SQA President's Letters
Monday, July 25, 2016
Posted by: Meagan Bowker
SQA Presidents Letters
Dear Members and Friends of SQA,
2016 was an exciting time to serve as SQA President. Our March Fuzzy Day Conference and Gala dinner celebrated SQA’s 50th program year, featuring a fantastic lineup of speakers and welcoming 22 Past SQA Presidents. As speakers looked toward the future of our field, our early leaders reminisced about the founding days of quantitative finance and the emerging use of computers. Presentations and pictures from this conference and much of our organization’s history can be found on the history page of our website. Recording our history is a work in progress and we welcome your input with your past presentations and historical documents. Please contact the SQA Office to share your SQA history.
As is the hallmark of all SQA programs, the 50th Anniversary Conference allowed colleagues to come together to debate and discuss relevant, innovative research presented by industry leaders. The community spirit of SQA is as important as our program content. As a member for over twenty years, my circle of colleagues has grown through my SQA member network. I look forward to the group deliberation of each presentation as much as the casual conversation.
Our programs continue to evolve. Just as our world and our industry are ever changing, so do our programs. Few of us could have predicted recent events – continued negative interest rates, the wild ride of China’s stock market,turmoil in Europe, and Brexit are just a few examples. SQA leaders comb research to keep members informed of the implications of events and advances in technology to help us adapt our methods and parse the ever-growing data-driven world.
Call for Papers! You can help the SQA to become even better. We welcome your suggestions for papers, topics, and trends YOU find pertinent and thought-provoking. Please email paper topics and links to the SQA Office (firstname.lastname@example.org) or speak to any of our officers or board members at the next SQA program you attend.
Finally, you can help expand the SQA network by letting your colleagues and friends know about SQA by forwarding this e-mail or inviting them to our programs.
Benefits of SQA membership: Members receive discounts to other events of interest to the quant community, including a $500 discount to Attilio Meuicci’s 6-day intensive course "Advanced Risk and Portfolio Management Bootcamp" at New York University in August 2016. SQA members have access to our member directory, all past presentation materials, and other areas of the members-only section of our website. Of course, members pay reduced fees for all SQA and partner organization programs. Together these benefits can pay for your SQA membership several times over.
If you are not a member already, you can use the application link on our web site to join now.
I look forward to seeing you at upcoming events.
Peg DiOrio, CFA
Past President, Society of Quantitative Analysts
Dear friends of SQA,
Thank you for the opportunity to serve as the SQA president in the upcoming fiscal year. We are planning interesting programs for you, including a conference on applications of Data Science in finance. I hope you can join us for this and other SQA events. Please invite your friends and colleagues as well. If you are in a leadership position, consider helping your employees attend SQA conferences and seminars. Not only would it be a rewarding learning and networking experience for them, it would also benefit your company by having more knowledgeable employees.
I’ve personally benefited tremendously from attending SQA events. Reading papers cannot substitute for it. Speakers make an extra effort to explain their findings, and they often provide much more information than what is in the paper. Plus, nothing can replace an opportunity to engage in a discussion with an expert on a particular topic. Besides, many of us do not have time to read papers on a regular basis, and SQA events provide structure to continue learning about the latest ideas in quantitative investing. They also provide us, industry practitioners, with an opportunity to network and learn from each other.
As our fiscal year comes to a close, I would like to thank everyone who made the year a success. First of all, I would like to thank the outgoing SQA President, Peg DiOrio. Peg has been a strong leader and one of the biggest contributors to SQA over the years. A couple years ago, she led an effort of hiring a new administrator. That transformed the responsibilities of SQA officers and board members, allowing us to focus on more strategic goals and, most importantly, on the content of our programs. Peg brought a lot of structure to our work behind the scenes, which led to better planning and coordination of SQA events. Peg’s term as the President culminated in a fabulous Gala to celebrate the SQA 50th anniversary, and as always Peg was greatly involved in organizing the event.
I would also like to thank one of the most important contributors to the 50th anniversary celebrations, Greg Vaninwegen. Greg was the one who discovered that SQA goes back 50 years and helped uncover a lot of its history. We almost celebrated the 40th anniversary of SQA a year before, but Greg told us, “No, we are already 50 years old!” Greg, Sergei Polevikov, and the full Planning Committee worked relentlessly to restore the list of past SQA presidents, finding them through chains of mutual contacts, and inviting them to our celebrations. 22 of SQA’s past presidents attended, and several of them spoke on a panel, wittily moderated by Michelle Clayman.
The Gala was preceded earlier in the day by our marquee annual Fuzzy Day Conference:
- Robert Stambaugh of the University of Pennsylvania shared with us his four-factor model with two “mispricing” factors, which in addition to market and size factors, accommodates a large set of anomalies better than notable four and five-factor models.
- Bryan Kelly of the University of Chicago gave a talk on Excess Volatility, which is
irreconcilable with standard models of prices, even after accounting for variation in discount rates;
- Steven Kaplan of the University of Chicago, who was named one of the top five entrepreneurship professors in the U.S. by Business Week, provided a comprehensive overview of Venture Capital and Private Equity;
- Andrew Lo of MIT reviewed the current state of Hedge Funds;
If you are an SQA member, you can access the video of the event on our website. If you are not a member yet, you can register here.
Our Half Day Conference was a success as well:
- Nicholas Barberis of Yale University talked about one of the most important concepts in behavioral finance – extrapolation of the past;
- Leonid Kogan of MIT discussed the impact of innovations on asset prices;
- Robert Novy-Marx of the University of Rochester demonstrated that strategies that combine multiple signals may suffer from severe overfitting biases (a must read for all quants);
- Luis Viceira of Harvard University showed how monetary policy rules and uncertainty affect US Treasury bonds.
You can listen to the conference recording here.
In addition, we organized several informative seminars. You can access last year presentations here.
Lastly, I would like to thank our entire Board and our capable administrator, who helped run the SQA very smoothly and organized our fantastic events.
SQA Incoming President