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Most of us learned the same financial economic theory that fuels constant debate in the asset management industry, but could there be another way? The answer is yes. And we’ve been practicing it for 30 years.
Most asset managers subscribe to the same investment construct. Not us. We offer you a different path – a distinctive and reliable alpha source for your portfolio.
We rely on the consistency of mathematical analysis of observed stock price fluctuations and correlations; not on subjective forecasts of markets, factors or company performance.
Grounded in academia, we are committed to being global leaders in understanding and employing stock price volatility as a self-renewing source of excess return and a key to risk control.
The key to realizing excess return and risk control from volatility is regularly optimizing portfolio weights for diversification consistent with a risk-return objective.
By replenishing diversiﬁcation we attempt to capture a rebalancing premium in the form of a trading profit, using proprietary trading systems designed to minimize costs and market impact.
The lower potential correlation of our strategies to fundamental or quantitative strategies means we can offer a diversifying solution for your portfolios.
Our founder, E. Robert Fernholz, Ph.D., was born in 1941 in New Jersey. His father was a distinguished German chemist who fled Germany and immigrated to the US in 1935 to join the faculty of Princeton University. Dr. Fernholz's mother, Mary Briganti Fernholz, was the daughter of Italian Immigrants who came to the US in the early 1900s. She held an M.S. degree in Economics from Smith College and worked at Princeton University as a research assistant in the Economics Department.
Growing up in Princeton and attending Princeton Country Day School, Dr. Fernholz graduated high school at Deerfield Academy in Massachusetts in 1958. He majored in mathematics at Princeton University, under the direction of William Feller, and received his B.A .degree magna cum laude in 1962. He earned his Ph.D. in mathematics at Columbia University in 1967, writing his thesis under the direction of Lipman Bers.
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Dr. Fernholz began his career as an academic mathematician at the University of Washington, and later held various professorships at City University of New York, Universidad Nacional de Buenos Aires, and Princeton University. Fernholz left Princeton University in 1980 to become Research Director at Arbitrage Management Company. He also worked at Brignoli Models where he worked along-side Dr. Harry Markowitz.
In 1987, Dr. Fernholz founded Intech, basing our mathematical investment process on a 1982 paper he published, “Stochastic Portfolio Theory and Stochastic Market Equilibrium.” He later elaborated on these mathematical methods in his monograph, Stochastic Portfolio Theory (Springer 2002). Dr. Fernholz is also the author of numerous research articles both in pure and applied mathematics as well as statistics and mathematics of finance.
Dr. Fernholz married Luisa Turrin in 1970 and they have two sons: Daniel and Ricardo. Luisa Turrin Fernholz earned a Ph.D. in Statistics from Rutgers University and is Professor Emerita in Statistics at Temple University. Daniel T. Fernholz holds a Ph.D. in Computer Science from the University of Texas at Austin, and Ricardo T. Fernholz earned a Ph.D. in Economics from the University of California, Berkeley and is currently Assistant Professor of Economics at Claremont McKenna College.
Dr. Fernholz and his wife Luisa founded the Minerva Research Foundation in 1993 to promote research in mathematical and statistical sciences and to encourage the participation of women in these disciplines. Luisa Fernholz directs the Foundation, which has given support to the Institute’s School of Mathematics since 2007. Dr. Fernholz is also a trustee at the Institute for Advanced Study, an independent, postdoctoral research center for theoretical research, and the academic home for distinguished scholars like Albert Einstein, Kurt Gödel, John von Neumann and Hermann Weyl.