Andrew Sterge

secondMan · Post by **secondMan** » Thu Mar 31, 2005 10:30 am

he joined cooper neff in the late eighties, developed their core tools and left last year or so. bnp bought cooper nieff mid nineties, but now their site bnpcn is off.

Andrew found AJ Sterge Investment Strategies.

he was an options specialist, but developed microstructure arb at coopr neff, which they traded in real size.

a hedge fund manager told be lat nineties that there was rumour that cooper neff traded a sharpe of near to ten. that caught my interest. they went more public by 2001, but only for a year, than they became more secretive again. i suppose they suffered a lot from decimilisation and did not do as well as rentec.

James · Post by **James** » Thu Mar 31, 2005 10:48 am

Let's hunt and peck and Google and post. He sounds like someone worth watching and trying to reverse enginner what he did.

YukaRedux · Post by **YukaRedux** » Thu Mar 31, 2005 12:08 pm

Sharpe of 10? riding for a fall....

secondMan · Post by **secondMan** » Thu Mar 31, 2005 1:26 pm

i do not buy the ten sharpe. nevertheless bnp cooper neff usd to play in the tiny league of the big big boys ...

RookieQ v2.0 · Post by **RookieQ v2.0** » Thu Mar 31, 2005 5:17 pm

What are you trying to find out? I know him...and have lots of info as well. Cooper Neff also had a catastrophe bond/swap fund that did not have a great 2004.

secondMan · Post by **secondMan** » Thu Mar 31, 2005 5:21 pm

papers from. articles about. references to his strategies. you name it.

i wonder about their cat bond difficulty. i thought 2004 was a good year for them and these funds had all bought cheap after 911 ...

"rookie quant" knows adre sterge ... are you a relative?

RookieQ v2.0 · Post by **RookieQ v2.0** » Thu Mar 31, 2005 5:50 pm

Smiley

p(RQ knows someone important) <.1,

But....we were investors in the cat bond fund. Cat bonds did wonderful in 2004 and 05, even with hurricanes, earthquakes, tsunamis, etc. Problem came in the swap market...

I'll see what I can find on the stat arb stuff. Returns have been pretty incredible, but small capital base as far as I know at this point.

RookieQ v2.0 · Post by **RookieQ v2.0** » Thu Mar 31, 2005 7:50 pm

Everything I have is hard copy...the stat arb program has 4 substrategies...not sure how much I should post here...but mail me if you are interested.

Kutilya · Post by **Kutilya** » Thu Mar 31, 2005 8:01 pm

RQ,

I would appreciate a copy as well esp. of the stat arb programme if possible.

opmtrader · Post by **opmtrader** » Thu Mar 31, 2005 8:05 pm

Same here. Pretty pretty please! My email is in my profile. I'd mail you but your email is not in your profile.