Whitford Asset Management, founded in 2015, was created to apply academic research and proprietary trading processes developed by West Virginia University Professor Victor Chow, CFA, PhD Finance, to bring to market indexed based volatility driven products that aim to outperform the respective benchmarks with equal or less volatility.
The Premier Alpha Strategy
Over the past twenty years, technology and lower trading costs have drastically affected the trading patterns and subsequent volatility of the global financial markets. Dr. Victor Chow’s research of high frequency trading data has shown that stock returns deviate from their expected value not by volatility but by all moments of the return distribution. By monitoring and analyzing the magnitude of all distributional moments, Dr. Chow developed an algorithm which gives indications of forward looking, short term price movements, i.e. “sentiment”. When the algorithm is applied to individual stocks within the S&P 500 index it creates an indexed based volatility driven portfolio which over market cycles aims to outperform the index with equal or less volatility.
- The algorithm is applied to all 500 companies (stocks) inside the S&P 500 Index.
- A numeric value is assigned to each stock based on the algorithm’s quantitative analysis of high frequency trading moments and subsequent return distributions.
- The companies are then ranked from 1 to 500 based on their numeric values
- The bottom twenty-five names from the list are selected for purchase
- The stocks are equally weighted.
- The process is repeated and a new portfolio is constituted on a weekly basis.
to create a portfolio which
Targets to decrease “market” downside exposure.
- Targets to increase “market” upside potential.
- Is very liquid.
- Has NO idiosyncratic risk.
The Investment Team
Dr. Victor Chow, CFA: is a Professor at West Virginia University and a Consultant to Whitford. Dr. Chow created the VIX algorithm and trading methodology implemented by Whitford Asset Management.
Dr. Chow advises on current trading methodologies and well as future development of new indices. Dr. Chow is available for research and due diligence meetings.
Dominic J. Catrambone, CEO: Dom heads all operations and administration, including trading for the Premier Alpha strategy. Mr. Catrambone has 20 years of investment management experience.
Shang-Ming “Harry” Wang, MBA, CFA level III (in process) Financial Analyst: Mr. Wang is a critical member of Whitford’s research and development department. Harry’s day-to-day role is to maintain the trading models while gathering and organizing data for Whitford.