Axioma Quant Forum Returns, September 2014
Join us for the Axioma Quant Forum in New York and London this September.
Leading practitioners and researchers will present their latest work on effective risk management, superior portfolio construction and optimal portfolio trading.
Join Axioma for a full day of illuminating presentations and thought-provoking discussion.
Axioma Quant Forum - New York
Date: September 8, 2014, 8:30 AM- 6:00 PM
Location: The Princeton Club, 14 W 43rd St., New York
Axioma Quant Forum - London
Date: September 24, 2014, 8:30 - 6:00 PM
Location: Andaz Liverpool Street Hotel, London, EC2M 7QN
The London events offers plenary sessions and split sessions to provide a greater variety of relevant content for attendees. We invite you to view the agenda so you can plan your day accordingly: Download PDF Agenda
Peter is responsible for the development of mathematical models and analysis tools in a team which oversees the quantitative equity investments of APG, an asset manager for pension funds. He is the co-portfolio manager of the team's low-volatility portfolio and has extensive knowledge of the theory and practice of risk factor models and trade cost models for institutional investors. He holds a PhD in Applied Mathematics and is a CFA charterholder. hide bio
Raul Leote de Carvalho has 14 years of experience in Finance and is the Head of Quantitative Research and Investment Solutions in the Financial and Engineering team of BNP Paribas Asset Management in Paris since 2007. He is responsible for carrying out innovative quantitative research applicable in the development of quantitative strategies for different investment teams in either equities, fixed income or asset allocation and also for the use of advanced quantitative approaches in the design of investment client solutions.
Prior to that, from 2003 to 2007 he held the position of Senior Quantitative Strategist in the Global Strategy team of BNP Paribas Investment Partners located in Paris where he was member of the Asset Allocation Committees and developed a number of quantitative models and strategies for asset allocation. He joined Paribas Asset Management in 1999 in London as a Quantitative Analyst, a position he held until 2002, working mainly on the application of robust portfolio optimisation techniques to portfolio construction, the development of FX and fixed income models and also as fund manager of asset allocation portfolios.
Before he spent 3 years working as a Research Associate in Computational and Theoretical Physics at the University College of London, at the École Normale Supérieure de Lyon and at the University of Wuppertal. He obtained a PhD in Theoretical Physics from the University of Bristol in 1996, an MSc in Condensed Matter Physics in 1992 and a BSc in Chemistry in 1990 both from the University of Lisbon. He is a member of Inquire Europe and the author of a many refereed papers in Finance and Physics published in several academic journals. He passed the Investment Management Certificate in London in 2001. hide bio
- Turnover from changes in the signal. This turnover is a function of the cross-sectional correlation between periods. For monthly rebalancing this leads to almost 3 times annual turnover for our value signals and 5 times annual turnover for momentum.
- Turnover from rebalancing to a fixed portfolio value or dollar risk target. Based on 25% annual market risk this leads to 0.8 times annual turnover for monthly rebalances but rises to 3.5 times annual turnover for daily rebalance.
Massoud joined Cantab in 2013 as a senior scientist working on strategy development and portfolio construction. His main area of focus is equities, and developing new strategies in this area. Massoud was previously Managing Director at Goldman Sachs in London. He has worked in a number of quantitative roles in the equities and asset management division. Massoud joined Goldman Sachs in 2001 to head the derivatives strategies group in Europe working with clients on the strategic uses of equity derivatives. He built up the one-delta strategies group in Europe focussing on quantitative trading strategies, risk management, algorithmic trading, internalisation and trading automation. Massoud also headed up the research and technology department for the quantitative proprietary trading desk, working on both low and high frequency trading strategies in European equities.
Prior to working at Goldman Sachs, Massoud was an Assistant Professor of Finance at London Business School. There he taught equity investment management and PhD level courses in asset pricing. Massoud has a PhD in Finance from New York University. His research interests include Empirical Asset Pricing Models and Contract Theory. Massoud also holds a BSc in Mathematics from Imperial College London. hide bio
Siebert is Director in HOLT and manages the EMEA and Asia Investment Strategy Groups which is responsible for designing and implementing HOLT systematic strategies. Siebert holds a Masters in Business Administration from London Business School and also a Baccalaureus Scientiae (Hons) in Information Sciences from the University of Pretoria in South Africa.hide bio
Ioan Mirciov joined the Quantitative team at Macquarie from a buy-side role, where he investigated investment strategies based on volatility derivatives. Prior to that, he worked on the design and efficient replication of credit benchmarks at Barclays Capital. Ioan holds a PhD in Finance from Kellogg School of Management, where he focused on earnings surprises. hide bio
Amadeo Alentorn joined Old Mutual Global Investors in 2005. He is Head of Research and Portfolio Manager in the global equities team, responsible for managing over $3bn in assets across global equity hedge funds, absolute return and long only equity funds. He has extensive experience in investment research and software development. Prior to joining Old Mutual, he developed simulation models for systemic and liquidity risk at the Bank of England (2004-2005), and worked as a software developer for CAD systems (2001-2004) and for robotic applications (1998-1999). Amadeo holds a BEng in Robotics (2000) from the University of Plymouth, an MSc in Computer Science (2001) and a PhD in Computational Finance (2006) from the University of Essex. During his doctoral research he developed a new option pricing model based on extreme value theory, and published on the subject. He is a CFA charterholder. hide bio
Jung Hum Kim is an Asset-Liability Management (ALM) analyst at Pioneer Investments based in Milan, Italy since May 2012. Jung is responsible for developing and maintaining the dynamic stochastic programming platform to simulate asset class scenarios and optimize ensuing portfolios. Jung has over extensive experience in quantitative analysis across Financial Industry Regulatory Authority (FINRA) in the US and IBM Consulting. He holds a B.A. degree from Brown University and a M. Eng. from Johns Hopkins University. hide bio
Simon is Researcher at Robeco's Investment Solutions & Research department. His areas of expertise include mutual funds and stock selection research. Moreover, at Robeco, Simon is responsible for creating optimal, client-specific factor investing solutions. Simon joined Robeco as a researcher in 2009 while he was simultaneously working on his doctorate dissertation. He holds a MSc in Economics from the Erasmus University Rotterdam and holds a PhD in Finance from the Tinbergen Institute.hide bio
Chris is a Vice President of State Street Global Advisors and a Senior Portfolio Manager and Research Analyst in Global Equity Beta Solutions. He specializes in optimized, tax-efficient and Advanced Beta strategies for the passive indexing group. His responsibilities include managing portfolios for institutional and high net worth clients in addition to performing quantitative research in alternative equity products.
Chris holds a Bachelor degree in Electrical Engineering and a Master degree in Engineering Management from Cornell University. He was awarded a graduate fellowship at the Carroll Graduate School of Management at Boston College where he earned Master degrees in Business Administration and in Finance. Chris has also earned the Chartered Financial Analyst designation, and is a member of the CFA Institute and the Hong Kong Society of Financial Analysts. hide bio
David Jessop is the Global Head of Equities Quantitative Research at UBS. His areas of interest include risk modelling and portfolio construction. David joined the quantitative research team at UBS in 2002. Prior to this, he spent seven years at Citigroup as Head of Global Quantitative Marketing. Before moving to the sell side, he spent six years at Morgan Grenfell Asset Management, where he managed index funds, asset allocation funds and also an option overwriting fund. David graduated from Trinity College, Cambridge with an MA in Mathematics. hide bio
For all there is to like about traditional Markowitz mean variance optimization (MVO), it is essentially a one-move game that ignores next steps. Yet decisions driven by single-period MVO may have very significant consequences for investors with long-term horizons. Fortunately, there is a way to address the problem. Multi-period optimization gives investors the ability to make “wait and see” decisions, by including approximate forecasts and long-term policy decisions that extend beyond the time horizon of a current rebalancing. In doing so, investors can maintain their focus on the long term, while obtaining flexibility in the short term.
Here we consider portfolio optimization with a composite alpha signal that is composed of a short-term and a long-term alpha signal. The short-term alpha better predicts returns at the end of the rebalancing period but it decays quickly. The long-term alpha has less predictive power than the short-term alpha but it decays slowly. We develop a multi-period portfolio that incorporates this alpha model to construct the optimal portfolio at the end of the rebalancing period. We compare this model with the traditional single-period MVO model on several simulated backtests and show that the multi-period model has a superior realized performance. hide abstract
Before founding Axioma, Ceria was an Associate Professor of Decision, Risk and Operations at Columbia Business School from 1993 to 1998. Sebastian has worked extensively in the area of optimization and its application to portfolio management. He is the author of many articles in publications including Management Science, Mathematical Programming, Optima and Operations Research. Most recently, Sebastian's work has focused on the area of robust optimization in portfolio management. He has co-authored numerous papers on the topic, including, "Incorporating Estimation Errors into Portfolio Selection: Robust Portfolio Construction," published in The Journal of Asset Management, “To Optimize or Not to Optimize: Is That the Question?” published in the Oxford Handbook of Quantitative Management, and “Factor Alignment Problems and Quantitative Portfolio Management,” published in the Journal of Portfolio Management. He is a recipient of the Career Award for Operations Research from the National Science Foundation. Ceria completed his PhD in Operations Research at Carnegie Mellon University's Graduate School of Industrial Administration. hide bio