The LQG event of 2022

The LQG 2022 Autumn Seminar

31/08/22 to 03/09/22 – In-Person and On-Line at Girton College, Cambridge  CB3 0JG  United Kingdom

Arrive in Cambridge on the afternoon / evening of Wednesday the 31st August to enjoy an informal dinner.
Our outstanding speakers will deliver their seminars from 09:00 to 17:30 on Thursday the 1st of September and 09:00 to 16:00 Friday the 2nd of September.

To book your place use the red Access Code in the invitation sent by e-mail.

Register for the In-Person seminar here.  The all-inclusive in-person seminar fee is £1000+VAT for the seminar, accommodation in a single room with en-suite facilities and all meals.  A  few double rooms at a modest incremental cost.  Guest tickets are available to join the social activities only are £300 + the booking fee and VAT.

Register for the On-Line seminars here.  The all-inclusive on-line seminar fee of will be £250 + VAT and booking fee = £300 includes all talks on both days of the autumn seminar.

If you are not on the LQG mailing list you can add yourself by going here.  You can also use the subscribe button on the Contact page.

We look forward to seeing you in Cambridge.

The London Quant Group (LQG) is a seminar organiser which contracts with Cambridge Colleges for the use of facilities; this event otherwise has no connection or association with the University of Cambridge or its Colleges.

There is the option to stay for dinner on the night of Friday the 2nd September to leave Girton on the Saturday the 3rd and enjoy some free time and punting in Cambridge before heading home.

The London Quant Group (LQG) is a seminar organiser which contracts with Cambridge Colleges for the use of facilities; this event otherwise has no connection or association with the University of Cambridge or its Colleges.

Speakers, talk titles, abstracts and speaker biographies.

Click on the title or speaker name to reveal the abstract / summary

The Capital-Protection Capacity of Emerging Markets Inflation-Linked Bonds

Co-authors Marielle de Jong and Laurens Swinkels investigate the capital-protection property of inflation-linked bonds in an international context over the period 2012 to 2022. Inflation-linked bonds compensate domestic investors for loss of local purchasing power. Whether the bonds protect foreign investors effectively depends on the inflation levels they endure and on the currency hedging costs. We study the case of an American investor who considers allocating to emerging markets inflation-linked bonds rather than to US bonds in view of reaping higher inflation compensation. Our results suggest that over the past decade such allocation would have been worthwhile, even when taking latent risks, notably country default, into account.  The paper was recently published in the Journal of Portfolio Management 

Marielle de Jong - Associate Professor in Finance - Grenoble Ecole de Management

​Marielle de Jong Ph.D. is now Associate Professor in Finance at Grenoble Ecole de Management.  She was previously head of fixed-income quant research at Amundi from 2011. She holds an MSc in econometrics from Erasmus University Rotterdam, an MSc in operations research from Cambridge University (UK), and a PhD in finance from the University of Aix-Marseille. She has worked for BARRA research and for Quaestor (Yasuda) in London from 1994 to 1997, before moving to Paris where she was vice-president of financial engineering at Sinopia (HSBC). She publishes articles in the field of quantitative investment research and is co-editor of the Journal of Asset Management since January 2018.

Uncooperative parasites: Solving the prisoners’ dilemma in the active / passive house of correction

Investors make two decisions. i) how much market exposure to have, and ii) how to create that exposure (e.g. security selection or not). Conventional theory assumes that an individual investor cannot affect the overall market, therefore these two decisions are independent. The standard argument against active portfolio management is that average manager alpha is zero and no manager can outperform persistently especially after transactions costs. Case closed.

Average alpha is zero because price discovery only involves active managers. Active managers therefore form the market portfolio which is used by passive managers. We might then consider passive managers as “freeloaders”.

In this paper we revisit the mainstream theories, but assume that the collective actions of investors can affect market performance. We find that even if alpha is negative, an allocation to active might be warranted if the market formed by active managers is more efficient than in their absence. We consider what class of functions might best represent this market efficiency, and construct portfolios assuming such a function. We find that, in all reasonable parameterisations, cooperating investors will allocate to active managers. However, investors do not cooperate and negative alpha – net of costs – has caused a trend toward passive, which could, in extremis, result in a less efficient market portfolio. A prisoners dilemma has been formed whereby all investors need other investors to be active whilst they are passive. Either investors act responsibly, or an external force is required to remove the dilemma. We conclude with a proposal of what that force might be.

The same framework can be used to assess ESG investing. In this case a prisoners’ dilemma may not exist because a high proportion of investors must adopt ESG for it to have an impact. However, the framework does suggest that assessing whether an ESG portfolio beats the market is missing the point.

David Buckle – Chairman of INQUIRE UK

David has been in the asset management industry for over 25 years, primarily as a portfolio manager or analyst. He has been made redundant many more times than he would have liked and therefore has worked for many blue-chip asset managers including JP Morgan Asset Management, Putnam Investments, Merrill Lynch Investment Managers, Blackrock, UBS Global Asset Management and Fidelity. He also ran an investment boutique for several years deploying overlay strategies. Throughout his career he has contributed to the investment literature, especially in the area of the theory of active management.
Having become a bit disenchanted with the industry of late, David now has a plurality of roles, including being the CEO and CIO of a tiny real asset investment company, running a handful of multi asset portfolios, and is the chairman of the Institute for Quantitative Investment Research (INQUIRE). He spends much of his time authoring articles and is in the process of writing a couple of books on investment matters.

It’s Not Easy Being Green! - The Challenges of Sustainable Asset Allocation

Investors have shown increased appetite for investment opportunities that are aligned with and promote sustainable investment goals. Historically, sustainable investment has tended to focus on portfolios of single stock equities, a proposition which has become increasingly standardised in recent years. However, sustainable solutions for the more general asset allocation problem are less established. This is largely due to a number of challenges, including the varying characteristics of the markets involved and lack of standardised datasets or scoring methodologies.

In this talk, Chris will describe a framework recently developed at GAM Systematic for incorporating sustainable investment objectives into portfolios that contain a broader mix of assets, and discuss some of the research challenges that were involved in its creation. We will demonstrate the impact of this framework by applying it to a simple, but transparent, systematic investment strategy. Despite being significantly tilted towards more sustainable markets, the modified portfolio can deliver an investment profile that is very similar to that of the original strategy.

Dr Chris Longworth is an Investment Director and co-leads the GAM Systematic Cambridge team

Dr Chris Longworth is an Investment Director and co-leads the GAM Systematic Cambridge team. Since joining the firm in 2010, Chris’s focus has been on the development and enhancement of the team’s investment strategies. Chris has been heavily involved in the research and review of all aspects of the Core Macro programme since its inception in 2013. He is the author of the longest standing model traded within that programme. In addition, Chris has led the effort to incorporate novel or alternative data sources into the portfolio as well as the expansion of the team’s tradable universe into new and unconventional markets. Prior to joining GAM Systematic, Chris was part of the Machine Intelligence Laboratory at Cambridge University, where he obtained MPhil and PhD degrees. He also holds a BSc in Computer Science from Royal Holloway, University of London. He is based in Cambridge.

Probably : "Index Concentration"

To be decided by compliance but….Hopefully : something like “Index Concentration”

Lisa Goldberg - Head of Research at Aperio Group

Lisa Goldberg is Head of Research at Aperio Group, now part of BlackRock, and Professor of the Practice of Economics and co-Director of the Consortium for Data Analytics in Risk at University of California, Berkeley. She has worked in topology, dynamical systems, quantitative finance, sports statistics and causal inference. She has published more than 60 articles and is co-author of Portfolio Risk Management, which was published by Princeton University Press in 2010. Lisa is inventor on five patents and serves on editorial boards of four quantitative finance journals and two book series. She is a member of the Advisory Council for the Museum of Mathematics, an arXiv moderator and an expert judge for the Moskowitz Prize for Socially Responsible Investing. Lisa is 2/3 of the way to her lifetime goal of swimming a lap around the equator.

A two part seminar: 1: Dynamic Portfolio Optimisation 2: Agency and Rising Volatility

Managing Transaction Costs in Dynamic Trading

We explicitly solve the lifetime investment-consumption problem of investors trading in an incomplete market where asset returns are partially predictable but trading is costly. The solution is expressed in terms of the unique, global solution of a risk-sensitive Riccati system. We show that the optimal trading strategy targets a portfolio that is optimal for a frictionless version of the model where asset returns have been adjusted for costs, in that they are expressed on a net rather than gross basis. The legacy portfolio (the inherited undesirable positions) are then traded away in line with a backward-looking optimal execution problem. Thus, the investment process is separated into an investment stage where a desired or target portfolio is designed using a model of time-varying predictable net returns, and a execution stage that disposes of any unwanted or legacy assets as efficiently as possible assuming there are no-excess returns to any of these assets.

Agency and Rising Volatility
We present a model of delegated money management in which benchmarked money managers,
who report returns relative to a benchmark but also face a tracking error constraint, are forced
to tilt their portfolios to low volatility stocks in periods of high volatility. The tilt means that
low volatility, or low beta, stocks, become expensive and thereby have lower expected returns.
When markets clear, this steepens the security market line (SML). We show, both through
the model and empirically, that mutual funds have a tilt towards low volatility during stressed
or turbulent markets, making low volatility stocks expensive and high volatility stocks cheap,
and that mutual funds’ betas fall during periods of high market volatility as they tilt towards
low beta stocks. Therefore, low beta stocks’ expected excess returns fall and high beta stocks’
expected excess returns rise; equivalently, the SML steepens.

James Sefton is Professor of Economics at Imperial College

James Sefton is Professor of Economics at Imperial College where he is Director of the MSc in Investment and Wealth Management. He has previously held senior research positions at both UBS, Winton Capital Management as well as posts at Department of Applied Economics (Cambridge University) and NIESR. He has published widely in both quantitative finance and economics more generally. His current research interests focus on quantitative investment strategies, dynamic portfolio optimisation and intergenerational equity. James is currently a member of Academic Panel of the Intergenerational Commission and UK representative of the National Transfer Accounts Project funded by UN Population Fund. He was previously advisor to the HM Treasury on their Long Term Public Finance Review and sat on the ONS Consumer Price Advisory Committee (CPAC). His publications include papers in Economic Journal, Review of Economic Studies, Financial Analyst Journal, Journal of Portfolio Management, European Economic Review, Journal of Public Economics, Journal of Economic Dynamics and Control. He was educated at Christ’s College, Cambridge from where he received both a BA and a Ph.D.

The Momentum Transformer: An Intelligent and Interpretable Deep Learning Trading Strategy

• Reviewing work on DeepMomentum networks which are able to learn trading strategies in an end-to-end framework by optimising for portfolio Sharpe ratio
• Introducing the Momentum Transformer, an attention-based deep learning trading model that intelligently rotates and blends momentum and mean-reversion strategies, basing its decisions on patterns in the data
• Demonstrating the model’s inherent interpretability and remarkable structure in attention patterns with significant peaks of importance around momentum turning points

Stefan Zohren - Deputy Director of the Oxford-Man Institute of Quantitative Finance, an Associate Professor at the Department of Engineering Science, an Associate at the Oxford Internet Institute, and a Mentor at the Creative Destruction Lab at Saïd Business School, all at the University of Oxford.

Stefan Zohren is the Deputy Director of the Oxford-Man Institute of Quantitative Finance, an Associate Professor at the Department of Engineering Science, an Associate at the Oxford Internet Institute, and a Mentor at the Creative Destruction Lab at Saïd Business School, all at the University of Oxford. He is a Fellow of the Turing Institute, the UK’s national institute for AI and data science. Stefan’s research is focused on machine learning in finance, including deep learning, reinforcement learning, network and NLP approaches, as well as early use cases of quantum computing. Outside of academia, he works as a Principal Quant at Man Group leading execution research in futures and other derivatives. Stefan is a frequent speaker on AI in finance representing the Oxford-Man Institute at academic conferences, as well as industry panels and corporate events. His work has been covered in the financial news such as Bloomberg News and Risk.

Understanding “theme investing” from a risk perspective

Understanding “theme investing” from a risk perspective

Ronald Kahn - Managing Director, is Global Head of Systematic Equity Research at BlackRock

Ronald N. Kahn, PhD, Managing Director, is Global Head of Systematic Equity Research at BlackRock. He has overall responsibility for the research underpinning the Systematic Active Equity (SAE) products.

His service with the firm dates back to 1998, including his years with Barclays Global Investors (BGI), which merged with BlackRock in 2009. Prior to joining BGI, he worked as Director of Research at Barra, where his research covered equity and fixed income markets.

Ronald Kahn is a well-known expert on portfolio management and quantitative investing. He has published numerous articles on investment management, and, with Richard Grinold, authored the influential book Active Portfolio Management: Quantitative Theory and Applications. The two of them are the 2013 winners of James R. Vertin award, presented periodically by the CFA Institute to recognize individuals who have produced a body of research notable for its relevance and enduring value to investment professionals. Their sequel, Advances in Active Portfolio Management, was published in December 2019.

Ronald Kahn is also the author of the 2018 CFA Institute Research Foundation monograph, The Future of Investment Management. He is a 2007 winner of the Bernstein Fabozzi/Jacobs Levy award for best article in the Journal of Portfolio Management. He serves on the editorial advisory boards of the Journal of Portfolio Management, the Journal of Investment Consulting, and the Journal of Financial Data Science. The 2007 book How I Became a Quant includes his essay describing his transition from physics to finance.

He teaches the equities half of the course, “International Equity and Currency Markets” in UC Berkeley’s Master of Financial Engineering Program.

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.

It is risky to forecast

It will be awesome – it is always awesome!

Ed Fishwick is the Chief Risk Officer, a member of the Global Executive Committee, and Global Head of the Risk and Quantitative Analysis Group of BlackRock

Ed Fishwick – Chairman of the LQG

Ed Fishwick is the Chief Risk Officer, a member of the Global Executive Committee, and Global Head of the Risk and Quantitative Analysis Group of BlackRock. He is responsible for the investment and enterprise risk of BlackRock. He is also the Chair of BlackRock’s Enterprise Risk Management Committee. Prior to taking on his current responsibilities in 2022, Mr. Fishwick served as the Global Co-Head of the Risk and Quantitative Analysis Group in London for 15 years. His service with the firm dates back to 2003 including his time with Merrill Lynch Investment Management (MLIM) prior to its acquisition by BlackRock in 2006. At MLIM he was Head of Risk and Quantitative Analysis, EMEA.
Mr. Fishwick’s previous positions in the industry include Head of Risk Management, and Investment Process Research at AXA Investment Managers, and Head of Research at Franklin Portfolio Managers in Boston.
Mr. Fishwick earned a BA in Economics from the University of Liverpool, studied postgraduate economics at the University of Cambridge, and supervised undergraduate economics for Queens’ College, Cambridge. He is a member of the Council of Liverpool University, and is the Chairman of the London Quant Group.


Girton College

Girton College has excellent rooms with en-suite facilities which are included in the fee for the seminar.

If you do not want to stay in college please make your own arrangements. The LQG is not reserving hotel rooms.

Please confirm during the registration process if you want to stay for dinner on Friday the 2nd September and if you will want to stay over night until the 3rd.

Dinners and lunches

Girton 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!

  • Wednesday night – Informal dinner on arrival
  • Thursday lunch – hot and cold buffet
  • Thursday dinner – 3 course dinner
  • Friday lunch – hot and cold buffet
  • Friday dinner – 3 course dinner
  • Saturday lunch – haven’t you got a home to go to??

Breakfast is included for all staying in college rooms.

Punting – Cambridge

For 33 years the LQG annual seminar included the annual punting challenge.  In 2022, its 36th year (and 34th autumn seminar) the LQG has adopted a 2 day format which does not include the punting challenge as a formal part of the seminar.  However… those who choose to stay for dinner in Girton on Friday the 2nd September will clearly want to work off some energy on Saturday …

… which will be an excellent opportunity to demonstrate elegance, skill, fitness, and power in punting as well as making and keeping friends.  

Punting is both easier and harder than it looks – but above all it is to be enjoyed with friends in a beautiful setting.  Saturday will provide a great opportunity to enjoy punting along the backs of the colleges in Cambridge or for the more adventurous a trip out to Granchester may appeal.


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!