Selected Work
David Bookstaber began in quantitative finance as a Morgan Stanley intern in 1992. From 2005 to 2007 he co-managed the FrontPoint Quantitative Fund, a market-neutral equity hedge fund at FrontPoint Partners, which Morgan Stanley acquired. Through his firm Boniface LLC (2014–2018) he sub-advised two investment-management companies with intraday trading systems.
Closed-End Fund Models
He built alpha models of the discounts and premiums at which closed-end funds trade relative to net asset value. Those models became the basis of an investment-management partnership, Wake-Yale Holdings, LLC, where he has been a partner since 2018.
Reinsurance and Futures Research at AQR
At AQR Capital Management he was part of the team that built the firm's reinsurance fund. He is an acknowledged contributor to AQR's April 2014 white paper, Property Catastrophes and Equity Markets, a study of reinsurance risk and equity-market dependencies. He later consulted for the firm on short-term expected-return and market-impact models for futures.
Real-Time Monitors at Magnetar
He was a quantitative analyst at Magnetar Capital, where he built real-time performance and risk monitors for a high-frequency stock trading group, as well as an R&D system for low-frequency strategies.