Name:  Michael Tan
Hometown:  New York City
Born:  Dec 7, 1965 in the Republic of Singapore
Career:  Hite Capital Management, Portfolio Manager 2002-Present; Graham Capital Management, Portfolio Manager 2000-2001, Director of Research 1995-1997; Paloma Partners, Trader 1999-2000; Banque Paribas, Quantitative Analyst 1997-1998; Research Physicist 1994-1995.
Education:  PhD (1995), MA (1992), Applied & Computational Mathematics, Princeton University; BA (1990), Physics, Amherst College; also studied physics and mathematics at Cambridge University (1988-1989); Chartered Financial Analyst Charterholder.
Research:  Blackbox trading strategies encompassing mean reversion, long/short equity and options; complex systems and computational studies of granular flows.
Family:  Wife, Renee and daughters Madeline and Emily.

 

About Me

The calling of my youth was physics and mathematics which I pursued vigorously.  I have a Ph.D. in applied and computational mathematics from Princeton University and I graduated summa cum laude in physics from Amherst College.  I also studied physics and mathematics at Cambridge University and sat for the natural sciences tripos (final honors examinations at Cambridge).  My specialty was computational statistical mechanics and granular flows.  I have published several papers in this field with Prof. Isaac Goldhirsch of Tel Aviv University.  Before I entered the hedge fund industry in 1995, I worked for about a year as a research physicist on U.S. Department of Energy research contracts.

Desirous of tasting life outside academia and lured by the fabled riches in futures trading, I went to work for Graham Capital Management as a research analyst in 1995.  My primary duty at Graham was to mine futures price data for anomalies that can be exploited for profit.  Though I subsequently became Graham’s director of research, I decided that this was a fruitless task and left the firm to widen my horizons at a sell-side bank.  After a stint at Paloma Partners working for veteran options trader Nassim Taleb and yet another stint at Graham as a portfolio manager, I struck out in 2002 to set up my own investment advisory firm Apothem Capital Management LLC with backing from Larry Hite (of Hite Capital Management and Jack Schwager’s Market Wizards fame).  In terms of investment philosophy, Larry Hite is a kindred spirit and I now manage money exclusively for him and his clients.

Over the years I developed many statistical arbitrage, long/short equity, futures and options strategies.  My strategies are based on simple and intuitive ideas and can always be expressed as a computer algorithm.  My trading philosophy can be stated in the following way:

If we merely collect risk premiums then we should believe in simple systematic trading methods.  Thinking in terms of premiums for risks which are due to the same investor sentiment affecting many securities, and which therefore cannot be diversified away, reinforces one's confidence in systematic trading methods.  For it is the commonplaceness of the effect that allows it to be captured with a systematic trading method.  And it is the same commonplaceness that breaks a complicated method when a simple one would do just fine - since the former would only be fitting noise in the data that is not part of the effect.  Simple systematic trading methods are both necessary and sufficient for the capture of common risk premiums.  The hedge fund business, after the inefficiencies have all been arbitraged away, will reduce to a search for risk premiums.