The 2021 One Day Autumn Seminar – Hybrid format
Face-to-Face / In Person … And On-Line / Virtual
The best of both worlds!
What’s on and when – Agenda
Doors will open at 08:30 for registrants only.
Capacity in the room is limited and access is restricted to LQG registrants.
09:00 – 10:00 On convergence of a pure factor portfolio model
Ely Klepfish & Julien Riposo
10:00 – 11:00 Portfolio market Impact
Costis Maglaras & Ryoko Ito
11:00 – 11:30 Tea and Coffee
11:30 – 12:30 Towards Net Zero!
12:30 – 14:00 Lunch
14:00 – 15:00 Macro Factor Investing with Style
15:00 – 16:00 Optimal portfolio implementation: The role of market impact and crowding in style-factor and ESG portfolios
Michail Steliaros & Giuliano De Rossi
16:00 – 16:30 Tea and Coffee
16:30 – 17:30 Central Bank digital currencies
17:30 – 20:30 Networking and refreshments
Talk Titles and Speakers
On convergence of a pure factor portfolio model
Pure factor portfolios, with exposure one to their own factors and zero otherwise, are derived in a sequence of two-step iterations alternating between multivariate cross-sectional and time-series regression. A criterion for convergence to a state of consistency between the two regressions is identified and is shown to be crucial for rigorous factor risk attribution. A proof of convergence of the sequential derivation is presented.
Portfolio Market Impact
Using a unique data set that pools all of Goldman Sachs’ US equities algorithmic trading activity we construct the net portfolios executed in successive 15 min intervals, and use these portfolio trades to estimate market impact. We examine how random (drift-less) price fluctuations in the discrete limit order book market contribute to execution costs, and subsequently estimate that effect which we find to be statistically significant and economically meaningful. We characterize impact decay we see in that data set, and discuss implications on optimal execution.
Authors: Costis Maglaras (Columbia Business School, Columbia University), Michael Steliaros (Goldman Sachs, Global Markets), Ryoko Ito (Goldman Sachs, Global Markets)
Towards Net Zero!
Climate change is “widespread, rapid, and intensifying” according to the most recent Sixth Assessment (AR6) report of the Intergovernmental Panel on Climate Change (IPCC, 2021), a United Nations body representing 195 member governments for assessing the science related to climate. In this talk we explore how investors can align their investments with the climate goals of the Paris Agreement – aiming to limit the global temperature increase to well below two degrees. We build systematic portfolios using new datasets such as the Science Based Targets Initiative (SBTi) and TRACE across equity and fixed income strategies that are both return enhancing as well as being climate-aware.
Macro Factor Investing with Style
Director of Research
Invesco Quantitative Strategies
Investors face similar macroeconomic risks and opportunities regardless of their individual investment preferences. To best navigate growth and inflation concerns, we propose building macro factor-mimicking portfolios diversified across asset classes and style factors. We focus on the macro factors Growth, Inflation and Defensive. Our approach allows for shaping the macroeconomic risk exposure of a given portfolio by applying systematic macro factor completion to effectively address specific economic outcomes.
Optimal portfolio implementation: The role of market impact and crowding in style-factor and ESG portfolios
In the first part of the presentation we analyse the cost of trading factor strategies using a market impact model estimated from actual transactions data, realistic and multiple portfolio construction techniques and up-to-date data. Our results suggest that, for realistic portfolio sizes, the typical costs of rebalancing factor strategies are unlikely to erode the factor premium.
In addition, by building portfolios across different factors and with alternative portfolio construction techniques over time, we are able to assess the degree of similarity amongst strategies, which can be viewed as a measure of crowding. The properties of our new crowding indicator are illustrated through an extensive empirical investigation.
In the second part of the talk, using the same models of market impact, we tackle a question that has thus far been mostly ignored: How does an ESG tilt affect portfolio liquidity and trading costs? Our results suggest that high-ranking ESG stocks tend to be more liquid than the rest of the universe, even after taking into account the fact that large companies tend to have higher ESG scores. Using the GS SUSTAIN scores from Goldman’s Global Investment Research (GIR), we simulate a number of strategies that add an ESG tilt to the major global indices. In addition, we analyse the cost of trading futures contracts as an alternative method of gaining exposure to this theme. Our results show that it is possible to boost the ESG profile of a portfolio, whilst mitigating market impact, through optimisation. The magnitude of the estimated transaction costs is not large enough to generate a significant drag on the recent outperformance of ESG stocks.
Central Bank digital currencies
Rosa & Roubini Associates
Digital currencies are becoming increasingly present on both research and policy agendas, including for central banks. This event explores the rise of CBDCs as a new form of payment system, able to compete with cryptocurrencies and stablecoins. The Brunello will argue that CBDCs could be useful as a means for central banks to record transactions in an increasingly cashless economy and could help improve central banks’ monetary transmission. The event will also discuss the geopolitical role of central bank digital currencies, with a particular focus on China and the risk of cyber-attacks associated with that.
Director Quant Aspect
Between 1989 and 1998 worked as a researcher in Computational High Energy and Condensed Matter Physics (Glasgow University and King’s College London). He joined Commerzbank Global Equities in 1998 as a quantitative analyst.
1999-2009 worked at UBS Quantitative Research, built an analytics library for UBS PAS and maintained its global equity risk model.
In 2010-2014 worked at HSBC Quantitative Research, in charge of portfolio analytics and smart beta research.
In 2014 I established Quant Aspect Limited consultancy specialising in portfolio analytics and model risk management.
Since June 2021 working in FTSE Russell Index Research (London Stock Exchange Group).
Published academic research in Physics, Signal Processing for Financial Time Series, and broker research on factor risk models, portfolio diversification and smart beta strategies.
Professional interests are – factor investment and portfolio construction.
Julien’s extensive research features in prominent academic publications such as Nature, Wilmott Journal, and Non-Linear Studies. In addition, he was awarded the Louise Arconati Visconti prize from the Chancellerie des universités de Paris (2011) as well as the Wilmott Award from the Wilmott Institute (2019) when completing his Certificate in Quantitative Finance.
He holds a Masters degree in Theoretical Physics from École Normale Supérieure (France), as well as a PhD in Applied Mathematics from Pierre and Marie Curie University (France).
Julien held senior analytical positions at the likes of Fintegral, NetOTC, ICE and ISDA, and he is now leading the research department of Bitstocks as its Chief Research Officer.
In addition, Julien has particularly been attracted by topics such as general mathematics, philosophy, and video games.
Dean; David and Lyn Silfen Professor of Business, Columbia Business School
An expert in operations research, data analytics and quantitative finance, Dean Maglaras has served as chair of the Decision, Risk & Operations Division; as faculty director for the Risk Management course administered through Executive Education; and as a member of the Executive Committee of Columbia University’s Data Science Institute. He has received both the Dean’s Award for Teaching Excellence and the Dean’s Award for Teaching Innovation.
His research centers on stochastic modeling and data science, with an emphasis on stochastic networks, financial engineering, and quantitative pricing and revenue management. He has advised 20 PhD students, many holding leading positions in academia and in industry. His research has received many research awards, and he has served as department editor on many of the flagship journals of his field. He is a Fellow of INFOMRS and a Fellow of the Foreign Policy Association.
Outside of the Business School, in 2007, Dean Maglaras helped found Mismi Inc., a financial technology firm and broker dealer that introduced quantitative trading algorithms and transaction analytics tools to the equities market. He has a long standing collaboration with Goldman Sachs Global Markets focusing on quantitative research in equity trading.
Executive Director - Execution Research, Goldman Sachs International
Executive Director, BlackRock
Prior to joining the FBSG, she was a member of the ETF and Index Investments Product Innovation group, where she was responsible for developing rules-based passive strategies across asset classes for iShares, index mutual funds and segregated mandates.
Prior to joining BlackRock in 2013, she has worked as a Financial Engineer in the City of London, as a Quantitative Researcher at a London-based hedge fund and as a lecturer in Operational Research at the London School of Economics. She earned a BSc degree in Financial Mathematics, and a PhD degree in Mathematics/Operational Research from Brunel University. She is a committee member of Quantess London – a social group for women in quant, and a member of the editorial board of the Journal of Systematic Investing.
Director of Research, Invesco Quantitative Strategies
His work has been widely published in academic and practitioner journals alike, including the Journal of Empirical Finance, Financial Analysts Journal, European Financial Management, Journal of Portfolio Management, Journal of Fixed Income, or the Journal of Risk. Harald has been awarded several research grants, and he is the winner of The Sir Clive Granger Memorial Best Paper Prize. He is an Honorary Researcher at the Department of Accounting and Finance of Lancaster University Management School. Harald serves on the research committee of Inquire Europe and on the editorial board of the Journal of Systematic Investing.
Managing Director, 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 centralization 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 lecturer in Financial Econometrics at Sir John Cass Business School in the City of 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 earned a bachelor’s degree in Economics and 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.
Giuliano De Rossi
Executive Director - Quantitative Execution Services, Goldman Sachs International
CEO, Rosa & Roubini Associates
Brunello is the CEO and Head of Research at Rosa & Roubini Associates, an independent macro-financial and geo-political advisory firm. Before co-founding this venture with the renowned economist Nouriel Roubini, he served as co-Head of Research and Managing Director for Developed Markets, G10 Rates and Currencies at Roubini Global Economics. Brunello joined RGE from the Bank of England, where he had mainly worked in Markets, in the division that implements monetary policy and provides liquidity insurance. He also briefly served in the Bank’s Financial Stability area and its Centre for Central Banking Studies. Previously, he worked as a macroeconomist and fixed income strategist with a focus on Europe at IDEAglobal, a market intelligence company.
Brunello Rosa is a Visiting Professor at the Department of Social and Political Sciences of Bocconi University (Italy), a Visiting Lecturer at the Department of International Politics and a research fellow of the City Political Economy Research Centre at City, University of London. He is also a Research Associate at the Systemic Risk Centre of the London School of Economics and Political Science, where he is a practitioner lecturer in finance for MSc students and in macroeconomics for professionals undertaking executive education. He is a Guest Speaker at the MSc in Central Banking and Financial Regulation co-organised by the Warwick University Business School and the Bank of England, within the module on Behavioural Finance. He has attended the conferences of the Institute for New Economic Thinking (INET) and contributes to the Research Hub in Finance of the UK’s National Institute of Economic and Social Research, for the ESRC program on Rebuilding Macroeconomics. Prior to joining the private sector, he was a research assistant at the Financial Markets Group of the London School of Economics, where he also taught classes in finance. Brunello started his career as a data analyst at the Department of Economics and as a research fellow at Siena University’s Centre for Complex System Studies, where he studied and researched the financial fragility of economic systems. Brunello holds a master’s degree in finance and economics from the London School of Economics and a laurea cum laude in economics from the University of Siena in Italy.
Brunello is an active member of Chatham House (The Royal Institute of International Affairs), the UK’s Institute of Directors, the International Institute of Strategic Studies (IISS) and the Bretton Woods Committee.
Brunello has appeared on Bloomberg, Reuters, CNBC and other TV programs, and had been quoted by a variety of media outlets.
Face-To-Face and On-Line Seminar Format
The LQG is very pleased that our host’s events team will enable an innovative face-to-face and on-line format for this seminar. The seminar will be delivered in person and via a Zoom webinar. Questions from the on-line audience will be taken via e-mail.
To register you will need the access codes delivered to those on the LQG mailing list that you can join using the subscribe button on the home page of this site.
The access link for the Zoom webinar will be sent to registrants for the on-line event at least 24 hours before the seminar. You MUST look for the separate e-mail with the Zoom webinar link which will be sent the day before the event.
The audience capacity in the room is limited.
As always you will need to register on-line to join the seminar in person or on-line.
Joining instructions and requirements from Goldman Sachs
The health and safety of our guests is our top priority – as such, Goldman Sachs will implement health and safety protocols in line with applicable government guidance at the time of the event. We are continuing to monitor UK government and public health guidelines regarding COVID-19 secure events and we will be in touch with relevant updates as the event nears.
A health attestation will be sent from Goldman Sachs via email for your attention 48 hours before the event, please kindly complete the attestation in advance to participate in the event.
For your safety and the safety of others, please stay at home if you are experiencing any of the symptoms of COVID-19. The most common symptoms are fever, cough, fatigue or tiredness, headache, muscle or body aches, loss of appetite, shortness of breath or difficulty breathing, decrease or new loss of smell or taste, sore throat, trouble swallowing, chills, congestion or runny/stuffy nose, nausea or vomiting, diarrhoea, stomach upset, and abdominal pain.
Lateral Flow Test
Attending clients and guests are strongly encouraged to take a lateral flow test before travelling to the GS Office.
We encourage you to adhere to our in-office protocols which include social distancing and mask wearing in public spaces.
NOTE: For this to work the LQG will need to share the registration details and e-mail address of those wishing to attend in person with our host’s events and wellness teams so they can communicate with you directly.
LQG request to in person attendees
In addition to our hosts’ health attestation requirement the LQG strongly requests (relying on your honour and integrity) that in person attendees have:
- Either double vaccination against Covid19
- And or a positive Quantitative IgG Antibody Blood Test
- And a recent negative PCR test or negative LFT test in the last 24 hours
- a mask
Please respect our host’s generosity and courage and do everything possible to minimise risk to speakers, our hosts and their colleagues and of course fellow attendees.
If you have questions or concerns please write to firstname.lastname@example.org
You accept these terms by registering for this event in person or on-line.