Our Seminars

London Quant is about seminars in quant investment practice.

We hold approximately six Evening Seminars per year in the City of London. They are announced on the front page of this website. Our Evening Seminars are free, but you must register to attend them.

Our Spring Seminar is held every year in May in central London and is announced on the website. Spring Seminars are one-day events, with attendance fees set according to the cost of hosting the event.

Our Autumn Seminar is held every year in September in either Oxford or Cambridge and is announced on the website. Autumn Seminars are two-and-a-half-day events, with attendance fees set according to the cost of hosting the event.

  • March Seminar – Estimating the Moments of Long Horizon Returns

    • Speaker: Anthony Neuberger | Professor of Finance, Cass  Date: 15th March 2017 Place: BlackRock Topic: Estimating the Moments of Long Horizon Returns
    • Click here to register.
    • Summary:  The moments of long horizon market returns are important for asset pricing but hard to measure with any precision. In the literature, a variety of proxies have been used: option implied moments, estimates from quantiles of the historic distribution, tail statistics of the constituents of the market, and moments of high frequency returns. The moments can also be estimated by fitting parametric models to the price process. None of these methods is entirely satisfactory. The present paper shows that, under rather general conditions (the discounted price process being martingale and ergodic with finite moments), the skewness coefficient of long horizon returns comprises just two components: the skewness of short horizon returns, and a leverage effect, which is the covariance between contemporaneous variance and lagged returns. Similarly the kurtosis of long horizon returns comprises three components: the kurtosis of short horizon returns, the covariance between cubed short horizon returns and lagged returns, and the covariance between squared short horizon returns and lagged squared returns. The paper analyses the skew and kurtosis of the US market index and how they vary with horizon and over time.
    • About Anthony Neuberger Anthony Neuberger read Mathematics and Philosophy at Trinity College, Cambridge where he was a Senior Scholar. He was appointed to the Central Policy Review Staff in the Cabinet Office under Lord Rothschild, and moved to a permanent position at the Department of Energy where he worked on the financial regulation of the electricity supply industry, and international trade in nuclear fuel and on a Green paper on Energy Policy. He left the Civil Service to do an MBA at London Business School. On graduating with distinction, he joined the faculty of LBS and did his PhD there. He was appointed to Associate Professor and became the first Academic Director of the full-time Masters in Finance programme. He subsequently left LBS to take up a chair at Warwick Business School where he was Director of the Financial Mathematics MSc and then became Head of the Finance Group. He joined Cass as Professor of Finance in 2013. His research interests include option pricing and hedging, market microstructure and pensions policy, and he has published in the Journal of Finance, the Review of Financial Studies, and the Journal of Financial and Quantitative Analysis. He has consulted for Government Departments, banks, stock exchanges and other bodies.
    • This seminar is kindly hosted by Blackrock The London Quant Group is very grateful to BlackRock for hosting this event
    • BlackRock 12 Throgmorton Avenue London EC2N 2DL

  • AGM and evening seminar 6th December

    We are pleased to announce the last evening seminar of this year will be a special Christmas event on December 6th at 6.30pm.

    TOPIC:  Event Risk and Active Management SPEAKER: Ed Fishwick | Managing Director and Global Co-Head of Risk and Quantitative Analysis - BlackRock,

    SUMMARY: Winner of the speakers' prize at the 2016 autumn seminar Ed Fishwick will discuss the challenges and opportunities that pivotal political and economic events offer active managers and their clients.

    Venue and registration 

    • LQG Evening Seminar: December 6th at 6.30pm
    • This seminar will be held at BlackRock,
      12 Throgmorton Avenue, London EC2N 2DL
    • Refreshments shall be provided.
    • While there is no cost to attend, you do need to register at Eventbright registration link here.
    • November Seminar Factor Strategies and allocations for the ESG-aware investor

      Speaker: Dimitris Melas | Global Head of Equity Research MSCI 
      Date: 8th November 2016
      Topic: Factor strategies and factor allocation for the ESG-aware investor
      Summary:  In this talk Dr. Melas will explore the increasing influence of Environmental, Social and Governance (ESG) considerations over the last 10 years as they have become increasingly integrated into mainstream portfolio management. The integration of ESG criteria into portfolios raises many important empirical questions that include :

      • The impact of ESG on portfolio performance
      • How ESG alters the risk profile and the factor exposures of portfolios.
      • How ESG affects the ability of different investment strategies to pursue their stated investment objectives.
      The impact on passive strategies and their ability to capture the equity risk premium. The ability of factor strategies such as value, size, momentum, quality, yield and low volatility able to maintain appropriate exposure to their target factors.  Using a consistent portfolio construction framework to answer these and other questions, Dr. Melas will show the impact of ESG integration on different investment strategies.
      About Dimitris Melas Ph.D. MSc. CFA Dimitris is Managing Director and Global Head of Equity Research at MSCI. Prior to joining MSCI in 2006, Dr. Melas worked at HSBC Asset Management as Head of Research and Head of Quantitative Strategies. Dr. Melas is a Chartered Financial Analyst and holds an MSc in Electrical Engineering, an MBA in Finance, and a Ph.D. in Applied Probability from the London School of Economics. He serves as Editorial Board Member of the Journal of Portfolio Management. This seminar is kindly hosted by Blacrock The London Quant Group is very grateful to BlackRock for hosting this event BlackRock 12 Throgmorton Avenue London EC2N 2DL  

    • Autumn Seminar 2016

      Autumn Seminar - September

      Sunday 11th - Wednesday 14th

      Presentations Available.  click on the presentation titles below. Event Venues Worcester College, Walton St, Oxford OX1 2HB The Malmaison Hotel, Oxford Castle, 3 New Road, Oxford, OX1 1AY (for sat nav use OX1 1AY) Worcester College is located on the Junction of Beaumont Street, Walton Street and Worcester Street, less than a ten minute walk from the centre of Oxford. Maps Map of central Oxford to help you find Worcester College and the Malmaison Hotel, Central Oxford Map The seminar room. The seminar will be held in the Linbury Room (bottom left hand corner of the map.) Worcester College Map The Hotel. Malmaison Hotel Map < Sunday September 11th 18:30 Welcome Reception and Dinner at the Malmaison Hotel Monday September 12th, from 9:00 am Dan diBartolomeo - Founder and President, Northfield Information Systems Reconciliation of Default Risk and Spread Risk in Fixed Income Abstract There are two conflicting concepts of what credit risk actually is. The classic definition has to do with the likelihood that a given fixed income instrument will default (Probability of Default, PD), and the expected severity of economic loss in the event of a default (Loss Given Default, or LGD). In this view the focus is on the “tail risk” (negative skew in the return distribution) associated with a singular default event. Many fixed income market participants prefer to think of a given fixed income instrument as offering a credit related yield spread above a comparable duration riskless instrument. These investors think of credit risk as the volatility of the credit yield spread and related impact on the market value of an instrument (conditional on the duration). Even more chaste, some fixed income participants simply use at “duration time spread” (DTS) as a market implied measure of risk. If investors are not risk-neutral, the credit spread will compensate investors for their expected loss (PD*LGD), plus provide a risk premium to induce risk averse investors to hold these instruments. These concepts of credit risk are not equivalent because credit spreads can change over time both because of changes in expected loss, and separately because aggregate investor risk aversion can change, forcing a change in the risk premium (incremental yield) which fixed income borrowers must pay. In this presentation we will review the relevant approaches to credit risk, and illustrate how to reconcile the three views in order to satisfy the default risk concerns of “buy and hold” investors, while simultaneously explaining yield spread volatility for investors who are more concerned with controlling variation in period to period returns. Mark Kritzman - CEO of Windham Capital Management Advances in Factor Replication Abstract Factor investing has gained widespread acceptance among institutional investors. Factors such as economic variables are not directly investable. Investors, therefore, need to identify a combination of securities that tracks the movements in the economic variable. Other factors, however, are directly investable, such as securities with a certain attribute. Often times, though, investors choose to invest in a sub-set of the factor securities that are inexpensive to trade, or they choose to rebalance less frequently to reduce trading costs. In order to identify the best factor-tracking portfolio, investors must estimate covariances from historical observations whose realizations in the future are prone to several types of estimation error. Conventional approaches for mitigating estimation error in covariances, such as Bayesian shrinkage and resampling, are ineffective if the replicating portfolio weights include both long and short positions that sum to zero. We introduce a non-parametric procedure to account for estimation error, which enables us to incorporate the relative stability of covariances directly into the factor replication process. We show that, unlike Bayesian shrinkage and resampling, adjusting for the stability of covariances in this way produces replicating portfolios that are significantly more reliable than portfolios that are blind to estimation error. André Perold- CIO and Co-Managing Partner of HighVista Strategies, George Gund Professor of Finance and Banking, Emeritus, Harvard Business School Risk Stabilisation and Asset Allocation Abstract When asset class risks are time-varying, investors need to decide whether and how to adjust their asset allocations in response to changing estimates of risk. Traditional constant proportion policies such as 60/40 equities/bonds are unlikely to be optimal. In this session, I will examine properties of risk-conditioned strategies, including risk-stabilized portfolios that are managed to a constant conditional expected variance. I derive the portfolio Sharpe Ratio and kurtosis as a function of a) the relationship between expected return and volatility, b) the volatility of volatility, and c) the predictability of volatility. Within this framework, risk stabilized portfolios have the lowest exposure to fat tails. They have attractive Sharpe Ratios for a reasonable range of parameter values, and they have the highest Sharpe Ratio when the conditional Sharpe Ratio of the risky asset is constant. Chris Rogers - Professor of Statistical Science Cambridge Fundamental Fallacies of Finance Abstract Chris Rogers walks through the assumptions in structured finance and the pitfalls of not fully translating them to non quants within the firm, and regulators outside the firm. Micheal Steliaros & Daniel Giamouridis - Global Head of Quantitative Solutions EMEA Head of Portfolio Product Distribution Bank of America Merrill Lynch International (London)  Abstract Abstract and paper unavailable. Contact the authors. Cherry Muijsson - Financial Markets Advisory, BlackRock Risk aversion, wealth, and portfolio choice 18:45, Reception and Dinner The formal dinner at 19:30 is in the Great Hall at Worcester College which is close to the porter's lodge. A chance to dress up in black tie, or national dress is encouraged for those who have it. No shorts, T-shirts or trainers, please! We are lucky to have secured the services of Jed Pascoe a cartoonist to record your presence at the 30th anniversary dinner and Keith "the thief" Charnley to put a look of wonder and astonishment on your faces while he does so. This dinner will be unforgettable and you'll have your cartoon to take home! Tuesday September 13th Jason MacQueen - Founder of LQG and Head of Research Northfield Information Systems. The Myths of Fund Management and the Dumbing Down of Quant.  Abstract Jason walks us through a personal view of quantitative active management, among points discussed: the distinction between academics and practitioners, and the reasons why quantitative risk management is essential. Ron Kahn - Managing Director, Global Head of Scientific Equity Research at BlackRock Single Period Optimization for Multi-Period Investing?  Abstract Unavailable, contact the author. James Sefton - Professor at Imperial College London Primitive and Technical Styles Abstract James returns to the December topic of Style timing and offers his insights.  Among them: Technical styles effectively embed a fundamental style rotation strategy, Low Volatility embeds a successful style rotation strategy that tilts to quality in downturns and value in recovery periods and Price momentum does embed a style rotation strategy, but this adds little value to an earnings momentum strategy. Victor DeMiguel - Professor and Subject Area Chair Management Science and Operations, London Business School Fifty Ways to Beat the Market? Abstract More than 300 characteristics have been proposed to explain the cross-section of stock returns. The existing literature employs Fama-MacBeth regressions to examine which characteristics are significant when considered jointly, but this approach ignores portfolio selection features such as diversification and transaction costs. We study which characteristics are jointly significant for portfolio construction and why. 15:45, An afternoon of Punting 18:45, Reception and Dinner Drinks reception at 18:45 the SeaSalt / Cuttlefish restaurant followed by an informal but delicious dinner Wednesday September 14th Arta Babaee - Co-founder Financial Signal Processing Lab of Imperial College London Turbulence analysis using financial signal processing.  Abstract Unavailable, contact the author. Marielle De Jong - Head of Fixed-Income Quant Research, Amundi Risk Parity: Portfolio optimization in an uncertain world Abstract Marielle examines robust risk parity, by employing shrinkage driven by entropy diversification. Ed Fishwick - Managing Director and Global Co-Head of Risk and Quantitative Analysis at BlackRock Abstract: Unavailable, contact the author.
      Venue: Worcester College, Walton St, Oxford OX1 2HB