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Half Day Conference, "Quantitative Approaches to Retirement Planning: Time to Retire Old Thinking"
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When: Thursday, November 16, 2017

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SQA's Annual Fall Conference


Quantitative Approaches to Retirement Planning: Time to Retire Old Thinking


If you are an SQA Member, sign in and click here for access to the presentation materials


November 16, 2017


8:00 a.m. Registration & Breakfast


745 7th Ave, New York, NY 10019


Member - $495
Student/Transitional Member - $250

 Non-Member - $695
Non-Member Afilliated 
(Contact your Affiliate Organization for your discount code)- $595


Early Bird  - Register By November 3rd and receive $100 discount!


Quantitative Approaches to Retirement Planning: Time to Retire Old Thinking

There is widespread concern that a global retirement crisis is imminent. Inadequate retirement savings, critically underfunded pension obligations, and the looming insolvency of social safety nets are widely acknowledged as serious problems requiring immediate attention. This conference will feature presentations from leading experts discussing the crucial role of quantitative methods in overcoming the challenges facing modern-day retirement planning.


Speakers Include


Dan DiBartolomeo, Northfield Information Services – "Defined Contribution Retirement within Lifetime Investing Planning" 


While almost all financial service organizations talk about the concept of a customized investment plan for each client household, essentially none deliver on that promise. A plan is a set of contemplated actions for the future. Instead, financial advisors provide recommendations only for the current asset allocation of the investment portfolio with the only “plan” being to revisit the allocation in a year or two. Among the financial products available to retail investors (in some countries) are target date funds that include the concept of an allocation glide path, but such funds are based solely on expected year of retirement. They are not sensitive to wealth levels, non-retirement financial goals or the potentially complex preferences of high net worth investors. In this presentation, we illustrate a process to create the “maximum likelihood” forward time series of expected asset allocations through the investor’s lifetime (now, next year, 2 years out, 5 years out, etc.) using the life balance sheet concept described in Wilcox (2003), the non-parametric preference functions from Bolster and Warrick (2008), and a process to combine these two disparate concepts from diBartolomeo (2014). The delivery of an actual investment plan reassures investors psychologically as they can see life events (e.g. college expenditure) reflected in the planned changes in asset allocation. In addition, the conditional foreknowledge of “what we are doing next” allows much of portfolio rebalancing to be done through cash flows (savings inward, reinvestment of income, and spending outward) thereby reducing transaction costs (and taxes on non-retirement assets).  Having an actual plan also contributes to reduced uncertainty as to where to liquidate assets within the portfolio to augment investment income in today’s low yield environment.


Mr. DiBartolomeo is President and founder of Northfield Information Services, Inc.  Based in Boston since 1986, Northfield develops quantitative models of financial markets.   He sits on boards of numerous industry organizations include IAQF and CQA, and is a director and past president of the Boston Economic Club.  His publication record includes thirty books, book chapters and research journal articles.   In addition, Dan spent many years as a Visiting Professor at Brunel University, and has been admitted as an expert witness in litigation matters regarding investment management practices and derivatives in both US federal and state courts. 


Rodney Sullivan, AQR – "Defined Contribution Retirement Plans Should Look and Feel More Like Defined Benefit Plans"

Defined contribution (DC) plans have, to this point, delivered uneven and sometimes inadequate results. We believe that DC sponsors can do much better in the future by maintaining the many important advantages of DC plans while simultaneously employing the best features of defined benefit (DB) plans. We discuss the origins, structure and ideas behind both DB and DC plans and show how outcomes for investors using DC plans can be improved in future decades.


Rodney N. Sullivan, CFA serves as Vice President at AQR Capital Management, Inc. where he is responsible for the firm’s global outreach programs that update and educate clients and investors about the firm’s research, strategies and ideas. Formerly, Rodney was Head of Publications and editor of the Financial Analysts Journal at CFA Institute. He is the editor of numerous books for investment professionals and has published widely in various scholarly journals, newspapers, and magazines. Rodney is a former member of the Board of Directors at The Institute for Quantitative Research in Finance and a Practitioner Director at Financial Management Association International. He is a CFA Charterholder, and has a B.S. and M.A. in economics from Virginia Commonwealth University.



Martin Tarlie, QMA – "Investment Horizon and Portfolio Selection"

I introduce a method of portfolio selection based on the idea that investment risk is not having enough wealth when you need it. Not having enough wealth translates into a required return. When you need wealth translates into an investment horizon. These two ingredients, when combined with asymmetric preferences for wealth above and below the target, result in portfolio selection that depends explicitly on investment horizon.

Martin Tarlie, PhD, CFA, is a Managing Director and Senior Researcher for QMA, working with the Global Portfolio Solutions team. His responsibilities include research for quantitative equity and asset allocation strategies. Previously Martin worked at GMO in a variety of research and portfolio management roles. Prior to GMO, Martin worked as a quantitative analyst for Breakwater Trading and as a fundamental equity analyst at Marlin Capital Corp. as the director of research. Martin earned his BS in Physics and Mathematics from the University of Michigan, his MS and PhD in Theoretical Physics form the University of Illinois at Urbana-Champaign, and his MBA from the University of Chicago Graduate School of Business. He was also a Postdoctoral Research Fellow in Theoretical Condensed Matter Physics at the James Franck Institute at the University of Chicago.



Deborah J. Lucas, MIT Sloan School of Management - "Hacking Reverse Mortgages"

Reverse mortgages hold the promise of unlocking home equity to help meet retirees’ spending needs while allowing them to age in place. Despite the product’s potential as significant source of liquidity and insurance, the reverse mortgage market has been slow to take off. In the U.S., the HECM--a product designed and administered by the federal government—dominates the market. We develop a valuation model for HECMs and use it to suggest an answer to the reverse mortgage puzzle: why is it that a seemingly useful and subsidized product is so unpopular? The analysis suggests a financial explanation may be an important component of the answer: The loans are expensive for borrowers. There is a government subsidy, but the benefits are largely captured by the guaranteed private lenders. Structural changes to the program are proposed that could lower cost and improve the product’s functionality and appeal.


Deborah J. Lucas is the Sloan Professor of Finance at the MIT Sloan School of Management and the Director of the MIT Golub Center for Finance and Policy. Her recent research has focused on how to better measure and account for the costs and risks of government financial obligations.  She also has published extensively in the areas of asset pricing and portfolio choice, dynamic models of corporate finance, and retirement and housing finance policy. Currently she is an associate editor for the American Economic Review-Policy and the Annual Review of Financial Economics; an NBER Research Associate; and serves on advisory boards for the New York Fed, the Urban Institute, and the Census Bureau.   Previous appointments include assistant and associate director at the Congressional Budget Office; professor at Northwestern University’s Kellogg School; chief economist at the Congressional Budget Office; and senior staff economist at the Council of Economic Advisers. She has been a director on several corporate and non-profit boards. She received her BA, MA, and a PhD in economics from the University of Chicago.


8:00 a.m. – Registration & Breakfast

8:30 a.m. – Conference Begins, Introductions, etc.


8:45 a.m. – Martin Tarlie, QMA

“Investment Horizon and Portfolio Selection”


9:45 a.m. – Deborah Lucas, MIT

“Hacking Reverse Mortgages”


10:45 a.m. – Morning Break


11:00 a.m. – Rodney Sullivan, AQR

"Defined Contribution Retirement Plans Should Look and Feel More Like Defined Benefit Plans"


12:00 p.m. – Lunch and networking


12:45 p.m. – Dan DiBartolomeo, Northfield Information Services

“Defined Contribution Retirement within Lifetime Investing Planning“


1:45 p.m. – Closing comments/Adjourn



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