February 16, 2012: What Predicts Mutual Fund Performance?
Professor Yakov Amihud of NYU Stern will explain characteristics and predictive properties of mutual fund returns. In particular, a new measure of mutual fund active management, the complement of R2, will be compared with a more common one, the Active Share. Follow the link for more details or to register. Members may also register for an opportunity to join Professor Amihud for dinner following the program.
March 1, 2012: Models Behaving Badly
Emanuel Derman, well-known quant and professor at Columbia University, will talk about his new book, "Models Behaving Badly". Quants live for their models. Contrariwise, Prof. Derman will explain, in particular, why quants can't trust financials models, in contrast to other fields, such as physics.
April 26, 2012: Model Risk, Quantitative Management and the Law
Panels of experts representing the SEC, compliance/legal, portfolio management and risk management will discuss the following issues (among others):
-- Reason for and implications of the recent SEC's heightened focus on quants (e.g. AXA Rosenberg case).
-- Importance of "tone at the top" and "culture of compliance" for quant funds.
-- Applicability and "best practices" of fiduciary duty, recordkeeping and disclosures in a quant setting.
SQA RECOMMENDED READING from AMAZON.com
Many SQA program and conference speakers have also published their work in book form, and we recommend the following:
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