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Conference:
Day 1
29th November
Day 2
30th November
Day 3:
1st December
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Monday 29 November, 2010 – New Trends & Opportunities Day Monday 29 November, 2010 – New Trends & Opportunities Day
8.50am Registration and breakfast9.20am CHAIRMAN’S OPENING REMARKS9.30am OPENING KEYNOTE ADDRESS
Conclusive new evidence: why stock markets are highly inefficient, and the implications for risk and return.
Learn from an industry pioneer who was recently ranked 17th in the list of 1,000 most influential authors in finance literature between 1959 and 2008. Today, he will reveal:
- Conclusive evidence that U.S. equity markets are highly inefficient
- The profiles of stock portfolios that produce high and low expected returns
- Why the principal and dominant driver of daily returns to the S&P 500 is changes in the market’s assessment of its risk
- Why the payoff to risk bearing inside the U.S. stock market has been strongly and consistently negative over the last 45 years
Author, ""The New Finance""
10.10am Presentation title being finalized
Chairman & Chief Scientist, CFM
10.40am Quantitative equity management: shakeout or death rattle?
- Performance before and after 2007: style goes out of fashion
- Risk model crowding and the perils of factor mismatch
- Microstructure’s macro impacts
- Innovation vs. window dressing
Chief Investment Officer, D. E. Shaw Investment Management, L.L.C.
11.10am Morning refreshments and networking11.40am PANEL DISCUSSION
How well did quantitative strategies navigate the post-crisis markets, and is the disappointing per formance of some a structural or cyclical phenomenon?
- Have quant strategies really under-performed since the global financial crisis?
- Which strategies failed most significantly, and why did they fail?
- If the cause is cyclical, where exactly in the cycle are we now?
- If structural, what is it that has fundamentally changed and how can these strategies return to winning ways?
- What can we learn from the quant strategies that performed well?
Author, ""The New Finance"" President, CFM International Inc. Chief Executive Officer, AHL
HIGH FREQUENCY & ALGORITHMIC TRADING12.20pm GUEST ADDRESS
Incorporating algorithmic trading strategies into your quant portfolio: balancing different Alpha decay, transaction costs and risk
- In the traditional view, the three basic functions of money management – portfolio construction, risk analysis, andexecution – are considered separable: why this is suboptimal
- Taking a practical multi-period dynamic portfolio optimization framework that unifies these traditional money management functions, incorporating strategies with different alpha decay (different horizons) and market impact cost
- Applying this framework to high-frequency trading as well as to factor-based quantitative strategies
Director of the Mathematics in Finance M.S. Program, Courant Institute of Mathematical Sciences
12.50pm GUEST ADDRESS
Using artificial intelligence (AI) and genetic algorithms (GA) to develop 100% machine-based robotic trading
- Artificial intelligence – a general review
- Artificial intelligence – how Hyde Park Global uses it for quantitative trading
- Infrastructure
- model development
- live trading
President, Hyde Park Global
1.20pm Using innovative new automated trading platforms to asset the full quant trading life cycle
CEO & Founding Partner, Fisycs Capital
REGENERATING TRADITIONAL STRATEGIES2.45pm Regenerating traditional balanced fund management
- Generating asymmetry in returns
- Bridging the gap between option hedging and market timing
- Improving long term returns
Global Head of Quantitative Management, Lyxor Asset Management
EXPLOITING NEW ASSET CLASSES3.15pm CTAs and Global Macro: new trends and opportunities across asset classes
- What strategies give you best multi-asset class exposure?
- Examining the recent performance of these strategies and future outlook
- What innovation can we expect in CTAs and Global Macro?
- To what extent do these multi-asset class strategies truly diversify?
Chief Investment Officer, First Quadrant
3.45pm Afternoon refreshments and Speed Networking4.40pm INDIVIDUAL ASSET CLASS MASTERCLASSES
Where will we find the most significant inefficiencies and opportunities in 2011?
- Overview of developments in the asset class over the last 12 months
- Where can we expect the greatest inefficiencies?
- What associated risks are there?
- How liquid is the asset class for quant strategies?
- Is the asset class more or less prone to correlate with other asset classes during extreme stress events?
4.45pm Masterclass 1:
Managing Director, Derivatives & Quant Strategies, Morgan Stanley
5.10pm Masterclass 2:
Director and Head of Global Fixed Income and Currencies, Sal. Oppenheim Private Bank
5.35pm Masterclass 3:
Head of Research & Trading, IPM Informed Portfolio Management
6pm Masterclass 4:
Patrick Wirth, Senior Investment Manager , Quantica Capital
6.25pm Drinks reception, hosted by: |
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Event Partner:
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