About

Fabrice Douglas Rouah is Vice President and Senior Quantitative Analyst for State Street Corporation in Boston, MA. Mr. Rouah is a former Faculty Lecturer and Consulting Statistician in the Department of Mathematics and Statistics at McGill University. Fabrice obtained his Ph.D. in Finance from McGill University, his M.Sc. in Statistics from McGill University, and his B.Sc.in Applied Mathematics from Concordia University. He was awarded scholarships from the Montreal Institute of Financial Mathematics (IFM2) and the Managed Funds Association (MFA) for his doctoral studies. He specializes in risk management and the statistical and stochastic modeling of hedge funds and Commodity Trading Advisors (CTA), and is a regular contributor in peer-reviewed academic publications on alternative investments. Mr. Rouah is the co-author and co-editor of the following books:

  • Option Pricing Models and Volatility Using Excel/VBA + CD-Rom, published by John Wiley & Sons.
  • Hedge Funds: Insights in Performance Measurement, Risk Analysis and Portfolio Allocation, published by John Wiley & Sons.
  • Commodity Trading Advisors: Risk, Performance Analysis and Selection, published by John Wiley & Sons.
  • Performance Evaluation of Hedge Funds: A Quantitative Approach, published by Beard Books.
  • Hedge Funds Risk Assessment, Analysis and Returns, published by Beard Books.
Fabrice has published his research on hedge funds and CTAs in journals such as Journal of Futures Markets, Journal of Alternative Investments, Derivatives Use Trading & Regulation, Journal of Wealth Management and others.  He is often asked to speak at industry conferences on alternative investments throughout North America and Europe.