2008

Global Quantitative Investment Strategies Conference 2008

The second annual Global Quantitative Strategies Conference was held at Cipriani 23rd Street in New York City on Tuesday, June 17, 2008.

In the past year, markets around the world have been roiled by many issues, and as a result the spotlight has been cast on quantitative-driven trading strategies and their role in the turbulence.

In order to explore this apparently new market reality, Nomura and Instinet Research Partners assembled a renowned group of speakers from around the world to examine how things have changed and what the future may hold for quantitative fund managers.

Nowhere to Hide – Alpha in a World of High Systemic Risk Joseph Mezrich Managing Director, Head of Quantitative Research Nomura Securities International, Inc. (New York) Joe Mezrich has been managing director, head of quantitative research, at Nomura Securities International since January 2006. He was previously managing director, head of US quantitative 7 derivatives research at UBS where he was ranked #1 by Institutional Investor for global quant. From 1998 to 2002 he was head of quantitative strategies/quantitative strategist at Morgan Stanley and a member of its Macro Strategy Team. From 1987 to 1998 he was deputy head of the Equity Portfolio Analytics Group at Salomon Brothers. Mezrich received a Ph.D. in mathematical psychology and an M.A. in statistics from the University of Michigan, and received the EE and SM degrees in electrical engineering from the Massachusetts Institute of Technology.	Presentation Audio
Quantitative Investing in Two Dimensions Eric Sorensen President and Chief Executive Officer Panagora Asset Management Dr. Sorensen is the president and chief executive officer of PanAgora Asset Management. PanAgora specializes in quantitative money management solutions implementing modern portfolio strategies totaling approximately $25 billion in investment strategies, and focuses on a variety of innovative bottom-up equity as well as multi-alpha macro strategies. Between 2000 and 2004, Dr. Sorensen was the global head of quantitative research and a chief investment officer at Putnam Investments (a PanAgora shareholder). Prior to joining Putnam Investments, Dr. Sorensen was global head of quantitative research at Salomon Brothers (now Citigroup). At the end of his 14 years on Wall Street, he led the largest sell-side quant research team in the world - a group of 60 quantitative analysts comprising teams in New York, London, Singapore, Tokyo, and Australia. During that time he published extensively, and consulted with institutional investor clients around the world. During those years, Dr. Sorensen developed a global reputation as a leader in the field of modern investment strategies, publishing hundreds of research reports. His honors include many years on the Institutional Investor All American Research Team and several Graham and Dodd awards, as well as the Bernstein Fabozzi/Jacobs Levy Award for Outstanding Article published in the Journal of Portfolio Management. Prior to Wall Street, he had a distinguished career in academia from 1974 to 1986, mainly as a professor of finance and department head at the University of Arizona. He has published over 50 academic/journal articles and has served on the editorial boards of several academic finance journals. Today, with 33 years of quantitative research and institutional experience, he is viewed as a leading expert in the industry. He recently completed a book, Quantitative Equity Management, with two PanAgora colleagues. His background also includes a tour as an Air Force Officer and jet pilot from 1969-1974. Dr. Sorensen has been married for 38 years and has three adult children.
Recent Quant Factor Performance in Japan – Unintended Negative Correlation of Value and Revision Hiromichi Tamura Director, Head of Equity Quant Strategy Nomura Securities Co., Ltd. (Tokyo) Hiromichi Tamura is head of equity quant strategy at Nomura Securities Co. Ltd., Tokyo. He joined Nomura in 1991 after receiving his M.A. in electronics and communication from Waseda University. He began his career as a fundamental analyst covering electronics companies. He then became involved in quantitative analysis and for 15 years has developed numerous strategies for institutional investors. He was a visiting scholar at UCLA in 1999, and submitted a research paper regarding analyst behavior to the Financial Analysts Journal. From 2002 to 2004, he was based in London to provide his research to European institutional investors. He was ranked fourth in the Nikkei Analyst Vote in 2008 and was a "runner up" in Institutional Investors' 2008 ranking.	Presentation Audio
The Outlook for Alpha – Global Comparisons Sandy Lee Head of Quantitative Research Nomura International Limited (Hong Kong) Sandy Lee is head of quantitative research at Nomura International (Hong Kong) Ltd. Her primary focus is on style/factor analysis and multi-factor strategy, portfolio construction and risk analysis, and index research. Ms. Lee was ranked #4 in Asia Money's "Best Quantitative Analyst" category in 2007, and Nomura's Asia quant team was ranked #3. The Nomura quant team was also ranked #3 in Greenwich Associates' "Priorities" category in 2007, and #7 in the All-Asian PM's category. Ms. Lee holds an MBA from the University of Warwick. Antonio Ortega Quantitative Research Nomura Securities International, Inc. (New York) Antonio Ortega earned his Masters of Science degree in statistics from Renssealer Polytechnic Institute along with a Bachelor of Science in engineering. For five years, he was a member of Sanford C. Bernstein's global quant team and prior to Wall Street, spent four years in the credit card business developing consumer credit models.	Audio Presentation Presentation
Crises in Financial Markets and the Lack of Sense & Sensibility David M. Modest Managing Director JP Morgan Chase Dr. Modest is currently a Managing Director at JPMorgan Chase within the firm's Proprietary Positioning Business. Dr. Modest graduated from M.I.T. with S.B. and Ph. D. degrees in Economics. Upon graduating from M.I.T., he joined the Columbia Business School faculty before becoming a tenured member of the faculty at the Haas School of Business at the University of California at Berkeley. At Berkeley, Dr. Modest was chairman of the finance group and received campus-wide and Haas School teaching prizes. Dr. Modest has also taught at the Stanford Business School and at the Sloan School of Management at M.I.T. Dr. Modest's life as a full-time practitioner began as a founding member of LTCM where he was responsible for building the firm's relative-value equity businesses including warrant, convertible, and single-stock option arbitrage; and quantitative long/short equity strategies. Subsequent to LTCM, Dr. Modest joined Morgan Stanley as a Managing Director where he built and oversaw proprietary capital structure arbitrage and long/short equity trading groups. He was also extensively involved in enhancing Morgan Stanley's internal risk management capabilities and the firm's ability to provide state-of-the-art risk management services to its institutional and retail clients.
Where We're Going Steve Galbraith Limited Partner Maverick Capital Prior to joining Maverick in 2004, Mr. Galbraith served as chief investment officer and chief investment strategist at Morgan Stanley. While at Morgan Stanley, Mr. Galbraith's work was consistently recognized in various Wall Street analyst polls, including a No. 1 ranking in the Institutional Investor All America Research Team poll in 2002 and 2003. Prior to joining Morgan Stanley, he was a partner at Sanford Bernstein, where he was a highly ranked analyst in both the packaged foods sector and the securities industry. Mr. Galbraith is an adjunct professor at Columbia University Business School, where he teaches securities analysis. He also serves on the Board of Trustees for the National Constitution Center in Philadelphia, and as a board member for Pezna Investment Management as well as the Harlem Success Academy, a charter school founded in 2006 in New York City. Mr. Galbraith received his B.A. (Summa Cum Laude) from Tufts University, where he was elected to Phi Beta Kappa.	Presentation Audio
Paradigm Lost? The Future for Quants after the Golden Era: A Roundtable Discussion Tanya Styblo Beder Chairman SBCC Group With over 20 years of experience in the global capital markets, Ms. Beder founded and served as president of SBCC from 1987 to 1994, returning as chairman in 2006. During the interim, Ms. Beder held two senior positions in the asset management industry. From 2004 to 2006 she was CEO of Tribeca Global Management LLC, Citigroup's $2.6 billion dollar multi-strategy hedge fund and from 1999 to 2004 she was managing director of Caxton Associates LLC, a $10 billion investment management firm located in New York City. At Caxton, Ms. Beder built the Strategic Quantitative Investment Division focused on systems-based trading across equities, fixed income, commodities, and currencies. At Tribeca, she built a global hedge fund that traded across equities, fixed income, currencies, commodities, credit, convertibles, merger arbitrage and distressed debt around the world with offices in Singapore, London and New York. During her tenure, Absolute Return awarded her the prestigious Institutional Investment Manager of the Year Award. Ms. Beder was an author of the Risk Standards for Institutional Investors and Institutional Investment Managers and has written numerous articles in the financial area that have been published by The Journal of Portfolio Management, The Financial Analysts Journal, The Harvard Business Review, The Journal of Financial Engineering, Probus Publishing, John Wiley & Sons, and Simon & Shuster. Ms. Beder holds a M.B.A. in finance from Harvard University and a B.A. in Mathematics from Yale University. Tony Elavia Chief Investment Officer Equity Investors Group, NYLIM Tony Elavia is the chief investment officer of Equity Investors Group, a division of New York Life Investment Management LLC. In this role, Mr. Elavia is responsible for setting investment strategy and building or acquiring new investment management expertise. Immediately prior to joining NYLIM as a senior managing director in 2004, Mr. Elavia was managing director and senior portfolio manager of the large cap growth team of Putnam Investments in Boston, MA, managing more than $45 billion in assets. Prior to joining Putman, Mr. Elavia was executive vice president and portfolio manager at Voyageur Asset Management and president of TES Partners, a long short hedge fund in Minneapolis, MN. Previously, he was a senior vice president with Piper Capital Management. Mr. Elavia holds a Ph.D. and M.A. in Economics from the University of Houston and a M.A. and B.C. from the University of Baroda in Vadodara, India. Ulrike Hoffman-Burchardi Portfolio Manager Tudor Investments Ulrike Hoffman-Burchardi is a portfolio manager with Tudor Investment Corporation where she oversees quantitative equity long/short portfolios. She joined Tudor in 1999 after completing her Ph.D. in finance at the London School of Economics. She received her M.A. from the University of St. Gallen in Switzerland in 1995. Yasuyuki Kato Senior Executive Officer, Head of Global Quantitative Research Nomura Securities Co., Ltd. (Tokyo) Yasuyuki Kato is senior executive officer, the head of global quantitative research, the head of fiduciary service research center of Nomura Securities Co. Ltd and a visiting professor at Kyoto University. He has been devoted to research, investment technology and asset management since joining Nomura in 1980 after finishing his M.A. in systems science at the Tokyo Institute of Technology. Previously, he was the head of quantitative research in New York and London before taking over his current position. He is a committee member of various outside organizations, such as the Pension Fund Association of Japan and the Japanese Association of Risk, Insurance and Pensions. He has written various papers and books on investment including Japanese Financial Markets (Woodhead Publishing), Equity Investment Strategies (Kinzai), Dictionary of Financial Engineering (Toyo Keizai), The Science of Equity Investment (Kadokawa).	Audio Presentation

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