Lá fora os grandes hedge funds bancam pesquisas quantitativas em Universidades. Por aqui não há nada parecido, nem mesmo estratégias quantitativas são levadas à sério...
Man Group, Oxford University Launch Institute for Quantitative Finance
By Bill McIntosh, Senior Financial Corresponden
Wednesday, June 06, 2007
LONDON (HedgeWorld.com)—Man Group plc has joined the battle with industry peers to secure the best and the brightest of the next generation of applied mathematics and science scholars by agreeing to fund the University of Oxford with £13.75 million ($27 million) to launch the Oxford-Man Institute of Quantitative Finance.
The institute, which opens in the autumn, will draw on funding of £10.45 million over five years to secure a site in Oxford as well as provide infrastructure and support staff. An additional £3.3 million is being donated to fund an endowed chair, to be called the Man Professor of Quantitative Finance.
“We expect the Oxford-Man Institute will play a leading part in the education of the next generation of scholars,” Peter Clarke, chief executive of Man Group said at a briefing announcing the launch. “It will be the leading institution for quantitative research in the world, with a focus on alternative investment.”
“This will raise Man’s profile and we will certainly hope to leverage off this for recruitment,” said Michael Robinson, head of human resources at Man Investments. He added that Man aims to initially recruit about five doctoral graduates annually.
The linkup comes as some of the biggest hedge fund groups spend ever greater sums on recruiting and employing armies of highly trained quant specialists in areas as diverse as astrophysics, computer science, mathematics, statistics and operational research. Renaissance Technologies Corp. and Citadel Group in the United States along with Winton Capital Management in the United Kingdom and others have led a spending spree costing tens of millions of dollars to snap up dozens of the top quant doctoral graduates. Far removed from the trading desk, they work in campus-like settings doing research into statistical arbitrage and algorithmic trading strategies that may take years to take form in a firm’s investment allocations.
Man has the right of first refusal to negotiate to buy any intellectual property the institute produces. The institute will carry out open access commissioned research and private research for Man. The open access research will be disseminated freely through working papers, presentations and academic journals. The institute will initially house about 20 members divided between 10 full-time researchers and staff, with a further 10 senior faculty members spending substantial time there.
“This initiative is about the world leaders in their respective fields coming together,” said Neil Shephard, professor of economics at the university, who will exercise management oversight of the institute’s activities as research director. “Nothing like this has been done before, and we are excited to see how it all plays out.”
Dr. Tim Hoggard, head of algorithmic trading research at managed futures fund AHL, will run the program for Man. He and Dr. Anthony Ledford, head of quantitative research at AHL, will relocate to the new facility to run the Man Research Laboratory which will share the facility with the institute. Man will review its commitment to the institute every three years but will provide funding in five-year tranches.
One research area for the institute is high-frequency finance, which aims to use statistics to improve risk management and shed light on statistical arbitrage techniques. Another research aim will be to use financial econometrics to measure fund of funds risk and develop an economic analysis of hedge fund performance. Further areas of scrutiny will be the fast expanding derivatives sector and the use of modeling via, for example, Monte Carlo simulators and probability theory.
“The whole concept behind the institute is that it could produce new things to do,” Mr. Clarke said. “It is not just about AHL,” he said.
The institute’s web site is www.oxford-man.ox.ac.uk.
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