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Conference Day One - Tuesday 23 September 2008
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8.15am | Registration and refreshments
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9am | Chairman’s opening remarks
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9.15am | Coping with markets in disarray – what does this mean for the future of quantitative investing
- Highlighting significant achievements in quantitative investing and what investors can learn by applying the same philosophies today
- Assessing high profile market system breakdowns and analysing the cause of their occurrence to avoid repeating the past
- How to overcome common mistakes made by investors when selecting quantitative funds, choosing risk models, and selecting stocks with quantitative methods
- Comparing the advantages of operating a quantitative strategy in-house versus outsourcing to an experienced manager
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9.45am | Quantitative investing after the credit crisis: will it ever be the same again?
- Assessing why the credit crisis turned out to have such a huge impact on quantitative equity investors?
- Examining if quantitative managers are all following similar strategies?
- Exploring if quantitative investors should adapt their strategies in light of the credit crisis?
- Analysing how to stay away from the crowd by exploiting new alpha opportunities
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10.15am | Morning refreshments and networking
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10.35am | Assessing the risks quantitative investing is exposed to that were previously unknown and how they can be avoided
- Highlighting and quantifying common risk management mistakes
- Evaluating if investors are holding more risks than they realise in a quantitative portfolio and how they can rebalance their risk management models
- Effectively developing an ongoing risk research process in order to uncover emerging risks
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11.05am | Developing in a changing macro-economic environment: how has the global economy changed and what opportunities are available for quantitative investors?
- Macro-economic changes: highlighting how the global economy is changing, who are the main players, and what new opportunities are being realised?
- Exploring what specific opportunities quantitative investment models can take advantage of that other investment tools wouldn’t be able to access
- What threats does the changing economy pose to quantitative investing that investors need to take account of
- Evaluating if quantitative investment funds can operate effectively in all market conditions or if certain models will become incompatible and should be avoided
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| CREATING YOUR PERFECT PORTFOLIO: DIVERSIFICATION, CORRELATION, TRANSPARENCY, & BACK TESTING |
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11.35am | Assessing how diversified the quantitative investments industry is and what this means to investor’s portfolios
- Examining how Watson Wyatt carries out research on quantitative fund managers
- Evaluating how diversified current quantitative investment strategies are and how further de-correlation can be achieved
- Exploring the cost efficiencies of quantitative fund strategies
- Understanding how quantitative investment techniques can be used most effectively
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12.05pm | Speed Networking
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12.55pm | Networking lunch
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2.05pm | Panel debate: understanding correlation risk to identify market diversification opportunities
- Why did certain quantitative fund managers suffer more than others during 2007 and can it be a lesson in future risk profiling of quantitative funds
- Should fund managers be more transparent or less transparent – what are the advantages and disadvantages of either?
- Can market correlation ever be used positively or will it only ever be the enemy of quantitative investing?
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| | Mr. Brian Hayes, Head of Quantitative Investment Strategy, Lehman Brothers Alternative Investments
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2.45pm | Panel debate: demanding transparency -what communication do investors seek and what can managers provide?
- What information are investors demanding of their managers and how accurately have managers satisfied their requirements?
- Black box approach: is it outdated and putting off investors or are there hidden qualities in limited transparency that investors can take advantage of?
- Should the quantitative investments market be forced to have a minimum level of transparency or will a return to high level performance satisfy investors?
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3.25pm | Carrying out appropriate back testing to ensure your risk models perform positively in forthcoming market environments
- Assessing if it is possible to back test a model in all market conditions and account for all market events or should developers be selective?
- Highlighting best practice in back testing to ensure your quantitative strategy will operate in expected and unexpected market conditions
- Examining combining stress tests with risk models and how to attribute likelihoods to these stresses
- Highlighting the implications of recent market turbulence for back-testing and stresses
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3.55pm | Afternoon refreshments and networking
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| BEHAVIOURAL FINANCE: USING QUALITATIVE RISK FACTORS TO OPTIMISE RISK MODELS |
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4.20pm | Behaviour management - identifying the range of behavioral finance risk factors and the past events where they have been significant
- Understanding behavioural finance factors: what value can they add to a portfolio?
- Analysing if human behaviour can be predicted and modeled accurately or are we too random in our actions?
- Evaluating methods of risk research to source the latest and most relevant behavioural risk factors
- A retrospective look at past significant events where inclusion of behavioural finance risk factors averted heavy losses - what can we learn?
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| | Mr. Pierre Guillemin, Head of Quantitative Asset Management & Alternative Investments, Swiss Life Asset Management
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4.50pm | Examining the value of an equally balanced quant fund with quantitative and qualitative risk factors
- Analysing what quantitative investors and managers can learn from the fundamental management sector to improve performance
- Assessing the challenges of incorporating behavioural risk factors in an existing fund and methods to overcome the difficulties
- Re-weighting: how simple is it to maintain a fund containing behavioural risk factors to avoid the risk of wrong stock selection?
- Considering how the balance between quantitative and qualitative risk factors should change depending on the asset class, geo-zone or strategy you employ
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5.20pm | Chairman’s closing remarks, moving into networking drinks and cocktail reception
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Conference Day Two - Wednesday 24 September 2008
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8.15am | Registration and refreshments
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8.50am | Chairman’s opening remarks
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| STOP THE PRESS: LATEST ACADEMIC RESEARCH AND HOW TO APPLY IT TO YOUR QUANTITATIVE STRATEGY |
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9am | High-speed statistical arbitrage: an application of stochastic portfolio theory
- Understanding the relation between the arithmetic representation for stock prices and the logarithmic representation
- Applying the logarithmic representation to analyze the behavior of stock portfolios
- Examining the effect of stock variance on the behavior of constant-weighted portfolios
- Estimating stock variance for different sampling intervals
- Applying the methodology to a hedged strategy using different trading schedules
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9.40am | Modeling credit risk – assessing recent developments in quantitative finance and overcoming challenges facing implementation
- Highlighting the need for new models in credit risk: what have we learnt from the recent turmoil.
- Understanding new thinking on modeling credit risk and highlighting how the model construction has been developed.
- Examining the tension between describing the full range of stylised risk features and practical applicability.
- Exploring the challenges in implementing new models and potential solutions that exist.
- Analysing what can academia learn from industry and how can industry benefit from academia.
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10.10am | Are markets efficient? A view from micro structural data
- Markets: statistical efficiency or informational efficiency?
- Stock price jumps: news or noise?
- How markets slowly digest order flow
- The subtle nature of price impact
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10.40am | Morning refreshments and networking
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| IDENTIFYING AND PROCESSING THE BEST DATA SOURCES AVAILABLE |
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| Showcase presentations: a line-up of leading market providers and their opinions of market issues |
Feedback from a 3 month research project that the Quant Invest team conducted clarified that sourcing the most up-to-date and relevant data and systems was a top priority for quantitative investors in 2008. Many stated that hearing case study presentations from leading industries providers would help in constructing the most relevant processes to take their strategies forward
Three providers to the quantitative investment industry will showcase their offering and explain how they can meet with the demands of the most pressing requirements of the industry
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11am | Showcase 1: examining the pitfalls in quantitative modeling
- Lagging factors in an imperfect and changing world
- Looking beyond standard classifications for alpha
- When are good factors bad and bad factors good?
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11.15am | Showcase 2 & 3
The final 2 showcase presenters will be announced shortly. To be considered as a presenter, please contact Noel Hillmann at +44 (0) 207 827 5949
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11.35am | Question and answers
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11.50am | Highlighting recent technology developments and the effect on processing data.
- Evalutaing technological early warning systems that alert to model breakdowns
- Examining if technology will eventually do every investment action
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12.20pm | Networking lunch
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| FRIEND OR FOE? THE NEXT GENERATION OF QUANTITATIVE APPLICATIONS AND VEHICLES |
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1.25pm | Alternative beta and hedge fund replication strategies: a real threat to quant or a vain attempt to keep up with the big boys?
- Examining the theory of alternative beta and hedge fund replication in practise
- Understanding which strategies can and cannot be replicated?
- Analysing how replication helps to build better portfolios
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| | Mr. Lars Jaeger, Partner and Head of Alternative Beta Strategies, Partners Group
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1.45pm | Quantitative investing techniques: is the market a victim of its own success or just experiencing a bump on the route to becoming investments mainstream tool
- Quant investing after August 2007: will it ever be the same again?
- Have quantitative managers really been providing alpha or are they actually delivering alternative beta?
- Case study: the pros and cons of fundamental indexation
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2.05pm | Head to head debate: are hedge fund replication and alternative beta strategies worth their lower fees?
- Are quantitative strategies fee structure’s justified or should investors replicate?
- Can hedge fund replication be “people managed” effectively when markets act up?
- Are quantitative risk factors truly generic or are replicators creating imitations?
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| | Mr. Lars Jaeger, Partner and Head of Alternative Beta Strategies, Partners Group
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2.45pm | Panel debate: ETF’s, 130/30 funds, and commodities – is this the next big thing in quantitative investing?
- ETF’s: comparing the benefits of quantitative against fundamental indexes when applied to an ETF’s strategy
- 130/30 funds: highlighting recent developments in 130/30 funds and new opportunities for using quantitative techniques to maximise returns
- Can further growth be stimulated in commodity sectors with quantitative techniques and where should investors be looking?
- Understanding the unique data sets required when applying quantitative techniques to ETFs and 130/30 funds
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| | Moderator: Mr. Pierre Guillemin, Head of Quantitative Asset Management & Alternative Investments, Swiss Life Asset Management Mr. Jenya Emets, Product Engineer, Active Equities, State Street Global Advisors
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3.25pm | Afternoon refreshments and networking
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| FUNDAMENTAL VERSUS QUANTITATIVE INVESTING TECHNIQUES |
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3.40pm | Learning from a human management approach: where can investors incorporate the advantages into a quantitative portfolio
- Exploring periods in history where a human manager applied a successful investment strategy that a quantitative approach never would have attempted and what lessons can be learnt
- Assessing if back testing requires a balance between quantitative and qualitative approaches to ensure all risk factors are covered
- Examining which markets human managers will continue to hold an advantage and if the returns generated in them are sufficient to take notice
- Assessing if there are certain geo-zones where a fundamental or quantitative approach is better
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4.10pm | Investor case study 1: creating a balanced portfolio of both quantitative and fundamental risk – an institutional investors success story
- A detailed example of a hybrid fundamental-quantitative risk model Talanx use with an explanation of the decisions taken to decide the risk factor weightings
- Examining the objectives of creating a fundamental and quantitative investing balanced portfolio and assessing if the goals were met
- Assessing the challenges and opportunities when incorporating both fundamental and quantitative risk factors into a single fund
- A look in hindsight of what changes Talanx would like to make to their hybrid fund with an explanation of why
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4.25pm | Investor case study 2: combining fundamental and systematic approaches in global tactical asset allocation – the ABG Investments method
- GTAA at APG Investments: the power of diversification across investments styles, investment universes and investment horizons
- Examining the organisational setup of GTAA
- Exploiting the long-term horizon of a pension fund
- The role of alternative beta in global/macro strategies
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4.40pm | Panel debate: examining the advantages and disadvantages of using quantitative versus fundamental risks in portfolio modeling
- Is quantitative investing going to become the primary way investors invest?
- What can the quantitative management industry learn from the fundamental and how can they apply it?
- In what situation should a quantitative strategy be switched off and fundamental management take over
- Hybrid models: is a half man half machine approach the best option or will they only contradict each other?
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5.10pm | Chairman’s closing remarks and end of conference
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Pre-conference workshop - Monday 22 September 2008
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| MODELING EQUITY MARKET BEHAVIOUR
Robert Fernholz, Chief Investment Officer, INTECH |
Classical mathematical models for stock markets do not behave like real stock markets; in particular, current models result in unstable long-term behaviour. This workshop will apply stochastic portfolio theory to construct and analyse equity market models that have some of the properties found in actual markets. Applications to portfolio behaviour and optimisation will be studied, and fundamental questions such as the existence of arbitrage will be discussed. Open research problems will be debated, along with a discussion on the direction for future research.
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8.30am | Registration and refreshments
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9am | Welcome and introduction
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| CLOSED MARKETS |
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9.10am | Stochastic portfolio theory
- The logarithmic representation
- Stochastic portfolio theory within the market portfolio
- Assessing markets with constant parameters
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9.35am | Volatility-stabilised markets
- Understanding volatility stabilised markets
- Volatility-stabilised markets within the U.S. market
- Analysing arbitrage in equity markets
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9.55am | Question and answers
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10.10am | Morning refreshments and networking
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| OPEN MARKETS |
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10.40am | A look at rank-based models
- Examining ranked stocks and local times
- Asymptotically stable markets
- Exploring the Atlas model
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11.05am | Evaluating the behaviour of rank-based models
- Achieving portfolio optimisation in Atlas markets
- First-order models
- Assessing the capital distribution
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11.25am | Questions and answer
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11.50am | Conclusion – The direction of future research
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12pm | Networking lunch
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| POST-MODERN PORTFOLIO CONSTRUCTION AND RISK MANAGEMENT METHODS
Doug Martin, CEO & Dr. Stoyan Stoyanov, Head of Quantitative Research, FinAnalytica |
It is common-place knowledge that asset distributions are often quite poorly modelled by normal distributions, and that fat-tailed and skewed distribution model fitting is required along with the use of general cross-section dependency models and volatility clustering. This workshop will apply fat-tailed multivariate distributions to equity portfolio and fund-of-funds portfolio construction and risk analysis, and will apply robust statistical modelling in ways that are complementary to the use of fat-tailed distribution models. Directions for future research are also discussed.
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1.10pm | Welcome and introduction
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1.20pm | Fat-Tailed Skewed Distributions, Cross Section Dependence and Volatility Clustering Models
- Fitting stable distributions and skewed t distribution
- Skewed t copula and their use
- Volatility clustering for fat-tailed distributions
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2.05pm | Questions and answer
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2.20pm | Afternoon refreshments and networking
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| ROBUST STATISTICS IN PORTFOLIO CONSTRUCTION |
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2.50pm | Robust Statistics in Finance
- Data-oriented and theoretical foundations of robustness
- Robust correlations and covariance’s
- Robust mean-variance portfolios
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3.15pm | Behaviour of rank-based markets
- Robust factor models
- Robust EWMA and GARCH models
- Robustness versus fat-tailed distributions: which or both?
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3.35pm | Questions and answer
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4pm | Conclusions – the direction of future research
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