| BATTLE OF THE QUANTS AGENDA |
| 8:00 | BREAKFAST ROUNDTABLE: Quantitative Hedge Fund and Investor Breakfast Roundtable (Investors and Invited Hedge Funds Only) |
| 9:00 | REGISTRATION for Delegates Attending Conference |
| 10:00 | KEYNOTE Address: Ron Insana, CEO and President, Insana Capital Partners "Quantitative Based Hedge Funds' Impact of the Global Financial System"
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| 10:30 | THE BATTLE: Machine versus Human Intelligence: Differences in Systematic and Discretionary Trading Strategies. Hedge Funds across the quantitative spectrum discuss the merits of their respective approaches relative to those of discretionary Managers. Covered approaches include quantitative systematic, fundamental systematic, black box, and statistical arbitrage.
Systematic Panelists:
Moderator: Roger Ibbotson, PhD, Chairman of Zebra Capital Management
John F. Morar, Senior Research Scientist, IBM Corporation
Michael Mendelson, Director of Global Trading Strategies, AQR Capital Management
Veryan Allen is President, Allen Investment Advisors
Discretionary Panelists:
Moderator: John DeTore, CIO, GRT United Alpha Funds
Denise K. Shull, M.A. President, Trader Psyches “Pioneers in Advanced Trader Psychology”
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| 11:30 |
INVESTOR FOCUS on Quantitative Strategies: Which quant strategies would you consider in 2008 when markets will become more difficult (late stage economy, lower growth, housing, lower manufacturing etc.)? Investors will examine their decision making criteria when evaluating a potential investment in quant based strategies. Issues discussed will include preference towards systematic, hybrid and discretionary strategies and why. Questions posed to investors are: What quant strategies have you invested in and why? Are early stage quant funds more or less desirable than quant funds that have a few year experience? How have your quant fund investments fared relative to other strategies? What is the current market receptivity to today's quant strategies and is there a "hot" strategy investors are eager to allocate to.
Panelists:
Moderator: Keith Denko, CQS, (Former CIO, ACAM Advisors)
Shane Burn, CIO, Insana Capital Management
Albert A. Slawsky, CFA, Senior Vice President, M. D. Sass Investors Services, Inc.
Neal Greenberg, CEO, Chief Investment Officer, Agile Group
Vassilis Karavas, PhD, Fund Selection & Portfolio Design, Credit Agricole
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| 12:15 | Extended Networking Lunch
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| 2:00 | AUGUST 2007! Post Analysis on What Really Happened? Factor Model Correlation? Crowded Exit? Dumping Liquid Positions? Excessive Leverage? Managers will give their perspectives of the market impact on quantitative hedge funds in August of 2007. How have Quant Funds been Affected by the August “Correlation” Events? Have Quant funds changed their factor models or redesigned their strategies going forward. Did Quants contribute to the Sub Prime crisis? Is the August crisis have similar characteristics to what happened to funds such as Amaranth and Long-term Capital? Was the blind belief in their quantitative models ultimately their demise? What can we learn from their mistakes? What is the true probability of once in a thousands year events? Do correlations go to 1 after all and how much can we prepare/hedge ourselves for such events?
Panelists:
Moderator: Karsten Schroeder, CEO, Amplitude Capital
David Obert, CIO of Systeia Capital Management
Stuart Flerlage, President, NuWave Investment Corp.
Adam Burczyk, CEO and Founder, Actuarials Holdings, LLC
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| 2:45 | INVESTORS and QUANT MANAGERS Discus what Quant strategies and Quant models work best in which market environments? Quant managers and quant investors explore how models react to various market conditions. Could you describe the current environment and what strategies you like? Are there strategies and models that will stand-up to all environments? How do you compare and test your models and strategies? What is the process you go through to adjust models? How do you determine when a strategy or model is no longer working or effective? How do you adjust? How do you adjust your models to changes in the market environment?
Panelists:
Moderator: Giovanni Beliossi, Owner, FGS Capital
Photios Harmantzis, PhD, Systematic Trading Models R&D, FX Concepts
Giovanni Beliossi, Managing Partner/CEO, FGS Capital
Christopher K. Cornish, CIO, Cedar Creek Asset Management
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| 3:30 | Break |
| 4:30 | EXTRACTING ALPHA through Quantitative Models in Hedge Funds. What do we mean by extracting Alpha? What is Alpha? Which quant models work well in hedge funds and why? (Focus on Factor-based Model) Which categories of factors have you recently added to your models and why? Which risk factors seem to forecast returns well (for different asset classes, countries and strategies) How shall we optimize Hedge Fund Portfolios and extract Alpha best? Which role do transaction costs play and implementation time? Which problems and restrictions do we still face in choppy markets - given that most models are based on historical performance. How may we overcome these problems of lower performance in volatile markets in the future?
Panelists:
Moderator: Ken Akoundi, Ph.D. Head of Portfolio Risk Management LLC, Optima Fund
Author of Current Paper: "a blue print for the selection of alpha source in a portable alpha program" or” Fooled by randomness (lack of)".....
Bob Sherak - Managing Partner, The Midway Group
Author of the chapter in “Handbook of Hedge Funds”
Raphael Douady, Senior Director, Riskdata
Henrik Neuhaus, PhD, Director of Quantitative Research, Co - CIO, Triumvirate Capital Management, LLC
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| 6:00 | Networking Cocktails
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| 7:45 | QUANT FACTOR FASHION MODEL Runway Show
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| 8:00 | Post Party
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