| 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
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| 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
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| 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
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12:45 | Networking Lunch
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| 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
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3:45 | Break
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| 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
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| 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
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| 6:00 |
Closing Remarks and Cocktail Networking Reception
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| 7:30 | Quantitative Models Show
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| 8:00 | Quant Post Networking Party
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