• Reflections on the Autumn Seminar – September 2013

    The LQG Autumn Seminar was held at Pembroke College, Oxford over 2.5 days in early September and, on the basis of the feedback we received, was generally regarded as awesome.

    Thirteen speakers covered a variety of subjects ranging from differing views on what’s actually going on with minimum volatility and low beta investing, through new ideas on risk parity and fundamental indexation, high frequency analysis and even “psychic returns” in investment. As usual the debate was sometimes intense, and as usual some speakers survived better than others…

    Each year (27 years and counting) we hold a punt race during the seminar, which was won for many years by a select band of punting aficionados. But the world turns, and the giants of the past are not so quick as in days gone by… The fact that this year the race organisation was spectacularly shambolic, combined with the fact that the decisive winners did not even have the common decency to be English, meant that there was more  than usual to upset the traditionalists.

    What’s not changed is the intensity with which speakers fight for positioning on the feedback league table. We ask for feedback on a 10 point scale for both content & presentation. Overall this year the feedback was extremely good, but the spread of outcomes was large. The top 7 papers, aggregating content and presentation (although these were also the top 7 papers for content and presentation separately, with the order differing a little in the middle of the table), were as follows:

    1)    Dynamic CAPM Geometry (Ed Fishwick)

    2)    Understanding & Using Forecasts (James Sefton)

    3)    Psychic Returns in Investment (Steve Satchel)

    4)    Lecture Notes on Risk Parity (Bernd Scherer)

    5)    The Performance of Low Vol Strategies (Dan di Bartolomeo)

    6)    Improving Fama French (Ron Kahn)

    7)    Global Portfolio Trading (Michael Steliaros)

    Once again the result was dominated by the “old dogs”, with Dr Steliaros being the sole representative of the “youth” contingent in the top half of the table. One day this will surely change. But not this year.

    We will hold two evening seminars in London before the end of the year: on October 29th and December 9th.  Further details will be posted on the website in due course.