LQG 2023/09/06 to 2023/09/09 In-Person – Autumn Seminar at Robinson College, Cambridge

The LQG 2023 Autumn Seminar – Hybrid

​LQG 2023/09/06 to 2023/09/09 In-Person and On-Line
at
Robinson College, Grange Road, Cambridge CB3 9AN

The Outline Agenda

Scroll down for speakers and topics.

Click here to download the Summary Agenda        /       Click here to download the Detailed Agenda

Click here to download speakers’ slides

Arrive on the afternoon / evening of Wednesday the 6th September 2023 (2023/09/06) to enjoy a welcome buffet.
Starting on Thursday at 09:00 the seminar will be held in Robinson College’s “CWB” the Crausaz Wordsworth Building, an amazing space in which we will enjoy the research and insights of eleven awesome speakers of international renown – see below for details.
Dinner in Robinson College on Friday evening at which the all important votes for the speaker rankings are announced marks the official finale.
On Saturday you can take advantage of the opportunity to enjoy a stroll around Cambridge and possibly some punting along “The Backs” on the river Cam.  Experienced LQGers should note that the seminar format does not allow for the punting challenge to be an integral part of the seminar as in the past..

To book your place use the red Access Code in the invitation sent by e-mail to those on the LQG mailing list which you can join by using the Sign Up menu option above.

Register for the In-Person seminar here.  The all-inclusive in-person seminar fee is £1150 + VAT for the seminar, accommodation in a single room with en-suite facilities and all meals.  A  few twin and double rooms are also available at modest incremental cost.  Guest tickets are available at £350 + VAT to join the social activities only.

Click here for the Robinson College site MAP

Register for the On-Line seminars here.  The support of the LQG’s sponsors, BlackRock and Snowflake and especially the vision of LQG chairman Ed Fishwick means that the entire LQG autumn seminar will be available to on-line LQGers for free.

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.

 

Venue:  Robinson College, Grange Road, Cambridge CB3 9AN

Seminars will be delivered in the Crausaz Wordsworth Building – “The CWB” on the Robinson College site map.

Click here to download the Summary Agenda        /       Click here to download the Detailed Agenda

 

Click here to download speakers’ slides

Everything Everywhere All at Once: How AI will transform Finance, Society, and Beyond

The world is changing fast. The advancements in new and powerful AI tools suggest that, in the next 5 years, we could experience an exponential increase in personal productivity, intelligence, and overall capacity to influence the world. Remaining relevant in this new era requires embracing and integrating these tools. But what would it take to excel and thrive? What are the implications for companies, investors and society at large? These will be the central questions of this talk. As we delve into them, we will cover some of the most exciting AI/ML research of this year, highlighting the notable advancements in Generative AI. Finally, we will discuss key trends shaping the future of the field, including possible existential threats posed by superintelligent systems.

Desi Ivanova - PhD. Student, University of Oxford and 2021 LQG debate winner.

Desi Ivanova

Desi Ivanova

PhD. Student, University of Oxford

Desi Ivanova is a PhD student at the Department of Statistics at the University of Oxford, working on both theory and applications of probabilistic machine learning. Her main research interest is in the intersection of information theory and deep learning, and the related fields of representation learning and approximate inference. In applied settings, she is very passionate about the proper use of statistics and advocates for rigorous evaluation of statistical and machine learning methods.

Before joining Oxford in 2020, Desi was part of the Systematic Trading Strategies (STS) R&D team at Goldman Sachs and prior to that she was a member of the Quantitative Research unit at UBS . She holds a Masters degree in MORSE (Mathematics, Operational Research, Statistics and Economics) from the University of Warwick, from where she graduated in 2016.

Important Note:  In 2021 Desi became the first and so far the only person to win the annual LQG debate with Ed Fishwick.

Why Traditional Risk Models Overstate Factor Risk

We show that traditional equity factor risk models tend to overstate factor risk for two basic reasons. First, the standard practice of using regression weights proportional to the square root of market capitalization leads to excessively noisy estimates of factor returns, which in turn inflates the factor variance estimates. Second, the traditional approach to building factor models fails to distinguish between the variance of the true (unobservable) factors and the variance of the pure factor portfolios (which contain idiosyncratic risk). We present solutions to both of these problems and show that our approach correctly leads to lower levels of factor variance and unbiased forecasts for the risk of pure factor portfolios.

Jose Menchero - Head of Portfolio Analytics Research, Bloomberg

Jose Menchero

Jose Menchero

Head of Portfolio Analytics Research, Bloomberg

Jose Menchero serves as Head of Portfolio Analytics Research at Bloomberg. Jose and his team are responsible for developing the analytics and algorithms used for factor risk models, portfolio risk and return attribution, scenario analysis, tail risk, portfolio construction, and portfolio optimization.
Prior to joining Bloomberg, Jose was the founder and CEO of Menchero Portfolio Analytics Consulting. Before founding his consulting firm, Jose worked for eight years at MSCI, where he was Managing Director responsible for developing the Barra equity risk models, and for portfolio construction research. Jose also served for seven years as Director of Research at Thomson Financial, where he developed several risk and return attribution methodologies, as well as equity factor risk models.
Jose has over 30 finance publications in leading practitioner journals. Before entering finance, Jose was Professor of Physics at the University of Rio de Janeiro in Brazil. Jose holds a PhD in theoretical physics from the University of California at Berkeley, and a BS degree in aerospace engineering from the University of Colorado at Boulder. Jose is a CFA Charterholder.

 

A theory of style investing

Our talk is based on the assumption that factors are latent variables and investigates how well factor-mimicking portfolios (FMP’s) mimic the latent factors.
We look at standard methods for constructing FMP’s used in the industry such as ranking or Fama-Macbeth and find, disappointingly, that neither works particularly well.
We look at factor models and alpha models.
We use simulation and a little theory where appropriate.

Stephen Satchell Fellow Trinity College, University of Cambridge

Dr. Satchell is an active contributor to the global quant world, he edits books and journals, publishes research, supervises students and advises financial institutions; he has approximately 50 completed phd students working in industry and , along with the Gaussian copula, been described as a cause of the GFC. Stephen is a life fellow of Trinity College Cambridge

Systematic insights into private equity investing

Systematic investment strategies are now standard offerings for publicly traded equities and other asset classes. They are not standard for private equity investments, in part due to the lack of data and transparency.
How can you develop systematic strategies in the absence of daily or monthly market prices?
This presentation will attempt to provide some systematic insights into private equity investing and will use public equities as a sandbox to further develop our intuition.

Ron Kahn - Global Head of Systematic Investment Research, BlackRock

Ronald Kahn

Global Head of Systematic Investment Research, 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. 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 Financial Analysts Journal, the Journal of Portfolio Management and the Journal of Investment Consulting. 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.

Can A Combination Of Treasuries And Equities Replace Credit In A Portfolio?

We examine whether a combination of Treasuries and Equities can replace an allocation to Credit in investors’ portfolios. Using issuer-level data spanning three decades, we find that credit delivered better performance than a risk-equivalent combination of equities and Treasuries, irrespective of the approach used to measure risk. The outperformance was consistent across different sub-periods, ratings, sectors and geographies, and was not driven by liquidity but reflected exposure to systematic risk premia that are otherwise hard for investors to access directly due to investment mandate constraints, market capacity, and transaction costs.

Arik Ben Dor - Head of Quantitative Equity Research at Barclays

Arik Ben DorArik Ben Dor

Head of Quantitative Equity Research at Barclays

Arik Ben Dor, PhD is the Head of Quantitative Equity Research at Barclays and a member of QPS since 2004. Dr. Ben Dor oversaw large scale research projects in equities, rates, credit, and hedge funds over the past two daces used by the largest institutional investors globally. His innovative work on Duration Times Spread (DTS) and the use of information from credit markets in systematic equity strategies was broadly adopted by portfolio managers and affected industry practices. He co-authored three books on quantitative investing in credit securities and published over a dozen articles in leading industry journals. He is a member of the Journal of Portfolio Management and Journal of Fixed Income editorial boards. Prior to Barclays, Dr. Ben Dor worked at Lehman Brothers and Morgan Stanley. He holds a PhD in Finance from the Kellogg Business School at Northwestern University, and completed both his B.A. and M.A. in Economics from Tel Aviv University, Cum Laude.

GLOBAL BOND ALLOCATION USING DURATION TIMES SPREAD

Marielle de Jong will present Global Bond Allocation Using Duration Times Spread

The paper can be downloaded here.

The duration times the credit spread of a bond, denoted DTS, is an effective proxy for its price variance. On an aggregate level, the measure is key to specifying the covariance
between bond prices as well. Using a sample of government bond market indices, the author shows that the duration and spread, both on an index level, explain the largest share of the
price variance and covariance between government bond markets. The bonds in the indices are denominated in local currency and are hedged against exchange-rate risk. The findings
provide new insights for managing bond risk in globally invested portfolios. 

Marielle de Jong PhD - Associate professor in finance Grenoble Ecole de Management

Marielle de Jong

Marielle is associate professor in finance at the Grenoble Ecole de Management (GEM) since 2020, where she lectures in the field of portfolio management, fixed income and sustainable investing. She publishes regularly in international finance journals.
She is the editor-in-chief of the Journal of asset Management, and the academic director of the US Doctoral School of GEM.
She holds an MSc in econometrics from the Erasmus University of Rotterdam, an MSc in operational research from Cambridge University, and a PhD in finance from the University of Aix-Marseille.
Before becoming a professor, Marielle has worked as a researcher in the investment management industry for 25 years. She started her career in the City of London in 1994, moved to Paris in 1997, joining HSBC and, in 2011, Amundi, where she headed the fixed-income quant research team.

Is luck in active management actually skill on a longer frequency?

Being the right side of a trend dominates IC in driving IR.
In this seminar David will offer guidance on how to check for this effect and distinguish if being the right side of a trend is actually good IC on a longer frequency of active management.  David will also demonstrate the new method to measure the effect which can then be used to assess the frequency sweet spot for active strategies.

David Buckle – Chairman of INQUIRE UK

David Buckle

Chairman 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.
David’s background is as a Phd. mathematician and that discipline remains his hobby. His most recent article is the interpretation of some cuneiform mathematics scribed on a Babylonian stone from 2000BCE.

(Almost) 200 Years of News-Based Economic Sentiment

Svetlana will present this paper written with Jules H. van Binsbergen, Mayukh Mukhopadhyay and Varun Sharma.  

The paper can be downloaded here

Using the text of 200 million pages of 13,000 US local newspapers and state-of-the-art machine learning methods, we construct a novel 170-year-long time series measure of economic sentiment at the country and state levels, that expands the existing measures in both the time series (by more than a century) and the cross-section. We show that our measure predicts economic fundamentals such as GDP (both nationally and locally), consumption, and employment growth, even after controlling for commonly-used predictors, and materially predicts monetary policy decisions, particularly during recessions. Our measure is distinct from the information in expert forecasts and leads its consensus value. We use the text to isolate information about current and future events and show that it is the latter that drives our predictability results.

Svetlana Bryzgalova - Assistant Professor of Finance at London Business School

 

Svetlana Bryzgalova

Svetlana Bryzgalova

Assistant Professor of Finance at London Business School

Svetlana Bryzgalova is an Assistant Professor of Finance at London Business School. Her research is focused on empirical asset pricing and macrofinance. In particular, she uses financial econometrics and data science to better understand the cross-section of asset returns, and the sources of systematic risk in the economy. Her research received numerous awards, including Best Paper in Asset Pricing awards from the SFS Cavalcade and Midwest Finance Association. She holds a PhD from London School of Economics, and previously worked at Stanford GSB before joining LBS.

Risk of concentrated stock and tax-aware diversification with a long/short loss-harvesting completion portfolio

Risk of concentrated stock and tax-aware diversification with a long/short loss-harvesting completion portfolio

Lisa will present her paper co-authored with Simge Ulucam, Harrison Selwitz.  This is an historical study that outlines the financial outcomes of holding concentrated public equity positions. Historically, holders of single stocks experienced a wide set of outcomes ranging from the rare potential to earn extreme positive returns to the more common occurrence of unrecovered catastrophic losses. Past winners generally did not continue to provide superior returns, and single stock portfolios most often underperformed a broad stock market index.  Extreme winners simultaneously introduce unpalatable tax questions and implications. As in life, so in equities: extreme winners are rare, and the promise of a good thing can blind us to gathering risks associated with that promise.

More detail and the paper can be downloaded here

 

 

Lisa Goldberg - Managing Director, Head of Research at Aperio Group by BlackRock. Professor of the Practice of Economics and co-Director of the Consortium for Data Analytics in Risk, University of California, Berkeley

Lisa Goldberg

Managing Director, Head of Research at Aperio Group by BlackRock. Professor of the Practice of Economics and co-Director of the Consortium for Data Analytics in Risk, University of California, Berkeley.

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.

Asset Embeddings

Ralph will present this very new work cowritten with Xavier Gabaix and Motohiro Yogo.

The paper can be downloaded here

Firm characteristics are ubiquitously used in economics. These characteristics are often based on readily-available information such as accounting data, but those reflect only a part of investors’ information set. We show that useful information about firm characteristics is embedded in investors’ holdings data and, via market clearing, in prices, returns, and trading data. Based on insights from the recent artificial intelligence (AI) and machine learning (ML) literature, in which unstructured data (e.g., words or speech) are represented as continuous vectors in a potentially high-dimensional space, we propose to learn asset embeddings from investors’ holdings data. Indeed, just as documents arrange words that can be used to uncover word structures via embeddings, investors organize assets in portfolios that can be used to uncover firm characteristics that investors deem important via asset embeddings. This broad theme provides a natural bridge to connect recent advances in the fields of AI and ML to finance and economics. Specifically, we show how language models, including transformer models that feature prominently in large language models such as BERT and GPT, can handle numerical information, and in particular holdings data to estimate asset embeddings. We provide initial evidence on the value added of asset embeddings through a series of applications in the context of firm valuations, return comovement, and uncovering asset substitution patterns. As a by-product, the models generate investor embeddings, which can be used to measure investor similarity. We propose a programmatic list of potential applications of asset and investor embeddings to finance and economics more generally.

Ralph Koijen - AQR Capital Management Professor of Finance and Fama Faculty Fellow at the University of Chicago Booth School of Business

Ralph S.J. Koijen

AQR Capital Management Professor of Finance and Fama Faculty Fellow at the University of Chicago Booth School of Business

Ralph S.J. Koijen is the AQR Capital Management Distinguished Service Professor of Finance and Fama Faculty Fellow at the University of Chicago Booth School of Business. He is a Research Associate at the National Bureau of Economic Research and a Research Fellow of the Center for Economic Policy Research. He served as a co-editor of the Review of Financial Studies, a director of the American Finance Association , and he is currently the co-director of the NBER Asset Pricing Program.

Ralph’s research focuses on asset pricing, insurance, and econometrics. His research has been published in the American Economic Review, Econometrica, the Journal of Political Economy, the Journal of Finance, the Review of Financial Studies, and the Journal of Financial Economics. Ralph Koijen was awarded the 2019 Fischer Black Prize by the American Finance Association, given biennially to the top financial economics scholar under the age of 40. He was also awarded the 2021 Bernacer prize given to the best European economist under 40 working in macroeconomics and finance. Before joining Chicago Booth in 2018, Ralph was a Professor of Finance at the London Business School and NYU Stern, and an Assistant and Associate Professor of Finance at Chicago Booth. He received his undergraduate degree in Econometrics from Tilburg University and his Ph.D. in Finance from Tilburg University.

It is risky to forecast

It is especially risky to forecast about the future.

Ed Fishwick Senior Managing Director, Chief Risk Officer, BlackRock and Chairman of the London Quant Group

Ed Fishwick

Senior Managing Director, Chief Risk Officer, BlackRock

Ed Fishwick is the Chief Risk Officer, Global Head of Risk and Quantitative Analysis, and a member of the Global Executive Committee at BlackRock. He is responsible for the investment and enterprise risk of BlackRock. 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.

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.

Ed is the Chairman of the London Quant Group.

Accommodation

Robinson College

 

Venue:  Robinson College, Grange Road, Cambridge CB3 9AN

Seminars will be delivered in the Crausaz Wordsworth Building – “The CWB” on the Robinson College site map.

Click here to download the Summary Agenda        /       Click here to download the Detailed Agenda

 

Robinson College has delightful grounds and facilities close to the centre of Cambridge. The seminar room is marvellous:
The college bedrooms rooms can be seen here :
All room bookings are for 3 nights including the option to stay on Friday night. Please confirm during registration if you really, really do not want to stay on Friday night to enjoy a great dinner and the announcement of the all important votes for the speaker rankings.  Would you really want to miss that?
Guests: Should you wish to bring a guest, please buy an additional guest ticket to cover the social events and meals only. No seminar attendance is included with the guest ticket.
There is car parking available – please buy an additional parking only ticket if you need parking.
There are some twin rooms and double rooms available. Please only book a twin or double if you really need one.

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

Dinners and lunches

Robinson college is proud of its catering and the LQG shall make optimal use of it.
To ensure some variety we will have dinner on Thursday at a local-ish restaurant in Madingley.

  • Wednesday night – Informal BBQ / buffet dinner on arrival
  • Thursday lunch – hot and cold buffet
  • Thursday dinner – 3 course dinner in Madingley
  • 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.  The 2 day format for this seminar does not formally include the punting challenge as part of the seminar.  However… those who choose to stay for dinner in college on Friday 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 can be harder than it looks – but above all it is to be enjoyed with friends in a beautiful setting.  So Saturday will provide a great opportunity to enjoy punting along the backs of the colleges in Cambridge.  The more adventurous may choose to make a trip out to Granchester.

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.  

The punting opportunity is why you are asked for your T-shirt size when you register!  You can of course wear your T-shirt during the seminar as well as for punting when It may be supplemented (or disguised!) as required according to temperature and propriety!