Investment and strategy for quant investors and their managers

Day One Monday 21 November 2011

Day One Monday 21 November 2011 »

Day Two Tuesday 22 November 2011 »

last modified: 23 September '11

The Quant Environment

8.15am

Breakfast & Registration

9am

Chairman Welcome Address

9.10am

Keynote Presentation: An introduction to quant in Australia: Defining quant

Quant investing has fallen in and out of favour with investors several times over recent years
There is no single “quant style” and in fact just what is quant management is the subject of much conjecture
A provocative review of the various “styles” of quant management and thoughts on the logical place for quant and fundamental management of equities within investment portfolios in this post GFC environment.

› Mr John Bowers,

Director, BCS Capital

9.50am

Panel: Understanding quant investments around the GFC, what needs change?

Performance before and after 2007: style goes out of fashion
Quantitative management – the generic paradigm and why it’s in trouble
Risk model crowding and the perils of factor mismatch
Microstructure’s macro impacts

› Dr Don Hamson,

Managing Director, Plato Investment Management

› Mr Ganesh Suntharam,

Head of Quant, Perpetual Limited

› Ms Judith Posnikoff,

Managing Director / Founder, PAAMCO

› Mr Joe Cole,

Managing Director, QIC

10.30am

Presentation: Does quantitative investing work in emerging markets?

Understanding the differences in quant managers in the US and emerging markets
Value, growth and size as systematic premiums, does it apply to emerging markets as well?
Active fundamental managers, quant managers and how they fit in an emerging market

› Mr Pranay Gupta,

Chief Investment Officer, ING Investment Management

11am

Morning Tea

11.20am

Panel: How to distinguish between different styles of quant for a stronger portfolio

What parts of quant are becoming ineffective - and what are their
What styles of quants are currently available?
How do they differ?
What are the common misconceptions in quant?
Discovering new factors, new models, new combinations of factors
How can quant investment strategies contribute to a more diversified portfolio?

› Mr Ganesh Suntharam,

Head of Quant, Perpetual Limited

› Dr Jonathon Brogaard,

Assistant Professor of Finance, University of Washington

› Mr Joe Cole,

Managing Director, QIC

Designing Quant Investment Strategies

12pm

Presentation: Designing quantitative strategies in order to meet the needs of the post GFC investor

Brave New World or Back to the Future?
Satisfying investor needs in a post Cooper ‘Mysuper’ world: maximising returns after fees and taxes
The forgotten dimension – volatility – can you improve returns by taking less risk?
Core, Enhanced or 130/30?

› Dr Don Hamson,

Managing Director, Plato Investment Management

12.30pm

Speed Networking

1pm

Networking Luncheon

2pm

Presentation: Leveraging alternative beta – Prediction-less quants that offer alternative risk / return characteristics

Alternative beta – what it is and what it does
Exploration of some key examples
Benefits and risks of alternative beta strategies
Quant alpha and alternative beta – where to from here?

› Mr Laurence Irlicht,

Investment Director - Listed Equities, Industry Funds Management

2.30pm

Presentation: Tax efficient strategies: Maximising after tax returns

Can a quant process be tuned to deliver tax efficient outcomes?
How to increase franking credits
How to decrease capital gain tax

› Ms Jacki Chorazy,

Senior Associate, Access Capital Advisers

3pm

Networking afternoon refreshments

Allocating to Quant Funds

3.20pm

Panel: What do investors look for when assessing a quantitative fund or strategy?

Selecting a quant manager vs. a traditional manager
How important is transparency, risk controls, tracking error, turnover, etc
How important is the relationship with the fund manager?
Why past performance is not always a good indicator

› Mr Glen Foster,

Senior Investment Analyst, Perpetual Limited

› Mr Simon Elimelakh,

Head of Investment Strategy, Ibbotson

› Mr Richard Dalidowicz,

Senior Investment Manager, Australian Super

› Mr Dennis Sams,

Executive Manager, Research, UniSuper

4pm

Presentation: Creating a balanced portfolio that incorporates both quantitative and fundamental techniques

UHNW expectations with respect to simplicity and transparency
Using quantatitve tools to simply explain ‘fundamental risk and behavioural concepts’
Role of quantitative managers in UHNW portfolio construction
Private Banking clients do respond to ‘intellectual rigour and discipline’ in investment decision making
Importance of investor education and communication

Man vs. Machine

4.30pm

Panel: Man & Machine: Examining the merits of quant and fundamental approaches in order to develop a diversified portfolio

The human trader: Dynamic, understanding and adaptable
What can go wrong with human decision making?
The computer trader: Where do they provide the most advantage?
How much fundamental thinking goes into quantitative approaches?
Is the hybrid quant a viable option? Where has this been successful?

› Mr Eric Demoiseau,

Quant Analyst, Alliance Bernstein

› Ms Judith Posnikoff,

Managing Director / Founder, PAAMCO

› Mr Mario Ledencan,

Managing Partner, Treevest Capital

› Mr John Livanas,

CEO, AMIST Super

› Mr David Griffith,

Director - Senior Investment Manager, BlackRock

5.10pm

Presentation: Next Gen Quant: Rise of the machines

What is the goal of ‘Next Gen Quant’? What are the idea that distinguish in from ‘Old Quant’, and why is there a need for it?
The role of the behaviour of the stock market as adaptive and non-linear
The role of new computer technology and data sources
What are the analytical tools that help us accomplish the goals of Next Gen Quant?
Machine Learning, Evolutionary Computing, Natural Language Processing and Ensemble Learning
What does the next gen portfolio look like?
The role of better risk management in a correlation and multi-beta aware world.

› Mr Matthew Perone,

Director, Helix Partners

5.40pm