% -22.54% 2.04% -3.40% -4.10% -1.63% 11.42% 3.09% -14.08% -11.68% 4.78% 25.52%
Q2 -33.72% -10.43% 7.39% -25.09% -0.99% -4.46% -2.17% -15.11% -21.20% -5.71% 34.43% -6.14% -4.92%
Q3 3.54% 20.57% -16.04% -4.18% 15.09% -0.42% -0.16% -24.83% -17.30% -30.16% 28.15% 8.00% 0.31%
Q4 12.93% -69.24% 9.41% 13.39% 15.80% 4.99% 5.32% 12.07% -15.62% -3.04% -12.60% 29.91% 6.77%
1/2/2012 13 Proforma Results till Sep 14, 2010. Live net returns thereafter. As of EOD Dec 31,, 2011
0
50
100
150
200
250
-8.5
8%
-8.1
5%
-7.7
1%
-7.2
8%
-6.8
5%
-6.4
1%
-5.9
8%
-5.5
4%
-5.1
1%
-4.6
8%
-4.2
4%
-3.8
1%
-3.3
8%
-2.9
4%
-2.5
1%
-2.0
7%
-1.6
4%
-1.2
1%
-0.7
7%
-0.3
4%
0.0
9%
0.5
3%
0.9
6%
1.4
0%
1.8
3%
2.2
6%
2.7
0%
3.1
3%
3.5
6%
4.0
0%
4.4
3%
4.8
7%
5.3
0%
5.7
3%
6.1
7%
6.6
0%
7.0
3%
7.4
7%
7.9
0%
8.3
4%
8.7
7%
9.2
0%
9.6
4%
10
.07
%
10
.50
%
10
.94
%
11
.37
%
11
.81
%
12
.24
%
12
.67
%
5 Trading Day Return Histogram
Histogram of Weekly Returns
0
20
40
60
80
100
120
140
160
180
-10
.3%
-9.5
%
-8.7
%
-7.9
%
-7.1
%
-6.3
%
-5.4
%
-4.6
%
-3.8
%
-3.0
%
-2.2
%
-1.4
%
-0.6
%
0.2
%
1.0
%
1.8
%
2.7
%
3.5
%
4.3
%
5.1
%
5.9
%
6.7
%
7.5
%
8.3
%
9.1
%
10
.0%
10
.8%
11
.6%
12
.4%
13
.2%
14
.0%
14
.8%
15
.6%
16
.4%
17
.2%
18
.1%
18
.9%
19
.7%
20
.5%
21
.3%
22
.1%
22
.9%
23
.7%
24
.5%
25
.3%
26
.2%
27
.0%
27
.8%
28
.6%
29
.4%
1 Month Rolling Return Histogram
Histogram of 1 Month Returns
1/2/2012 14
Strategy Volatility seems to have little impact on its trend performance
Proforma Results till Sep 14, 2010. Live net returns thereafter. As of EOD Dec 31,, 2011
y = 0.0007x - 25.959
0.00%
5.00%
10.00%
15.00%
20.00%
25.00%
30.00%
35.00%
40.00%
-0.500
0.000
0.500
1.000
1.500
2.000
2.500
3.000
3.500
4.000
4.500
6/5/2000 6/5/2001 6/5/2002 6/5/2003 6/5/2004 6/5/2005 6/5/2006 6/5/2007 6/5/2008 6/5/2009 6/5/2010 6/5/2011
Annualized SD of QARMA Strategy Returns and LN (Money Growth)
LN (Daily Strategy Money Growth) Annl. SD of daily MTM Linear (LN (Daily Strategy Money Growth))
Trendline of Money Growth is not correlated with SD of the Returns
1/2/2012 15
QARMA is not an explicit nor implicit bet on market volatility
Proforma Results till Sep 14, 2010. Live net returns thereafter. As of EOD Dec 31, 2011
y = 6E-05x - 4E-05
-8.00%
-6.00%
-4.00%
-2.00%
0.00%
2.00%
4.00%
6.00%
8.00%
10.00%
0 10 20 30 40 50 60 70 80 90
D
a
i
l
y
P
e
r
f
o
r
m
a
n
c
e
VIX
Daily Perf against Daily VIX level
1 Day Strategy Return after trade slippage charge Linear (1 Day Strategy Return after trade slippage charge)
1/2/2012 16
Concentrated bets contribute positively to QARMA
QARMA Performance is better across many metrics
Proforma Results till Sep 14, 2010. Live net returns thereafter. As of EOD Dec 31,, 2011
Perf attrib. to largest bet Biggest bets on average contributed positive amount every month (64.9 bps per day on avg)
Year January February March April May June July August September October November December
1999 0.47% 0.43% 0.58% 0.81% 0.71% 0.64% 0.60%
2000 0.82% 0.85% 1.12% 1.16% 0.89% 0.75% 0.66% 0.62% 0.88% 1.08% 0.94% 0.84%
2001 0.79% 0.92% 0.83% 0.74% 0.66% 0.52% 0.76% 0.35% 1.57% 0.90% 0.74% 0.52%
2002 0.63% 0.59% 0.56% 0.48% 0.59% 0.61% 1.57% 1.02% 0.87% 1.30% 1.07% 0.48%
2003 0.68% 0.60% 0.86% 0.62% 0.67% 0.61% 0.50% 0.37% 0.50% 0.35% 0.41% 0.34%
2004 0.48% 0.36% 0.54% 0.46% 0.42% 0.41% 0.35% 0.44% 0.41% 0.35% 0.48% 0.47%
2005 0.50% 0.44% 0.43% 0.53% 0.51% 0.35% 0.40% 0.44% 0.56% 0.80% 0.46% 0.39%
2006 0.52% 0.51% 0.44% 0.53% 0.59% 0.70% 0.52% 0.42% 0.62% 0.51% 0.34% 0.25%
2007 0.55% 0.37% 0.51% 0.41% 0.36% 0.44% 0.47% 0.81% 0.48% 0.46% 0.85% 0.58%
2008 0.90% 0.79% 1.19% 0.65% 0.58% 0.71% 1.24% 0.94% 1.16% 2.41% 2.14% 1.20%
2009 1.59% 1.40% 1.54% 0.85% 0.95% 0.78% 0.60% 0.54% 0.52% 0.56% 0.56% 0.39%
2010 0.51% 0.46% 0.29% 0.31% 0.65% 0.70% 0.60% 0.34% 0.51% 0.32% 0.51% 0.26%
2011 0.32% 0.30% 0.41% 0.18% 0.19% 0.28% 0.22% 0.75% 0.64% 0.45% 0.59% 0.32%
As of Dec 31, 2011 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011
Average of Same Day S&P Perf 0.09% -0.03% -0.04% -0.09% 0.11% 0.04% 0.02% 0.06% 0.03% -0.15% 0.11% 0.06% 0.01%
Average of Daily Performance 0.18% 0.20% 0.16% 0.09% 0.05% 0.04% 0.11% 0.10% 0.05% 0.23% 0.14% 0.33% 0.14%
Average of Perf due to biggest bet (same day) 0.60% 0.88% 0.75% 0.82% 0.54% 0.43% 0.49% 0.50% 0.53% 1.16% 0.85% 0.45% 0.39%
Average of Perf due to Biggest Long (same day) 0.25% 0.39% 0.28% 0.24% 0.23% 0.20% 0.24% 0.27% 0.22% 0.45% 0.34% 0.15% 0.06%
Average of Perf due to biggest Short (same day) 0.21% 0.34% 0.29% 0.34% 0.17% 0.17% 0.21% 0.19% 0.18% 0.37% 0.28% 0.10% 0.02%
Average of Ex-post Beta 2.32% -14.54% -5.15% -3.55% 6.77% -0.94% 0.34% -4.17% -12.90% -13.24% 9.73% 9.15% 6.82%
Observations There were exactly 35 trading days when S&P went down by more than -1.5% between Sep 15, 2010 and Dec 31, 2011. Strategy Alpha (=(QARMA net performance – S&P Performance)) is positive on every single trading day when S&P went down by more than 1.5%. On 54% of the days QARMA had a net positive return.
Average QARMA return = +0.29%, while S&P return = -2.49% on these 35 days.
1/2/2012 17
-1.59% -1.59% -1.78% -2.05% -1.57% -1.89% -1.95% -2.27%
-1.74% -1.81% -2.03% -2.56%
-4.78%
-6.65%
-4.37% -4.45%
-1.50% -1.55%
-2.52% -2.67% -2.94% -3.19%
-2.04% -2.50% -2.85%
-1.94% -2.00% -2.47% -2.79%
-3.67%
-1.66% -1.68% -1.86% -2.21% -2.11%
0.75% 1.45% 1.79% 1.68%
0.76%
1.69% 1.87%
3.40%
1.28% 1.84%
2.74%
3.69% 4.54%
8.30%
4.80%
6.62%
1.09% 1.14%
2.84% 2.81%
5.43%
4.29%
2.43% 2.39%
3.90% 3.46%
2.68%
0.48%
3.70% 4.27%
1.37%
2.72%
1.59% 2.01%
1.50%
-8.00%
-6.00%
-4.00%
-2.00%
0.00%
2.00%
4.00%
6.00%
8.00%
10.00%
QARMA Return Premium over S&P on Extreme Market Days (S&P Return < = -1.5%)
S&P Alpha
QARMA concept can be extended to other markets and implemented using a range of liquid instruments. Research ongoing to increase capacity and scale.
Instrument & Market Extension: QARMA process is inherently adaptable Eligible Instruments should have low “Tracking Error” to the sub-universe
Can be applied to any liquid broad market universe with liquid tradable sub-universes
Other implementation examples where this technique can be employed includes credit derivatives, equity baskets, Euro STOXX, All Cap, Global Macro
On-going Research: Research covers a wide angle Research under way on intra-day rebalancing, liquidity enhancement and microstructure issues
Implementation: ▪ @VWAP Trades (vs. @OPEN trades currently): A mechanism is being tested to trade @VWAP selectively, with
100% success rate
▪ Trade Segmentation: We are researching dividing rebalance trades into
▪ Approximation Trade @CLOSE the prior day
▪ A “completion” trade @VWAP on rebalance date to the target weight
▪ Hard coded stop loss can already be implemented under the current model
Plan for 1st year: Raise AUM to USD 30MM – USD 35 MM ▪ Setup fund operations and establish processes to invest larger amounts of capital
1/2/2012 18
Manager: Partha Chakraborty, Ph.D., CFA Education:
▪ Harvard Business School: Investment Management Workshop (2010) ▪ CFA Institute: CFA Charter (2005) ▪ Cornell University (Ph.D. Economics and Finance 1999, Masters 1998)
▪ Advisor: Professor Robert Jarrow, Johnson Graduate School of Management, Cornell University ▪ Indian Statistical Institute (M.Stat. 1995; B.Stat. 1993)
Experience ▪ President and CIO, Arko Asset Management (Dec 2011 - ) ▪ Founder and Managing Partner: Angle Light Partners (2009 – 2011) ▪ Head of Investment Risk Reporting and Risk Analysis: WAMCO (2008 – 2009) ▪ Head of Investment Management: Flagstone Reinsurance (2007 – 2008) ▪ Director, Asset Allocation and Head of Quantitative Asset Allocation: Bank of America (2005 – 2007) ▪ VP, Portfolio Allocation Analyst: Citigroup (2005) ▪ VP, Head of US Financials Research and Investments: Nomura Asset Mgmt. (2001 – 2005) ▪ Associate: Lehman Brothers (1999 – 2001) ▪ Founder: Bookwormbooks.com (1997 -1999)
1/2/2012 19
Research Advisor: Professor Robert Jarrow of Cornell University
Prof. Jarrow is the Ronald P. and Susan E. Lynch Professor of Investment Management at the Johnson Graduate School of Management, Cornell University. Through a 30 year career spanning both academia and the practice of finance, his numerous contributions to cutting edge theory and practice have resonated through the finance community. His research has brought together latest thoughts in mathematics, finance and economics and spawned advanced valuation and risk frameworks that have become industry standards. Included in the list are the Heath Jarrow Morton (HJM) framework for valuation of Interest Rate Derivatives, Reduced form credit risk models and Forward price martingale measures, among others. He is author of over 135 papers in leading Finance and Economics Journals and serves on the editorial or advisory board of numerous publications including Mathematical Finance. He has published 5 books. Prof. Jarrow is currently Senior Fellow of IAFE and FDIC and on the boards of several firms and professional societies. He graduated magna cum laude from Duke University in 1974 with a major in mathematics, received an MBA from Dartmouth College in 1976 with highest distinction, and in 1979 obtained a PhD in finance from the Massachusetts Institute of Technology under Nobel laureate Prof. Robert Merton.
1. Investment Manager: Kent Avenue Capital Partners (a DE entity) 2. Fund Name: QARMA (a DE LP) 3. Fee Structure:
i. Management Fee:2%
ii. Incentive Fee: 20% over a performance threshold of 5% annualized return. 4. Lock Up: None 5. Liquidity: End of Month. 6. Legal Counsel: Donald S. Mendelsohn of Thompson, Hine, LP in Cincinnati and Brian Hoye of Gipson,
Hoffman & Pancione, LLP in Los Angeles 7. Prime Broker: Interactive Brokers of Chicago 8. Third Party Administrator: Custom House Group of Chicago 9. Custodian: JP Morgan Chase 10. Fund Auditor: TBD 11. Contact:
i. Partha Chakraborty, CEO and CIO of Kent Avenue Capital Partners +1 (917) 655-9263
ii. Patralika Chatterjee: COO of Kent Avenue Capital Partners +1 (917) 734-3642
1/2/2012 20