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Alternative Market Briefing

Ex-Renaissance manager’s fund of hedge funds uses proprietary factor model to identify alpha

Thursday, October 10, 2013

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Pacome Breton
Benedicte Gravrand, Opalesque Geneva for New Managers:

Dr Robert Frey, who has been called a maths whizz, has a PhD in applied mathematics from Stony Brook University. One of his hedge fund-related attainments is his time at Jim Simons’ Renaissance Technologies, a large and famous quantitative hedge fund firm – after having run his own hedge fund shop for a while. At Renaissance, he was a Managing Director between 1992 and 2004 and developed the high-frequency Nova fund, which was later merged into Renaissance's Medallion hedge fund. Renaissance’ models had to meet four principles, Dr Frey told The FT in 2010: simplicity, commonality, stability and rationality.

In 2008, Frey and his wife Kathryn B. Frey established the "Frey Family Endowed Chair in Quantitative Finance" in the Department of Applied Mathematics and Statistics at Stony Brook University (where he serves as a Research Professor) with a gift of $1.5m from the Frey Family Foundation, according to HedgeTracker .

FQS (Frey Quantitative Strategies) Capital Partners grew out of the family office to become a fund management house with offices in New York and London at the end of 2009. Ou......................

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