QFS ASSET MANAGEMENT, L.P. ("QFS")  is an institutional alternative asset management firm.   Dr. Sanford J. Grossman formed an affiliate of QFS in 1988 to develop investment models based on his research discoveries in the fields of economics and quantitative finance.  Based in Greenwich, Connecticut, QFS manages approximately $1.3 billion as of October 1, 2009.  Investment strategies of QFS include:  

The QFS Currency Program has been in operation since March 1993.  The strategy seeks to earn returns, over the long term, from analyzing global macroeconomic factors and buying fundamentally undervalued currencies and selling overvalued currencies.  As opposed to a trend-based strategy, the program is based on a fundamental macroeconomic methodology using a quantitative statistical model to dynamically optimize expected returns of the currency portfolio while managing portfolio risk.  

We are pleased to note that the QFS Currency Program has been added to the HFRX Index for 2009.

The QFS Global Macro Program began operation in February 1998, and is a top-down approach to global investing.  Using dynamic asset allocation across a broader array of markets than the QFS Currency Program, the quantitative model captures discrepancies in the valuations of asset classes caused by differences in macroeconomic fundamentals across and within countries in the currency, equity, fixed income and commodities markets. 

The QFS Fixed Income Program was launched in April 2005, and is an absolute return investment strategy executed in the global fixed income markets. Positions taken are based on model-generated analyses of indicators of fundamental and technical factors across the long and short ends of the yield curves in the U.S., Europe, Japan, Australia, Canada, Great Britain and South Korea. A dynamic optimization approach analyzes the expected returns and risk factors across all instruments and time frames, and signals the buying and selling patterns that will generate the highest returning portfolio subject to a targeted level of risk.

We are pleased to note that the QFS Fixed Income Program has been added to the HFRX Index for 2009.

QFS Portable Alpha is a customizable beta replication program combined with a robust alpha overlay. It seeks to provide:

• Absolute Returns (Alpha), via the QFS Currency, Global Macro and Fixed Income Programs

• Low cost passive benchmarking (Beta) to equity or fixed income indices, through the use of exchange-traded futures contracts or swaps

• The convenience of a bundled indexation / alpha-generating overlay program

• Effective cash utilization.  Implementation of an indexation program via derivatives contracts instead of cash markets provides more efficient use of capital, since cash that is not required for margining purposes can fund additional exposures (in this case, alpha exposure).

Including non-correlated investment programs such as the QFS strategies within a framework of indexation allows easily replication of chosen benchmarks while adding value on a risk-managed basis, effectively improving the efficient frontier and increasing the Sharpe ratio.