 Mr Andrew Clark,
Chief Index Strategist Thomson Reuters Andrew Clark is Chief Index Strategist for Thomson Reuters Indices, a new business venture from Thomson Reuters.
In this role, Andrew is responsible for developing new index methodologies, vetting index methodologies proposed by partners of Thomson Reuters Indices, chairing the Thomson Reuters Index Action Committee, and serving as “chief evangelist” for the Thomson Reuters Index business.
Andrew is one of the key developers of Thomson Reuters current site of indices – Country Region and Sector Equity indices – as well as the soon-to-be-released Captialization, Growth and Value indices. Andrew also led the team which developed Thomson Reuters’ Optimal indices.
As evangelist, Andrew has made several appearances on CNBC in the U.S., BNN in Canada, MSNBC in Hong Kong, CCTV in mainland China, CNNfN and Reuters Insider. He has spoken in many industry, economic and mathematical conferences where he has presented original research and discussed trends and outlooks for markets world-wide.
Andrew has won several awards for his research – most recently the Most Innovative Index award for the Thomson Reuters Realized Volatility Index at the 2009 Super Bowl of Indexing and Best Investment Paper award from Midwest Finance Association. He is regularly quoted in the Wall Street Journal, the New York Times, the International Herald Tribune, the FT and other publications worldwide. His research works has appeared in Physica A, Quantitative Finance, European Physical Journal B and other academic journals.
Andrew’s current white papers, copies of his presentations and downloads of his webcasts are available at http://financial.thomonsonreuters.com/indices and versions of his academic working http://papers.ssrn.com/sol3/cf_dev/AbsByAuth.cfm?per_id=388649.
Appearing: Pre-Conference Masterclasses: Monday, 15 March 2010 10.05am Masterclass B
Masterclass B
Managing indexing investment portfolios for performance, value and profit
Part 1: Screening and understanding the valuation of financial instruments in index creation
Geoff Horrell will take the audience through the procedure of sector allocation using Thomson Reuters Business Classification. The audience will learn how stocks are assigned to industries and how to use related content and technology to screen and select them efficiently.
Part 2: Trading algorithms and exclusion rules – Refreshing portfolio analysis through the integration of real-time information and historical data
We will present to the audience an efficient tool for portfolio analysis, which delivers multi-currency performance attribution, sophisticated portfolio profiling and global risk analysis. This will allow the audience to keep portfolios aligned with their investment objectives and improve client retention.
Part 3: Portfolio construction and asset class strategies – Determining specific fund weightings and implementing a value investing approach
Andrew Clark will start with Modern Portfolio Theory - Mean variance optimisation and related methods, and continue from there to the Fama-French method of portfolio construction, then end with the recently developed generalised CAPM approach with its emphasis on non-Gaussian distributions and the measurement of tail-risk.
Led by: Thomson Reuters
Mr Andrew Clark, Chief Index Strategist,
Thomson Reuters Content Strategist, Industry Classification,
Thomson Reuters Business Manager, Investment Management & Research Asia,
Thomson Reuters Conference Day Two: Wednesday, 17 March 2010 3.45pm Quant Invest Case Study: The Finer Points: What makes sectors tick? Mr Andrew Clark, Chief Index Strategist,
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Our speakers are offered an unrivalled opportunity to:
- Be seen as industry leaders at the most prestigious meeting place of the year
- Have exclusive access to the most senior decision-makers in the industry
- Meet the industry leaders, understand their needs better, and develop business relationships with them
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