BATTLE OF THE QUANTS

BATTLE OF THE QUANTS AGENDA
8:00	Quant Hedge Fund Breakfast Roundtable (INVESTORS ONLY)
10:00 ~ 10:15	Delegate Registration
10:15 ~ 11:00	Keynote Address Extremely Quantitative: Future Predictions for CERN, Soccer, Fashion and Financial Markets Prof. Dr. Michael Feindt, Professor of Physics, Karlsruhe Institute of Technology Founder, Phi-T Physics Information Technologies GmbH
11:00	Main Battle - Machine vs. Human intelligence Two groups will debate the merits of machine vs. human intelligence in trading the market. Discussion will focus on the differences in Systematic and Discretionary Trading Strategies. Hedge Funds across the quantitative spectrum will discuss the merits of their respective approaches. Covered approaches include quantitative systematic, fundamental systematic, black box, and statistical arbitrage. Moderator - Paul Wilmott, Founder, Wilmott Associates Machine (Systematic) Panel Karsten Schroeder, President, Amplitude Capital Sonia Schulenburg,PhD, CEO and Founder, Level E Limited Steven Hedgecock, Director, Altis Partners Dr Giles Nelson, Senior Director of Strategy and Evangelism, Apama Progress Software Emmanuel Doe, Business Manager Tick History, Thomson Reuters Human Intelligence (Discretionary) Panel Karim N. Taleb, PhD, Principal, Robust Methods LLC Andy Shaw, Managing Partner, Links Risk Advisory Henri Waelbroeck, PhD, Vice-President, Director of Research, Pipeline Trading Systems
11:45	Investors Panel Which quant strategies would you consider in 2009 and 2010 as market conditions bottom and begin to recover? Investors will examine their decision making criteria when evaluating a potential investment in quant based strategies. Issues discussed will include preference towards momentum, 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. Also, if the financial world is increasingly dominated by quants, what will happen to returns? A lot of quant funds base their alpha generation on modelling human behaviour. But in a world where most of the flows are quant driven, what behaviour should they model? That of their competitors' systems? Moderator - Giovanni Beliossi, Owner, FGS Capital LLP Bernhard Langer, CIO, Global Quantitative Equity, Invesco Asset Management Deutschland GmbH Claire Smith, Partner and Research Analyst, Albourne Partners Limited Luis Rodriguez, Risk Manager, Manhattan Family Office Darran Specter PhD, CFA, Investment Analyst, Cardano Tushar Patel, Managing Director, HFIM - Hedge Funds Investment Management Pete Feistmann, Private Investor Brian W. Chung, Senior Vice President - Senior Portfolio Manager, Fund of Funds Group, SSARIS Advisors, LLC
12:45	Networking Lunch
2:45	Which Quant strategies and Quant models work best in which market environments? In 2008, Quant based momentum strategies achieved superior returns, however, in the first quarter of 2009 those fortunes have been reversed. 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? Are CTA's still the diversification tool that they used to be? With a lot of medium/long term trend following CTA's losing money in the major trend reversals of the equities markets (seen end-Feb, early March), are investors shying away from the strategy? What are they investing in instead to find diversification? Marco Dion, Head of Equity Quant Research - Europe, JPMorgan Dr. Paul Netherwood, Partner, Beach Horizon LLP Dr. Alexei Chekhlov, Head of Research and Partner, Systematic Alpha Management, LLC Dan Jelicic, Principal, Sabre Fund Management Limited
3:45	Break
4:15	Current Financial Market Review and how Quantitative investing has Changed Part 1 Recent cataclysmic market violence: are quant funds cause of or victim of? Cause: What are the root causes of the current debacle: lack of regulation, greedy people with miss-aligned incentives, basic business cycle effect, too much capital chasing a finite pool of inefficiency, deficient risk models, good risk models that weren't used, bad luck, or Satan? Winners & Losers: There were notable winners and losers. What basic strategies failed, and why? What basic strategies succeeded and why? Trouble Makers: Did hedge funds (and or prop desks at banks and securities firms) play a significant role in exacerbating the current market debacle? Good Guys: Was there a positive role in all of this played by hedge funds? Are there lessons to be learned concerning portfolio construction? Part 2 What is the model for the future of quantitative investing platforms: Managed Accounts, UCITS, Funds of Managed Account; ETF's Moderator - Martin Kuehrer, PhD, fin4cast Frank Gerhard, Director, Head of Fund Linked Derivatives - Product Strategy, Barclays Capital Martin Bernier, Senior Analyst, Research & Development, Innocap Investment Management
5:00	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? Jasmina Hasanhodzic, PhD VP, Research Scientist, AlphaSimplex Alessandro Usseglio Viretta, Physicist, Dr sc nat ETH, Founder & Managing Director, In Numero LLC Matt Klaeffling, Founder, K Kapital Damian Handzy, Chairman & CEO, Investor Analytics Ed Boscott, Managing Director, Oxford and Cambridge Investment Management
6:00	Closing Remarks and Cocktail Networking Reception
7:30	Quantitative Models Show
8:00	Quant Post Networking Party