Peter Nolan, formerly a principal at U.S. fixed-income firm Smith Breeden Associates has joined with Duke University finance professor Michael Brandt to form QMS Capital Management, a quantitative global macro shop. The firm plans to launch a $200 million managed account on May 1, and could open to outside investors by yearend.
QMS, which is based in Durham, N.C., will initially trade managed futures, global interest rates, currencies, stock indices, and commodities. Within six months, the firm plans to begin trading long/short equities in developed markets, and in another six months, will add exposure to emerging markets. The firm’s futures trading quant models are fully operational, but they are currently developing the models to trade long/short equities in developed and emerging markets, hence QMS’s investing timeline, said Nolan who will serve as co-portfolio manager.
Nolan worked at Durham-based Smith Breeden for seven years until his departure on January 31, most recently as a principal and product portfolio manager, focusing on several of the firm’s structured fixed-income strategies. As of April 2009, Smith Breeden managed $18.37 billion. After receiving his Ph.D. in chemical engineering from the University of Texas in 1998, he worked for Exxon Mobil Corporation from 1999-2001 before leaving to get his masters degree in finance at Duke University. He joined Smith Breeden in 2003.
Brandt is a professor of finance at Duke, and has also acted as a consultant to central banks, hedge funds and pensions. Brandt’s focus is quantitative portfolio management, risk management, currency and fixed income markets. His work has appeared in the Journal of Business, the Journal of Finance, the Journal of Financial Economics, the Journal of Monetary Economies, and the Review of Financial Studies. He has a Ph.D. in finance and a masters of business administration from the University of Chicago, and a masters of science in economics from the London School of Economics. He is now on a temporary sabbatical from teaching so he can focus on managing QMS.
Nolan and Brandt met in the autumn of 2007. Nolan gave a talk to Duke MBA students and faculty on the beginnings of the subprime crisis. After his talk, Brandt introduced himself, asking if Nolan would be interested in helping him teach some of his classes. Nolan took him up on the offer and taught a unit in structured finance.
—Suzy Kenly