Program
April 2, 2009
| Time | Speaker | Topic |
|---|---|---|
| 6:30 - 8:30 | Dr. Shijie Deng | Dinner reception with speakers, Georgia Tech Hotel (Salon B) |
April 3, 2009
Schedule subject to change.
| Time | Speaker | Topic |
|---|---|---|
| 8:30 | Dr. Shijie Deng | Welcome |
| 8:35-9:20 | Ms. Savita Subramanian, Merrill Lynch |
Style rotation and stock selection |
| 9:30-10:15 | Dr. Aram Sogomonian, Edison Mission Energy |
A Framework for viewing Risk and Return trade-off for firms with Physical assets and commodity price exposure |
| 10:15-10:45 | BREAK | |
| 10:45-11:30 | Ms. Melanie Petsch, Petsch Analytics, LLC |
A day or n in the life: Examples of quantitative finance research on equities and asset allocation |
| 11:40-12:25 | Dr. Hélyette Geman, Birkbeck, University of London & ESCP- EAP |
Inventory, Scarcity and Price Volatility in Oil and Natural Gas Markets |
| 12:25-1:15 | LUNCH | |
| 1:15-2:00 | Mr. Chris Hovis, Earnest Partners |
Managing Equities by Integrating Quantitative Tools and Fundamental Research |
| 2:10-2:55 | Dr. Alexander Eydeland, Morgan Stanley |
Commodity Models: from Ags to Zinc |
| 2:55-3:20 | BREAK | |
| 3:20-4:05 | Dr. John Guerard, McKinley Capital |
Stock-Selection Modeling and Data Mining Corrections: Long-Only versus 130/30 Models |
| 4:15-5:00 | Dr. Zhaoou Yu, Goldman, Sachs & Co. |
When Genius Failed Again: A discussion of quant models in the current crisis |
| 5:00 | Closing Remarks |
Dr. Alexander Eydeland
Morgan Stanley
Title of Talk: Commodity Models: from Ags to Zinc
Abstract: We will discuss various issues and challenges facing commodity quants and suggest a number of modeling methodologies designed to address these issues. We will also give a brief introduction of standard commodity structures as well as new products and recent developments in commodity markets.
Dr. Hélyette Geman
Birkbeck, University of London & ESCP- EAP
Title of Talk: Inventory, Scarcity and Price Volatility in Oil and Natural Gas Markets
Abstract: The role of inventory in explaining the shape of the forward curve and spot price volatility in commodity markets is central in the theory of storage developed by Kaldor (1939) and Working (1949) and has since been documented in a vast body of financial literature, including the reference paper by Fama and French (1987) on metals. The goal of this paper is twofold: i) validate in the case of oil and natural gas the use of the slope of the forward curve as a proxy for inventory (the slope being defined in a way that filters out seasonality); ii) analyze directly for these two major commodities the relationship between inventory and price volatility. In agreement with the theory of storage, we find that: i) the negative correlation between price volatility and inventory is globally significant for crude oil; ii) this negative correlation prevails only during those periods of scarcity when the inventory is below the historical average and increases importantly during the winter periods for natural gas. Our results are illustrated by the analysis of a 15 year-database of US oil and natural gas prices and inventory. The talk will start with a discussion of the dramatic moves in commodity prices over the last 10 years.
Dr. John Guerard
McKinley Capital
Title of Talk: Stock-Selection Modeling and Data Mining Corrections:
Long-Only versus 130/30 Models
Abstract: This study addresses several aspects of stock selection, portfolio construction, and data mining corrections and hypothesis testing of excess returns. Mean-variance, equally actively weighted, tracking-error-at-risk, and 130/30 portfolios are created and tests are conducted to find out whether the excess returns of these portfolios are statistically different from the average models that could have been used to build portfolios. Knowledge of earnings forecasts is an important input to the portfolio construction process. The portfolios constructed fulfill a global growth mandate, and the strategies work in EAFE plus Canada and the U.S. universes. The excess returns produced by the models are statically different from the average models used. The 130/30 strategy dominates the long-only strategy. Moreover, evidence is presented to show that these portfolios can be implemented and produce excess returns in the world of business.
Mr. Chris Hovis
Earnest Partners
Title of Talk: Managing Equities by Integrating Quantitative Tools and Fundamental
Research
Abstract: This presentation takes a closer look at how an institutional asset manager integrates fundamental research and factor analysis to deliver long-term outperformance in the equity markets.
Ms. Melanie Petsch
Petsch Analytics, LLC
Title of Talk: A day or n in the life: Examples of quantitative finance research on equities and asset allocation
Abstract: This presentation will highlight a couple of uses of quantitative research in the current environment via real-life examples. First, we'll talk about building a relatively low-tech quantitative screening tool for US large-cap equities with the primary goal of focusing fundamental analysts' attention. Then we'll talk about some asset allocation work and the leading-edge capital markets simulation model behind it. Along the way, we'll get to see some of the limitations of particular models and how they can be dangerous if we don't take them into account.
Dr. Aram Sogomonian
Edison Mission Energy
Title of Talk: A Framework for viewing Risk and Return trade-off for firms with Physical
assets and commodity price exposure
Abstract: In the Energy complex many merchant players are re-emphasizing optimization of their physical assets in terms of extracting economic rents. One of the challenges this leads to is "how should we best look at the risk/reward trade-off?" Whereas in a trading environment for short dated exposures in liquid markets one could use a variation of the VaR with short holding periods, the assessment of the risk in the context of asset heavy portfolios in illiquid markets and locations make such an analysis highly difficult and the results highly suspect. We will talk about a framework that can be used to incent Risk managers to behave so as to meet Gross Margin targets while being sensitive to "Gross Margin at Risk" constraints. As part of this framework, we will discuss the challenges around reporting this information to various stakeholders and implications of a GAAP versus Economic view of risk and return.
Ms. Savita Subramanian
Merrill Lynch
Title of Talk: Style rotation and stock selection
Abstract: We will explore several themes in style rotation and quantitative modeling for stock selection, including how investors can use top-down models as an aid in selecting factors. We will discuss which macroeconomic indicators have high information content for factor rotation, and explore how to use these indicators to enhance a multifactor model. We will present an overview of the earnings expectation life cycle and its applicability to stock selection, including how to refine growth and value models using simple techniques for avoiding potentially overbought stocks and value traps.
Dr. Zhaoou Yu
Goldman, Sachs and Co.
Title of Talk: When Genius Failed Again: A discussion of quant models in the current crisis
Abstract: The recent turmoil in the credit derivatives market has brought around a lot of discussions about the flaws of quantitative models such as copula models in derivatives pricing. This presentation goes through a few examples of quantitative models used in credit derivatives pricing and analyses how misconceived assumptions taken by these models can affect their outcomes. We will discuss how the madness of the crowds can cause a quant model to be misused and misrepresented and how to be smarter in the future.