Engaging New Controversial Original Rigorous Entertaining
12th of November 2019 London Quant Group Eventing Seminar
Generously hosted by Goldman Sachs International 2 Stonecutter Street, London EC4A 4AH
Mobeen Iqbal – Mining alpha from 13F Filings
All institutions holding more than $100 million in US listed securities are required to disclose their holdings to the Securities and Exchange Commission (SEC) no later than 45 days after each quarter-end under a form known as 13F. Mobeen will review how to identify funds’ “best ideas” using tests and techniques in Cohen, Polk, and Silli (2010) (which you can download) and some new measures tailored to hedge fund analysis.
Only data from managers that have longer-term views are useful in constructing strategies that harness the 13F filings – so they have to be identified first.
A strategy that combines longer-term managers implied conviction and consensus has appealing performance characteristics. Prepare for a graph with a 45 degree line from bottom left to top right!
Mobeen joined Barclays Quantitative Investment Strategies group in June 2019. He researches systematic trading strategies across asset classes. He contributes to the design of new index products and publishes research. Mobeen is finalising his PhD. in Financial Economics at Imperial College Business School. His research has focussed on asset pricing anomalies in FX derivatives and equities markets. He co-authored research with senior economists at the Bank for International Settlements where he was a Technical Advisor. He taught a range of modules on MSc and MBA programmes at Imperial College London. He holds an MRes in Financial Computing from University College London, an MSc in Mathematical Modelling and Scientific Computing from the University of Oxford, and a BSc in Mathematics from University College London.
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