Morgan Stanley’s Quant prop trading outfit is titled Process Driven Trading. PDT (soon to be PDT Advisors) is being spun out of the firm by the end of 2012 due to the Volcker Rule. Peter Muller is not a really well-known name in finance outside of Wall Street’s quant community. He graduated from Princeton in Mathematics in 1985, worked at BARRA in Berkeley for 7 years where he developed an alpha model, and has since been at Morgan Stanley’s PDT, which he started. It is estimated that he and his small group has pulled $4 billion in profits, after a 20% haircut for the group, over the past 20 years. Pete was also smart enough to figure out his models weren’t working in August 2007 and pulled the plug early to limit losses. This ability to recognize that a model is just a model, prevents Pete from being the brunt of the old quant joke: “Well how is your fund doing?” To which the other quant says, “We were just killing it before that 27 standard deviation day.”
I do no know what his strategies entail, but I can only guess that he uses or has used some factor based models in coupling with an optimization algorithm. Perhaps some sort of CVaR Portfolio Optimization with constraints in real-time?
Pete is also an accomplished musician, surfer, poker player, and philanthropist. See this url: http://www.mathforamerica.org . Hope to meet him someday and grab a drink, jam, or catch nice overhead, glassy swell off a right point break. Also curious to know what he uses for alpha-generation, but I doubt I will get that out of him.
