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Andrew Lo
Chairman and Chief Scientific Officer
AlphaSimplex Group
Tobias J. Moskowitz
Professor of Finance and
Neubauer Family Faculty Fellow
Univ of Chicago, GSB; Consultant to AQR Capital
Thomas Schneeweis
Professor of Finance and
Director/CISDM
University of Massachusetts
Erik Valtonen
Chief Investment Officer
AP3
Pranay Gupta
Deputy Chief Investment Officer
Pearl Group Limited
Gerlof de Vrij
Head of Global Tactical Asset
Allocation
APG Investments
Laurence B. Siegel
Director of Research
Ford Foundation
Daniela Klingebiel
Principal Investment Officer
The World Bank Pension Fund
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Meet our speakers
Managing Director and Global Chief Operating Officer, Hedge Funds,
N.A. Investcorp
Chris is a Managing Director and global Chief Operating Officer for Investcorp's Hedge Fund Group, Investcorp's hedge fund investment group.
Chris graduated with an B.A. in Economics from Duke University and received his Masters in Economics from the University of Chicago. Chris also completed the majority of his doctoral studies in Economics at the University of Chicago, with a concentration in International Trade and Finance.
Chris is the head of the investment committee for the Peddie School in Hightstown, New Jersey, a $300 million endowment
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Chief Investment Officer,
Alesco Advisors
Mark Armbruster, CFA, is Chief Investment Officer of Alesco Advisors LLC, where he sets and implements the firm’s investment policy, including the management of equity, fixed income, and alternative investment portfolios for high-net-worth families and institutional investors. Prior to his tenure at Alesco, he worked in the Equity Research department at Salomon Smith Barney, first covering the aerospace and defense industries and subsequently in equity strategy. Mr. Armbruster is a graduate of the University of Rochester.
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Director,
Casey, Quirk & Associates
Daniel joined Casey Quirk as an Associate in 2002. Since then, Daniel has advised over fifty traditional and alternative asset managers on business strategy, investment process, and distribution strategy assignments. These have included investment process and philosophy articulation, product positioning and defining target markets, and merger and acquisitions sourcing and due diligence.
Daniel helped develop Casey Quirk’s proprietary hedge fund and fund-of-hedge fund benchmarking frameworks, as well as the Casey Quirk fixed income evaluation framework. He is the author of Casey Quirk’s Fall 2005 Research Insight on quantitative managers, The Geeks Shall Inherit the Earth?, and co-author of the Fall 2006 whitepaper Institutional Demand for Hedge Funds 2: The Global Perspective.
Daniel graduated in 2002 with a B.S. in Operations Research and Industrial Engineering from Cornell University.
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Head of GTAA,
APG Investments
Gerlof de Vrij is Head of Global Tactical Asset Allocation at APG Investments. APG’s GTAA Fund aims to generate pure alpha through dynamic and diversified top-down investment strategies across all assets and risk factors. The fund exploits APG's existing expertise in the assessment of market fundamentals, macro-economic insights, quantitative investment technology and the selection and management of external investment managers.
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Head of Research,
Credit Suisse Alternative Index Replication (AIR)
Dr. Drachman is a Director and head of research of the Alternative Beta Strategies group focusing on the creation of new alternative beta products. Dr. Drachman joined Credit Suisse in 2007 from Banc of America Securities where he developed options strategies and other mathematical models for the Equity Financial Products Group in New York. Prior to this, Dr. Drachman was a Quantitative Researcher for Jemmco Capital where he led a team that produced statistical models and trading strategies. Dr. Drachman has also worked at J.P. Morgan & Co. in the Quantitative Trading Group and the Corporate Risk Management Group where he developed trading models and risk management techniques. Dr. Drachman received a B.S. in Mathematics from the Massachusetts Institute of Technology and a Ph.D. in Mathematics from Stanford University.
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Founder and Managing Director,
Ri-Ta Advisors
Founder and Managing Director, Ri-Ta Advisors LLC. Ri-Ta Advisors is focused on developing innovative financial tools to serve the needs of sophisticated investors. Prior to forming Ri-Ta Advisors Gus was Chief Investment Officer for ProFund Advisors where he was responsible for over 100 registered investment company portfolios and led the launch of the ProShares family of exchange-traded-funds (ETFs), the first levered and inverse index ETFs listed in the U.S.
Gus is a proven leader in the field of ETFs. While leading two of the most successful ETF businesses, SSgA and ProShares, Gus was responsible for the development and introduction of over 40 ETFs across the globe, including many of the most innovative and successful products trading today. In addition to the first levered and inverse index ETFs at ProShares, at SSgA Gus’s team worked closely with the World Gold Council to launch the Gold Shares Trust (GLD), the first U.S. listed commodity based ETF. Gus also led State Street’s efforts to launch the Hong Kong TraHK Fund, the first ETF to be launched through an initial public offering.
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Managing Director ,
Alpha Simplex Group
Mr. Guerin is Managing Director, Product Engineering and Client Servicing of AlphaSimplex Group. As a member of the management team, he participates in the review of the investment process and research as it relates to the investment model and factor allocations. He directs the marketing efforts of AlphaSimplex Group including the design and packaging of all products and services. Mr. Guerin has served as a member of the Board of Directors of Harris Alternatives L.L.C. and other Natixis affiliates. He graduated from Ecole Polytechnique in France and from Ecole Nationale Superieure d’Aeronautique, where he specialized in Signal Theory and Electronics.
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Deputy Chief Investment Officer,
Pearl Group
Pranay joined the Pearl Group as Deputy Chief Investment Officer and a Member of the Board in June 2006. Pranay is responsible for the overall framework for strategy and asset allocation and investment risk analytics for the £28bn portfolio. He is also responsible for managing the Systematic Strategies Fund, which includes both externally managed portfolios and a suite of internally managed quantitative hedge funds.
Pranay holds a Bachelors degree in Mechanical Engineering, specialising in Computer Aided Design, an MBA in Finance, and is also a CFA charter holder. He has published research in several journals and contributed to articles in the printed media. He has sixteen years of experience in Quantitative Research and Investment Management.
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Head of Quantitative Research,
Investcorp
Ludger heads Quantitative Research for Investcorp's hedge fund team. His primary responsibilities include Investcorp's alternative beta products, asset allocation procedures, performance attribution methods, risk models, and portfolio construction methods.
Prior to joining Investcorp in 2008, Ludger was the Director of Equity Research for the Equity Investors Group, New York Life Investment Management. Previously he was an Associate Professor of Finance at the University of Rochester's Simon Graduate School of Business. Earlier in his career, Ludger was an Economist at the Federal Reserve Board of Governors, and a lecturer at Princeton University's Woodrow Wilson School of Public and International Affairs.
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Editor,
AllAboutAlpha.com
Christopher Holt is a consultant, speaker and writer on the topic of hedge funds and alternative investments. He is also the founder & editor of AllAboutAlpha.com, a leading institutional hedge fund website. As one of the world’s top 40 most-read financial blogs, AllAboutAlpha.com has been referenced or quoted by the Wall Street Journal, Financial Times, Reuters and Bloomberg.
Prior to launching AllAboutAlpha.com, Chris was head of institutional sales for one of Canada’s largest hedge fund managers, JC Clark. Before that, he spent 10 years in the management consulting industry serving clients in the financial services, telecom and technology sectors.
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Bob is Partner & Global Head of Consulting Services, joining TABB Group as a Partner in December 2004. He has over twenty years experience in capital markets operations and technology, covering areas of securities operations training, planning and development, and IT strategy and implementation. Bob has authored and interpreted studies analyzing the impact of changing market structures on global financial markets, led implementation of technology solutions to improve trading and operations at top tier investment banks, and examined the critical processing issues faced by brokerage institutions.
Bob also leads TABB Group’s Training and Education Program and has authored the TABB Group studies “Global Equity Trading: The Buy-Side Perspective on Advanced Execution”, “Enterprise Data Management: Is This the Right Time for Outsourcing?”, and “DMA: Transitioning from Aggregation to Execution Platform”.
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VP and Director of Research and Product Development,
Ibbotson Associates
Tom Idzorek is vice president in charge of research and product development for Ibbotson Associates, a registered investment advisor and wholly owned subsidiary of Morningstar, Inc. Managing a team of Ph.D. researchers, he is responsible for Ibbotson’s research agenda and new product development. Idzorek has expertise in lifetime asset allocation, strategic asset allocation, tactical (dynamic) asset allocation, asset allocation implementation, fund-of-funds optimization, risk budgeting, returns-based style analysis, and performance analysis. He is also a member of Ibbotson’s Investment Policy Committee.
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Co-Founder and Managing Partner,
Twin Focus Capital Partners
Karger, co-founder of Twin Focus Capital Partners, made a splash with the launch of his multi-family office at 29, marking a first for a co-founder to set up an MFO at the age. Karger heads the investment committee of the firm and has responsibility for directing and supervising the investment management and all asset allocation to include manager search, selection and monitoring. Karger takes an active role in managing client relationships and oversees an eight-man team . The advisory caters to ultra-high-net-worth individuals with north of $10 million in investable assets in the U.S. and more than $25 million in assets for off-shore accounts. Karger holds the Charted Financial Analyst designation and is a member of the Boston Security Analysts Society and the CFA Institute.
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Principal Investment Officer,
The World Bank Pension Fund
Ms. Klingebiel is a Principal Investment Officer for the World Bank’s Pension Fund where she is co-managing the USD 2.0 bn hedge fund portfolio. The portfolio is diversified across all strategies and consists of about 45 managers. Since joining the hedge fund team she has strengthened the asset allocation, manager selection and risk management tools and has restructured the risk management processes. Previously, she was responsible for the international equity portfolio, the currency portfolio and the GTAA portfolio. In that capacity, she developed quantitative tools for manager selection and portfolio construction and developed a currency trading model for 11 developed market currencies that trades live.
Ms. Klingebiel has also worked in the World Bank’s Financial Sector Policy and Strategy, the Private Sector Development Department, and the Macroeconomics Department of the East Asia and Pacific Region. In that capacity, she has provided advice on financial sector issues including pensions to the governments of Brazil, Guinea, India, Indonesia, Malaysia, Mali, the Philippines, Poland, Russia, South Korea, Thailand and Vietnam.
She has published extensively in the areas of pension management, capital markets, financial crises, banking, enterprise and financial sector restructuring, and internationalization of financial services in leading professional and academic journals. Ms. Klingebiel joined the World Bank in 1995 as a member of the Young Professionals Program.
Ms. Klingebiel holds a Ph. D. and Master of Science in Economics and a Master of Arts in Political Science from the Albert-Ludwigs-University in Freiburg, Germany.
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Associate,
Ennis Knupp + Associates
Mr. Kotary, associate, manages consulting assignments for a select number of EnnisKnupp retainer and project clients. Max assists with client projects that require his expertise and is also member of the firm’s opportunistic strategies investment management research group.
Max’s recent activities include:
-Authoring an advisory position paper on infrastructure investing
-Helping a $1 billion+ Foundation structure an allocation to opportunistic strategy investments/hedge funds
-Completing an operational due diligence report on a hedge fund of funds
-Assisting in a study of the relative impact of style on international equity markets
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Managing Director, Alpha Beta Strategies,
Integra Capital Management
Tris has been heavily involved in the hedge fund industry for well over a decade. For six years he was a member of the Board of Governors of the Toronto Futures Exchange and for 5 years was its Chair.
As well as being the current Deputy Chair of the Alternative Investment Management Association (AIMA), Tris is a member of the Board of Directors of the Fields Institute for Research into the Mathematical Sciences, a member of the editorial advisory board of the Canadian Investment Review, a member of the Professional Risk Managers Industry Association (PRMIA) and the International Association of Financial Engineers (IAFE).
Tris is an M.Sc. graduate of LSE and frequent writer, speaker and media commentator on matters pertaining to hedge funds.
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Chairman and Chief Scientific Officer,
Alpha Simplex Group
Dr. Lo is the Chairman and Chief Scientific Officer of AlphaSimplex Group which he founded in 1999. Dr. Lo is also the Harris & Harris Group Professor of Finance at the MIT Sloan School of Management and Director of MIT’s Laboratory for Financial Engineering.
He is currently a co-editor of the Annual Review of Financial Economics, an associate editor of the Financial Analysts Journal, the Journal of Alternative Investments, the Journal of Portfolio Management, the Journal of Computational Finance, and Statistica Sinica, and a member of the advisory board of the Journal of Investment Management. His awards include the Alfred P. Sloan Foundation Fellowship, the Paul A. Samuelson Award, the American Association for Individual Investors Award, the Graham and Dodd Award, the 2001 IAFE-SunGard Financial Engineer of the Year award, a Guggenheim Fellowship, the CFA Institute’s James R. Vertin Award, the 2007 Smith Breeden Distinguished Paper Award, and awards for teaching excellence from both Wharton and MIT.
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Professor of Finance and Neubauer Family Faculty Fellow, Consultant,
University of Chicago, Graduate School of Business; AQR
Toby Moskowitz is a Professor of Finance and Neubauer Faculty Fellow at the University of Chicago Graduate School of Business, where he has been since 1998.
He is also a Research Associate for the National Bureau of Economic Research and is a current editor of the Review of Financial Studies. He has published numerous articles in top academic journals and has received several prestigious prizes and awards for his work including the Smith-Breeden Prize for the best paper published in the Journal of Finance, the Barclay Global Investor’s Michael Brennan Award twice for the best paper published in the Review of Financial Studies, and the Brattle Prize for the best Corporate Finance paper published in the Journal of Finance.
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Associate Professor,
HEC Montréal
Nicolas Papageorgiou is Associate Professor of Finance at HEC Montreal and Director of Research at Desjardins Global Asset Management. He also serves as the co-director of the DGAM-HEC Alternative Investment Research Center. He is Managing Director of ReplicQuant, a consultancy firm that develops quantitative tools for the analysis of alternative investments. Professor Papageorgiou has published articles in leading academic and practitioner journals and been invited to present his research at numerous conferences around the world.
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Senior Partner,
Orthogonal Partners
Romek Pawlowicz, senior partner, founded Orthogonal Partners in 2005 and has over 25 years experience of the financial services industry. Prior to founding Orthogonal Partners he was the investment director at the Sainsbury family office with responsibility for listed and alternative assets. He was also a founding member of both the advisory and research boards at the Centre for Hedge Fund Research at the London Business School. Romek Pawlowicz has previously worked for the family office of the Rausing family and as a global equity and derivatives fund manager with Credit Suisse Asset Management. In addition, he was the first manager to head the multi-manager group at Global Asset Management. He has a BSc in Mathematics and Physics from Bristol University, UK.
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Director,
Liability Solutions
Nicola has 30 years’ institutional investment experience. After receiving a 1st class honours degree in Modern History from Somerville College, Oxford, she began her career in stockbroking, moving to Schroders in 1979, where she spent 22 years as an analyst and fund manager, becoming Managing Director of the UK Institutional Business and subsequently Head of Investment. She then worked with a management consulting firm specialising in asset management, and was appointed director of a number of hedge funds. She was also elected Chair of the UK Society of Investment Professionals. In 2005 she joined Hewitt Associates as Head of Global Investment Consulting. Nicola is also a Governor of CFA Institute, a Director of The Edinburgh Investment Trust, and a member of the FTSE Policy Committee. Nicola joined Liability Solutions, a hedge fund marketing and consulting company, in June 2007.
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Bob, as a principal in RJR Associates, has partnered with Larkspur Management Services to form Coppice Asset Management, a firm dedicated to developing and implementing hedge funds alternatives. RJR Associates is an investment advisory firm dedicated to the principle that capital markets work. Bob is focused on the design and development of the investment ideas of RJR Associates and their applicability to the financial portfolios of both institutions and individuals. He completed his Ph.D. in finance at Syracuse University in 1989 and was awarded an MBA with distinction from Cornell's Johnson Graduate School of Management in 1971. Bob’s professional experience includes over twenty years with NYSE and Fortune 500 companies in all facets of corporate finance. He has been a director of several corporate boards, including food processing, international trade, insurance and banking concerns. Bob has also served on the faculty of Syracuse University where he taught graduate and undergraduate courses in securities markets and corporate finance.
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Professor of Finance and Director/CISDM,
University of Massachusetts
Professor Thomas Schneeweis is the Michael and Cheryl Philipp Professor of Finance at the Isenberg School of Management at the University of Massachusetts in Amherst, Massachusetts. He also serves as the Director of the Center for International Securities and Derivatives Markets (CISDM), a nonprofit academic research center specializing in the alternative investment area at the University of Massachusetts. He is the Founding Editor of The Journal of Alternative Investments and a founding member of the Chartered Alternative Investment Analyst (CAIA) Association, a global nonprofit educational venture between CISDM and AIMA that offers the CAIA program. He is an outside Trustee for the Managers Funds, a multi-manager mutual fund of fund firm, a principal at Alternative Investment Analytics, an alternative investment financial consulting firm, and at WBAI (White Bear Alternative Investments), an investment management firm offering both CTA and multi-strategy hedge funds.
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Director of Research,
Ford Foundation
Laurence B. Siegel is director of research in the Investment Division of the Ford Foundation in New York, where he has worked since 1994. Before that, he was a managing director of Ibbotson Associates, an investment consulting firm that he helped to establish in 1979. In 2005 Larry was named Research Director of the CFA Institute’s Research Foundation. He holds this position concurrently with his responsibilities at the Ford Foundation. Mr. Siegel currently chairs the investment committee of the Trust for Civil Society in Central and Eastern Europe and serves on the investment committee of the NAACP Legal Defense Fund. Larry is a member of the editorial boards of the Financial Analysts Journal, the Journal of Portfolio Management, and the Journal of Investing, and is a member of the program committee of the Institute for Quantitative Research in Finance (the Q Group). His first book, Benchmarks and Investment Management, was published in 2003, and a book he co-edited with Zvi Bodie and Dennis McLeavey, The Future of Life-Cycle Saving and Investing, was published in 2007, both by the CFA Institute. Larry received his BA in urban studies from the University of Chicago in 1975, and his MBA in finance from the same institution in 1977.
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Vice President,
Northwater Capital Management
Neil Simons is currently a Vice President working within Northwater’s Quantitative Research group. He is investigating hedge fund risk management, portfolio hedging techniques, portfolio optimization, alternative beta risk premia, and hedge fund replication.
Prior to obtaining his M.M.F and making the transition to finance, Neil was a research scientist at the Communications Research Centre in Ottawa, Canada. While there he investigated computational solutions for the design and development of advanced communications systems, and the characterization of electromagnetic fields within complex environments. This included pioneering work on the implementation of Lattice Gas Automata within special purpose computing environments for the solution of electromagnetic field problems.
Dr. Simons holds a Bachelor of Science degree, Electrical Engineering from the University of Manitoba (Canada), a Master of Mathematical Finance from the University of Toronto; and a PhD in Electrical Engineering from the University of Manitoba (Canada). Neil and Adrian Hussey, a colleague at Northwater, won the 2007 AIMA Canada Research Award for their work on hedge fund replication.
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Associate Professor of Finance,
Clark University
Richard Spurgin is an Associate Professor of Finance at Clark University. He holds a Bachelors degree in Mathematics from Dartmouth College and a PhD in Finance from the University of Massachusetts. His research centers on investment strategies that use derivatives and on performance measurement for hedge fund strategies, commodities and managed futures. He has published more than thirty articles in journals such as the Journal of Derivatives and the Journal of Alternative Investments and has assisted in the design of a number of alternative investment benchmark products including the CISDM Passive CTA Indices, the Dow Jones Hedge Fund indices, the LME Metals Index, and the Bache Commodity Index.
He currently serves on the editorial board of the Journal of Alternative Investments, on the curriculum committee for the Chartered Alternative Investment Analysts Association, and the grant advisory committee for the Foundation for Managed Derivatives Research. Professor Spurgin is also Associate Director of CISDM, a research center that focuses on alternative investments and is a principal of the consulting firm Alternative Investment Analytics LLC located in Amherst, Massachusetts.
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Chief Investment Officer,
AP3
As CIO and Member of the Executive Management Committee of AP3 Erik has the responsibility of the overall risk and portfolio structure (including screening of new asset classes) of their € 22bn fund. He also heads the Risk Allocation department . Prior to AP3 Erik worked for Svenska Handelsbanken between 1995 - 2000 in various research positions. Between 1997 – 1998 Erik was a Senior Quantitative Analyst at SHB in London working mainly with fixed income derivates. In 1998 Erik took up the position of Head of Financial Research at SHB in Stockholm heading a group of quantitative analysts in the fixed income/fixed income derivatives area Erik gained his PhD in Mathematics from Stockholm University in 1989 in the field of Algebra.
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