LQG Event

2019 Autumn Seminar.

8th – 11th September, Cambridge

The 2019 autumn seminar approaches. This year it will be held at Magdalene College Cambridge from the 8th to the 11th of September with 14 outstanding speakers.

If you have not already done so it is time to book your place, reserve the dates in your calendar and book transportation. The fee for this seminar is £999+VAT, plus the booking fee.

To register / book your place you will need this code:
LQGAutumn2019zxc

Seminar Format

What’s on and when.

Sunday
8th
September
  • Arrival day – Enjoy the historic city of Cambridge and and opportunity for some punting practice.
  • A buffet dinner will be served in Cripps Court from 18:30
Monday
9th
September
  • 7 speakers – 6 presentations the speaking order is to be confirmed
  • Formal candle lit dinner in Magdalene College hall
Tuesday
10th
September
  • 4 speakers – the speaking order is to be confirmed
  • The legendary punting challenge
  • Informal dinner in Cripps Court
Wednesday
11th
September
  • 3 speakers – the speaking order is to be confirmed
  • Final buffet lunch in Cripps Court
  • Depart after lunch

Presentations

The following talks are taking place.

How Generic is value?

Bernd Scherer and Stephan Kessler

We document the impact of alternative design choices for creating long/short value factor return series (strategies) on their risk adjusted returns. Using alternative parameter selections the extent of the difference in results outline that value cannot be defined by a singular value factor but needs to be understood as a broad concept. Next we derive the impact of design choices on critical t-value to protect against false discoveries and guide research governance. We find that statistical procedures that have been designed to mitigate the impact of data mining can help us to ex ante identify a set of design choices that will continue to perform better out of sample. Our research joins the list of papers that are critical of presenting “the” single best design choice without displaying the many design choices (research routes) that have been tested in the process of conducting research.

Quant in emerging markets

Claire Jones

There are fewer quant funds working in the Emerging Markets than in the Developed Markets and traditional quant signals appear to have greater power there, which suggests there may be more opportunities for quant investors. However, EM investors also face much larger trading costs. We examine whether smart beta strategies work better in this region after considering trading costs.

Performance metrics meanings and interpretations in asset management by managers, consultants, funds and trustees

Dori Levanoni

Asset managers are judged by allocators (pension funds, etc.) and advisors (consultants, OCIO, etc.) based on various performance metrics (sharpe ratio, drawdowns, etc.). What do they think that really tells them about managers? What do managers think it tells them about us?

Phantom of the Opera: ETFs and Shareholder Voting – winner of 4 Nations Cup at HEC

Oguzhan Karakas

The short-selling of exchange-traded funds (ETFs) creates “phantom” ETF shares with cash flows rights but no associated voting rights. Both regular and phantom ETF shares trade at ETF market prices. However, while regular shares are backed by the underlying securities of the ETF and voted as directed by the sponsor, phantom shares are backed by collateral that is not voted. Introducing a novel measure of phantom shares both of the ETF and corresponding underlying securities, we find that increases in phantom shares are associated with (i) decreases in number of proxy votes cast (for and against), (ii) increases in broker non-votes, and (iii) increases in the vote premium over the voting record date for important votes for the underlying stocks of the ETF. Consistent with poor governance, firms with the highest proportion of phantom shares underperform.

The current rates environment, the yield curve and the sensitivities of the value factor

Thomas Maloney

Cloning active funds with ETFs using LASSO

Pedro Saffi

The Shift from Active to Passive and its Effect on Intraday Stock Dynamics

Giuliano De Rossi

A recent academic article titled “Do ETFs increase volatility?” argues that passive funds tend to propagate liquidity shocks to the underlying securities, thus increasing stock volatility. While most of the existing work focuses on daily returns based on closing prices, we use intraday data to analyse the relation between passive ownership and stock price dynamics.

The main conclusion is that the effect is concentrated at the end of the continuous trading session and at the Close. This is arguably due to the concentration of portfolio trades in the order flow during that phase. We also document differences in the impact of passive investing between US and European markets due to the different design of the closing auction. Our results highlight the importance of cross-impact, a concept that has been proposed in the literature on optimal trade execution and provide guidance, at stock-level granularity, on differential recommended treatment in algorithmic execution.”

Fixed income factor investing

Marielle de Jong

Speakers

We are very pleased to confirm this outstanding list of speakers.

Ashley Lester

Ashley Lester

Head of Research Schroders

Ashley Lester is the Head of Multi-Asset Research at Schroders. He is responsible for factor investing strategies (long-only and long-short), risk premium allocation modelling and proprietary portfolio construction tools. Ashley is chair of the Strategic Investment Group Multi-Asset (SIGMA) and the Model Review Group. He joined Schroders in 2015 and is based in London.

Previously, Ashley was the Head of Fixed Income and Multi Asset Research at MSCI, with responsibility for fixed income, alternatives and risk methodology in the widely used Barra and RiskMetrics platforms.

He was a Managing Director and Head of Market Risk Methodology at Morgan Stanley from 2007 to 2013, where he was responsible for market risk models used by Morgan Stanley globally to calculate regulatory and economic capital. Early in his career, he was Visiting Assistant Professor of Economics and Finance at Columbia Business School and an Assistant Professor of Economics at Brown University. Ashley holds a PhD in Economics from M.I.T and a Bachelor of Economics (Honours Class I and University Medal) from the University of Sydney.

Bernd Scherer

Bernd Scherer

Geschäftsführer Lampe Asset Management

Dr. Bernd Scherer is Geschäftsführer at Lampe Asset Management responsible for alternatives and systematic strategies. Bernd combines extensive investment experience across all asset classes with strong academic credentials. He is a creative investor, quantitative researcher and academic. During his professional career, he worked in senior positions for various hedge funds, asset management companies and banks in New York, London, Vienna and Frankfurt. His academic work has been published in Journals like the Journal of Banking and Finance, Journal of Financial Markets, Journal of Empirical Finance, Journal of Economics and Statistics, Quantitative Finance, Journal of Derivatives, Journal of Portfolio Management, Financial Analysts Journal, Journal of Investment Management, Risk, Financial Markets and Portfolio Management, Journal of Asset Management etc. Bernd is also author/editor of 8 books on quantitative asset Management for Risk, Springer and Oxford University Press.
Stephan Kessler

Stephan Kessler

Executive Director Morgan Stanley

Dr. Stephan Kessler recently joined Morgan Stanley as Global Co-Head of Quantitative Investment Strategies (QIS) Research. Prior to joining Morgan Stanley, Stephan was lead portfolio manager and head of research in the alternative investment strategies team within Goldman Sachs Asset Management’s QIS platform, focused on alternative risk premia and liquid hedge fund replication strategies. He joined Goldman Sachs in 2010 as an equity derivatives strategist. Further previous roles include tenures as portfolio manager for a quantitative multi-strategy fund at Morgan Stanley Investment Management and as founding partner of a financial consulting company in Switzerland. Following his Master in Economics and Business Administration from University of Mannheim in 2002, Stephan earned a PhD in Economics from University of St. Gallen in 2006. Today Stephan is still a lecturer for financial modelling at University of St. Gallen. He is the author of numerous articles on financial markets which appeared in academic journals such as the Journal of Portfolio Management, the Journal of Financial Markets and the Journal of Banking and Finance.
Claire Jones

Claire Jones

Director Quantitative Research UBS

Claire Jones graduated with a first class degree in Maths from St John’s College, Oxford and joined the quantitative equity research team at UBS in April 2008. Since then, she has written research across a wide variety of topics including alpha, style factors, risk and portfolio construction.
Dori Levanoni

Dori Levanoni

Partner First Quadrant

Dori Levanoni is a Partner and senior member of First Quadrant’s investment team. With a career spanning over 25 years with First Quadrant, he has been involved in all aspects of investment management from research to risk measurement, risk allocation, portfolio optimization, trading and portfolio management. From his early specialization in tactical asset allocation and global macro strategies, Mr. Levanoni currently serves as Portfolio Manager for strategies in the firm’s diversifying and risk-mitigating solutions categories. Mr. Levanoni joined First Quadrant from the California Institute of Technology with a background in physics and has also worked in the anatomy and neurobiology department of Washington University in St. Louis.
Michail Steliaros

Michail Steliaros

Managing Director - Global Head of Quantitative Execution Services Goldman Sachs International

Michail Steliaros is global head of Quantitative Execution Services at Goldman Sachs. He is responsible for the research, development and implementation of quantitative processes for portfolio and electronic trading, as well as the management of the firm’s relationships with the quantitative client-base across regions. Michael manages a variety of teams globally, spanning algorithmic research, portfolio quants, client solutions, analytics and quantitative content generation. He joined the firm as a managing director in 2017.

Prior to joining the firm, Michael spent eight years at Bank of America Merrill Lynch in a variety of senior roles in London and New York, including the centralisation of risk for the bank’s equities flow, quantitative liquidity management processes and in the last few years running the global agency portfolio trading and quantitative equity businesses. Earlier in his career, he spent more than a decade on the buy-side (most notably BGI and Winton) building quant stock-selection models and managing global market neutral equity portfolios. Before that, Michael was a Financial Econometrics lecturer at City University (CASS) Business School in London. He has a wide range of academic, peer-reviewed and practitioner journal and book publications on a host of finance topics, as well as numerous presentations in global quant and industry conferences. Michael received a bachelor’s degree in Economics & Econometrics from the University of Nottingham, a master’s degree in Finance and a PhD in Behavioural Finance from City University (CASS) Business School in London.

Ron Kahn

Ron Kahn

Global Head of Scientific Equity Research BlackRock

Ronald N. Kahn, PhD, Managing Director, is Global Head of Systematic Equity Research at BlackRock. He has overall responsibility for the research underpinning the Systematic Active Equity (SAE) products. His service with the firm dates back to 1998, including his years with Barclays Global Investors (BGI), which merged with BlackRock in 2009. Prior to joining BGI, he worked as Director of Research at Barra, where his research covered equity and fixed income markets. Ronald Kahn is a well-known expert on portfolio management and quantitative investing. He has published numerous articles on investment management, and, with Richard Grinold, authored the influential book Active Portfolio Management: Quantitative Theory and Applications. The two of them are the 2013 winners of James R. Vertin award, presented periodically by the CFA Institute to recognize individuals who have produced a body of research notable for its relevance and enduring value to investment professionals. He is a 2007 winner of the Bernstein Fabozzi/Jacobs Levy award for best article in the Journal of Portfolio Management. He serves on the editorial advisory boards of the Financial Analysts Journal, the Journal of Portfolio Management and the Journal of Investment Consulting. The 2007 book How I Became a Quant includes his essay describing his transition from physics to finance. He teaches the equities half of the course, “International Equity and Currency Markets” in UC Berkeley’s Master of Financial Engineering Program.
He earned an AB degree in physics, summa cum laude, from Princeton University, and a PhD in physics from Harvard University. He was a post-doctoral fellow in physics at University of California, Berkeley.
Oguzhan Karakas

Oguzhan Karakas

Senior Lecturer in Finance Cambridge Judge Business School

Oğuzhan Karakaş is a University Senior Lecturer in Finance at the Cambridge Judge Business School (CJBS). He is also a Fellow of the Centre for Endowment Asset Management of CJBS, the Cambridge Endowment for Research in Finance of CJBS, and the J M Keynes Fellowship in Financial Economics.

Oğuzhan was an Assistant Professor of Finance at the Carroll School of Management at Boston College prior to joining Cambridge Judge Business School. He received his PhD at London Business School, his MSE at Princeton University, and his BS at Middle East Technical University.

Oğuzhan’s research focuses on Corporate Governance (particularly in Ownership and Control), Corporate Social Responsibility, and Private Equity. His research appeared in leading academic journals (Journal of Finance, Review of Financial Studies, and Journal of Financial Economics).

Oğuzhan’s research in Corporate Social Responsibility is awarded with ICPM Research Award, Vice-Chancellor’s Impact Awards of the University of Cambridge, FIR-PRI Finance and Sustainability European Research Award for the best published research article, IRRCi Research Award – Honorable Mention, and Moskowitz Prize for the Best Paper in Socially Responsible Investing.

Matthias Uhl

Matthias Uhl

Head of Analytics & Quantitative Modelling UBS Asset Management

Matthias Uhl is head of Analytics & Quantitative Modelling (AQM) in Investment Solutions at UBS Asset Management, the global lead for sentiment analytics at UBS Group, and a lecturer at the University of Zurich. Previously, he was Chief Investment Officer at FLYNT Bank AG, has worked as quantitative strategist in the CIO Office at UBS Wealth Management, as FX and rates trader at UBS Investment Bank, as commercial banker at Deutsche Bank, and as economist at KOF Swiss Economic Institute. Matthias holds a Ph.D. in applied macroeconomics and behavioral finance from ETH Zurich, a Master of Science from Oxford University and two Bachelor of Arts degrees from the American University of Paris. Matthias has published his research in various academic journals, such as the Journal of Portfolio Management, Finance Research Letters, Journal of Derivatives, and Journal of Behavioral Finance, among others.
Thomas Maloney

Thomas Maloney

European head of the Portfolio Solutions Group AQR

Thomas Maloney is European head of the Portfolio Solutions Group, where he focuses on conducting investment research and using AQR’s capabilities to enhance client portfolios. He contributes to white papers and engages clients on topics such as strategic asset allocation and capturing alternative sources of return. He is co-author of several published articles, including “Exploring Macroeconomic Sensitivities” (JoPM), “Understanding Style Premia” (JOI), and “Market Timing: Sin a Little” (JOIM). Prior to AQR, he was a senior quantitative analyst and portfolio manager at Brevan Howard Asset Management, specializing in quantitative macro strategies and portfolio construction. Thomas earned an M.Phys. in physics with first class honors from the University of Oxford.
Pedro Saffi

Pedro Saffi

Reader in Financial Economics Cambridge Judge Business School

Dr. Pedro Saffi is currently a Reader at the Judge Business School (University of Cambridge, UK) and was an Assistant Professor of Finance at IESE in Spain between 2007 and 2011. He obtained his PhD in Finance from London Business School in 2007 and a MSc. in Economics from Fundação Getulio Vargas (2002) in Brazil. His research focus on topics such as security lending markets; short selling; and limits to arbitrage. He regularly presents his work in the top academic conferences and contributed with articles to the popular press. He has published his work in the top Finance journals in the world, like the Journal of Finance, the Review of Financial Studies, and the JFQA. In 2012 he was awarded one the Q Group’s research awards, in 2013 an award by Inquire Europe, in 2015 the NAC & Blackrock Global Challenge for Innovation in Corporate Governance prize, and one of the 2015 Crowell prizes given by PanAgora Asset Management. He is also the Director-elect of the Masters in Finance at the Judge Business School.
Giuliano De Rossi

Giuliano De Rossi

Executive Director - Quantitative Execution Services Goldman Sachs International

Giuliano De Rossi is an Executive Director in the Quantitative Execution Services team at Goldman Sachs. Prior to this, he worked at Macquarie and PIMCO. He also spent six years in the Quantitative Equity Research team at UBS. Giuliano has a PhD in economics from Cambridge University, and worked for three years as a college lecturer in economics at Cambridge before joining the finance industry on a full-time basis. Giuliano’s Masters degree is from the LSE and his first degree is from Bocconi University. He has worked on a wide range of topics, including pairs trading, low volatility, the tracking error of global ETFs, cross asset strategies, downside risk and applications of machine learning to finance. His academic research has been published in the Journal of Econometrics and the Journal of Empirical Finance.
Marielle de Jong

Marielle de Jong

Head of Fixed-Income Quant Research Amundi

Marielle de Jong Ph.D. is head of fixed-income quant research at Amundi since 2011. She holds an MSc in econometrics from Erasmus University Rotterdam, an MSc in operations research from Cambridge University (UK), and a PhD in finance from the University of Aix-Marseille. She has worked for BARRA research and for Quaestor (Yasuda) in London from 1994 to 1997, before moving to Paris where she was vice-president of financial engineering at Sinopia (HSBC). She publishes articles in the field of quantitative investment research and is co-editor of the Journal of Asset Management since January 2018.
Ed Fishwick

Ed Fishwick

Managing Director and Global Head of Risk and Quantitative Analysis BlackRock

Ed Fishwick is Managing Director and Global Co-Head of Risk & Quantitative Analysis at BlackRock. In addition he is a member of the European Executive and Global Operating Committees of the firm, and is a member of the Board of BlackRock Group Ltd. Mr. Fishwick has worked in quantitative finance for over 30 years in London, New York and Boston. Previously he was Head of Risk Management and Investment Process Research at AXA Investment Managers, and Director of Research at Quantec. Mr. Fishwick is a member of the Editorial Board of the Journal of Asset Management, and is the Chairman of the London Quant Group.

Accommodation

Where to stay.

The college’s Cripps Court conference centre has excellent accommodation and you are encouraged to stay there. The LQG has secured rooms at a very competitive rate. If you do not want to stay in the Cripps Court please make your own arrangements. The LQG is not reserving hotel rooms.

Accommodation reservations in Cripps Court will cover the full seminar from the 8th to the 11th.

Dinners and lunches

Magdalene college is very proud of its catering and as Cambridge does not have restaurants that can seat the LQG comfortably and the college has ideal facilities we shall make optimal use of them!

  • Sunday night – Buffet in Cripps Court Galery
  • Monday lunch – hot and cold buffet
  • Monday dinner – formal candle-lit dinner – Magdalene Clollege Hall
  • Tuesday lunch – hot and cold buffet
  • Tuesday informal dinner – Cripps Court Gallery
  • Wednesday lunch – hot and cold buffet

Breakfast is included for all staying in college rooms.

Entertainment

The annual punting challenge.

The annual punting challenge will be held which is an opportunity to demonstrate elegance, skill, fitness, power and luck in both punting and investment. It is also a chance to demonstrate prowess in synchronised and asynchronous swimming, market-making, game theory, career planning, hedging, tail risk management, as well as making and keeping friends.

Punting is both easier and harder than it looks – but above all it is to be enjoyed with friends in a beautiful setting. Practice and instruction are typically organised on the Sunday afternoon before the seminar starts and depending on demand, or need, also on the Monday.

Clothes for punting
Please bring loose fitting informal clothes to wear for the punting. There is the possibility of getting wet as rain is always a possibility. Trainers or sailors’ deck shoes are ideal. An LQG T-shirt will be available for all though may be supplemented (or disguised!) as required according to temperature and propriety!