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September 19 SQA Seminar
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September 19 SQA Seminar

 Export to Your Calendar 9/19/2019
When: September 19, 2019
5:30 PM - 8:00 PM
Where: The Penn Club
30 W 44th St., New York, NY  10036
Contact: Rebecca Harrington

Online registration is available until: 9/19/2019
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September 19th Seminar

Speakers: Bob Fernholz (founder of Intech) & Jason Hu (Chairman and CIO of Rayliant Global Advisors) 


Jason Hsu (Chairman and CIO of Rayliant Global Advisors)

 “The Surprising “Alpha” from Malkiel’s Monkey and Upside-Down Strategies”


The latest index literature is bursting with new innovations based on quantitative strategies that are predicated on sensible investment beliefs. Empirical studies confirm that these strategies do indeed deliver economically large and statistically significant excess returns over the cap-weighted market benchmarks in nearly all geographical and country studies. To the casual observer, it will be shocking to learn that inverting the portfolio construction algorithms does not reverse the alphas. Embarrassingly, the inverted strategies often outperform the originals. This paradoxical result is driven by the phenomenon that seemingly unrelated and non-value-based strategies and their inverse strategies often have unintended and almost unavoidable value and small-cap tilts. Even Burt Malkiel’s blind-folded monkey, throwing darts at the Wall Street Journal, would produce a portfolio strategy with a significant value and small-cap bias that would have outperformed historically. The value and small tilts stem from the fact that these new weighting schemes sever the link between a company’s share price/capitalization and its weight in the portfolio. Generally, an investment thesis where price does not drive the weight in the portfolio will have a value tilt and an investment thesis where company size/capitalization does not drive portfolio weights will have a small-cap tilt. As a result, these strategies produce outperformance against the cap-weighted benchmark due to the often unintended value and small cap tilts and independent of the investment philosophies that drive the product design.


Jason is founder, chairman and CIO of Rayliant Global Advisors (RGA), a global investment management group with more than US$26 billion in assets managed using its strategies, as of June 30, 2019. Rayliant applies quantitative methods to access behavioral-based alpha prevalent in inefficient markets like China and other emerging markets. Jason also co-founded Research Affiliates, a smart beta and asset allocation leader with over US$180 billion in assets managed using its strategies.

Jason sits on the editorial board of the Financial Analysts Journal, the Journal of Investment Management, the Journal of Investment Consulting and the Journal of Index Investing. He is an adjunct professor of finance at UCLA Anderson School of Management, and a visiting professor at Tsinghua University (China), Kyoto University (Japan) and National Chengchi University (Taiwan).

Jason has published more than 40 journal articles and is a contributing author to nine handbooks in finance and economics. He has won two Graham and Dodd Scroll Awards; one Graham and Dodd Reader’s Choice Award; three Bernstein Fabozzi/Jacob Levy Awards; and three William F. Sharpe Awards. He also co-invented the Fundamental Index, awarded best index by Global Pensions magazine in 2007, 2008 and 2009.

Jason received his Ph.D. in finance from UCLA Anderson School of Management. He received his M.S. from Stanford University and B.S. from the California Institute of Technology.

"Bob" Fernholz (Founder of INTECH)

“Diversification, Volatility, and Surprising Alpha”

Summary: It has been widely observed that capitalization-weighted indexes can be beaten by surprisingly simple, systematic investment strategies. Indeed, in the U.S. stock market, equal-weighted portfolios, random-weighted portfolios, and other naive, non- optimized portfolios tend to outperform a capitalization-weighted index over the long term. This outperformance is generally attributed to beneficial factor exposures. Here, we provide a deeper, more general explanation of this phenomenon by decomposing portfolio log-returns into an average growth and an excess growth component. Using a rank-based empirical study we argue that the excess growth component plays the major role in explaining the outperformance of naive portfolios. In particular, individual stock growth rates are not as critical as is traditionally assumed


Robert "Bob" Fernholz is a mathematician and financial researcher specializing in mathematics of finance. He founded INTECH, an institutional equity management firm, in 1987 where he was its chief investment officer. He is also the President of Allocation Strategies, LLC, a company that he founded in 2012, and a trustee at the Institute for Advanced Study in Princeton, New Jersey  

Fernholz received his BA degree magna cum laude from Princeton University majoring in mathematics. He earned his PhD in mathematics from Columbia University. After joining the Mathematics Department at the University of Washington in Seattle as an Assistant Professor, Fernholz continued his academic career in Argentina, followed by Hunter College of the CUNY, and Princeton University.   

Over time, his interests changed from pure to applied mathematics, in particular, probability, statistics, and applications. After several years of independent research in this new direction, in 1982 he published the paper “Stochastic Portfolio Theory and Stochastic Market Equilibrium”, which was the basis for his investment ideas that culminated in the creation of INTECH.  

Fernholz is the author of numerous research articles both in pure and applied mathematics as well as statistics and mathematics of finance. His most important publication is the pioneering research monograph Stochastic Portfolio Theory published in 2002.   



  • SQA Members Regular or Academic: $70.00
  • Transitional or Student: $30.00
  • Non-Member Affiliated: $100.00 
  • Non-members: $125.00

Location: Penn Club: 30 W 44th St, New York, NY 10036


5:30 p.m. Cocktails & Networking

6:00 p.m. Presentation 1 (30 mins + 15 mins for questions)

6:45 p.m. Presentation 2 (30 mins + 15 mins for questions)

7:30 p.m. Cocktails & Networking

8:00 p.m. Adjourn

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