2019 Autumn Seminar.
8th – 11th September, Cambridge
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:
What’s on and when.
- 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
- 7 speakers – 6 presentations the speaking order is to be confirmed
- Formal candle lit dinner in Magdalene College hall
- 4 speakers – the speaking order is to be confirmed
- The legendary punting challenge
- Informal dinner in Cripps Court
- 3 speakers – the speaking order is to be confirmed
- Final buffet lunch in Cripps Court
- Depart after lunch
The following talks are taking place.
How Generic is value?
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
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
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
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 Shift from Active to Passive and its Effect on Intraday Stock Dynamics
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.”
We are very pleased to confirm this outstanding list of speakers.
Head of Research Schroders
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.
Geschäftsführer Lampe Asset Management
Executive Director Morgan Stanley
Director Quantitative Research UBS
Partner First Quadrant
Managing Director - Global Head of Quantitative Execution Services Goldman Sachs International
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.
Global Head of Scientific Equity Research BlackRock
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.
Senior Lecturer in Finance Cambridge Judge Business School
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.
Head of Analytics & Quantitative Modelling UBS Asset Management
European head of the Portfolio Solutions Group AQR
Reader in Financial Economics Cambridge Judge Business School
Giuliano De Rossi
Executive Director - Quantitative Execution Services Goldman Sachs International
Marielle de Jong
Head of Fixed-Income Quant Research Amundi
Managing Director and Global Head of Risk and Quantitative Analysis BlackRock
Where to stay.
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.
The annual punting challenge.
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!