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August 25th, 2020: Webinar: Reading 25 Million Studies in Seconds: Implications for Fighting COVID-19 and Managing a Portfolio - Recording

  • Sergei Polevikov, WellAI and SQA Board
  • Daniel Satchkov, WellAI and RiXtrema


July 8th, 2020: Panel: "Quant Investing During the Pandemic: The Good, The Bad, and The Ugly" - Recording

  • Andrew Chin, Chief Risk Officer and Head of Quantitative Research, Alliance Bernstein
  • Christos Koutsoyannis, Chief Investment Officer, Atlas Ridge Capital
  • Lilian Quah, Managing Director, Portfolio Manager, Head of Quantitative Research, Epoch Investment Partners

Moderator: Ken D’Souza, Portfolio Manager, QMA



March 2018: Fuzzy Day

    Sarah Jiang, AQR
, "Craftmanship Alpha: An Application to Style Investing"
Jason MacQueen, Northfield, "Converting Smart Equity Portfolios into Smart Corporate Bond Portfolios"
Marcos Lopez de Prado, Berkeley Lab, "The 7 Reasons Most Machine Learning Funds Fail"
Robert Stamicar, Axioma, "A CVaR Scenario-Based Framework for Minimizing Downside Risk in Multi-Asset Class Portfolios"
Charles Tapiero, NYU, "Financial Data Science: An intelligence challenge"


January 2018: Data Science in Finance: The Final Frontier?

    Vasant Dhar, New York University - "When should we trust autonomous learning systems with decisions?"

    Robert Schapire, Microsoft - “The Contextual Bandits Problem: Techniques for Learning to Make High-Reward Decisions”

    Bryan Kelly, University of Chicago - “Text as Data”

    Paul Gao, University of Notre Dame - “Search Data and Finance”

    Ronnie Sadka, Boston College - “Media and Its Interaction with Financial Markets”

    Claudia Perlich, Dstillery – "What Machine Learning can and cannot do!"


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

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

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

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

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


September 2017

    Bob Fernholz, INTECH, "Zipf's Law"


June 2017

    Hui XiongRutgers, "Talent Analytics: Prospects and Opportunities"


May 2017

    Kent Daniel, Columbia University, "Overpriced Winners"


April 2017

    Duncan Brown, Syracuse University, "Detection of Gravitational Waves"


March 2017: Fuzzy Day Conference, "Big Data? Big Deal!"

    Dave Donoho, Stanford University and Renaissance Technologies, "50 years of Data Science"
    Shane Conway, Kepos Capital, "Probably Approximately Correct: A Brief Tour of All of Machine Learning"
    Serena Ng, Columbia University, "What Do Terabytes of Weekly Scanner Data Say About Economic Conditions?"
    Dan diBartolomeo, Northfield Information Services, "Big Data in Investment Finance: A Cautionary Comment" 
    Paul Glasserman, Columbia University, "Does Unusual News Forecast Market Stress?"
    Claudia Perlich, Dstillery and NYU Stern, "Tales from the Data Trenches of Display Advertising"

Lightning Presentations
    Patrick Wood, Kensho, "Interacting with Data to Make Better Decisions"
    Afshin Goodarzi, 1010data
    Manish Aurora, Rational Investing, "Value Investing Globally (& Data Preparation)"
    Sylvain Raynes, CreditSpectrum, "Asset Backed Securities (& Credit Ratings)"


February 2017

    Martin Leibowitz, Morgan Stanley

    "Risk Tolerance and Peak Funding Ratios: A Meta Framework for Strategic Allocation”

    "U.S. Corporate DB Pension Plans — Today’s Challenges"


January 2017

    Mikhail Samonov, Forefront Analytics and GKFO, "Two Centuries of Price Return Momentum" 


November 2016: Half Day Conference "Advancing Portfolio Construction - Celebrating 25 Years of Black-Litterman

    Petter Kolm, Courant Institute of Mathematical Sciences

    Marco Lopez de Prado, Guggenhiem Partners
    Colm O’Cinneide,
QS Investors

    Bob Litterman, Kepos Capital

    Jason MacQueen, Northfield Information Services

    Attilio Meucci, ARPM


October 2016: Factors to Assets: Mapping Factor Exposures to Asset Allocations”

    Andrew Ang, Blackrock


September 2016: “Balancing on the Life Cycle: Target-Date Funds Need Better Diversification” 

   Jusvin Dhillon, AQR


June 2016: "Solving the curse of dimensionality problem for multi-asset class risk models"
    Jose Menchero, Bloomberg


May 2016: "Uncloaking CAPE: A New Look at an Old Valuation Ratio"
    Thomas Phillips, BNP Paribas Investment Partners
    Cenk Ural, Barclays

April 2016: An Active Debate on Active Share

    Melissa Brown, Axioma
    Bill Jacques, Martingale Asset Management 
    Antti Petajisto, Blackrock
    Lukasz Pomorski, AQR

March 2016: 50th Anniversary Fuzzy Day Conference "Insights For investors in 2016"

   Robert Stambaugh, University of Pennsylvania, "Mispricing Factors"

   Bryan Kelly, University of Chicago, "Excess Volatility: Beyond Discount Rates"

   Steven Kaplan, University of Chicago, "Secrets of Private Equity"

   Andrew Lo, MIT, "Hedge Funds: A Dynamic Industry in Transition"

Click Here to View Conference Presentation Videos


January 2016 Mark Kritzman, Windham Capital Management, "Facts About Factors"

Dec. 2015 Benson Durham, Brevan Howard, "What can bond investors borrow from equity quants?"

November 2015: Half Day Conference  "Insights for Investors in 2015

   Nicholas Barberis, Yale University, "Extrapolation of the Past:The Most Important Investor
   Leonid Kogan, MIT, "Innovation, Growth, and Financial Markets"

   Robert Novy-Marx, Simon Business School, "Backtesting Strategies Based on Multiple Signals"

   Luis Viceira, Harvard, "Monetary Policy Drivers of Bond and Equity Risks"


Click Here to listen to an audio recording of this event 

October 2015 Indrani De, Michelle Clayman, New Amsterdam Partners, "The Benefits of ESG Based Investing"

September 2015 Marc R. Reinganum, State Street Global Advisors, "The Current State of Quantitative Investing"

ay 2015: Fuzzy Day Conference  "Facts That Are Not Facts"

   Alessio de Longis, OppenheimerFunds, "US Dollar Safe Haven Myth..."

   Vincent Reinhart, Scholar at American Enterprise Institute, "How Scary IS the zero lower"

   Mark Kritzman, Windham Capital Management, "The Divergence of High and L"

   Campbell Harvey, Duke University, "Repeatable_Discovery"

April 2015 Itamar Drechsler, New York University, "Shorting Premium"
March 2015 Ioannis Karatzas, University of Albany, "Brief Survey of Stochastic Portfolio Theory"
February 2015 Jeff Passmore & Prashant Lamba, BHMS, "LDI from an Investment Actuarial Point of View"
January 2015 Antti Ilmanen, AQR, "Better Diversification in the Low Expected Return World"

November 2014: Half Day Conference "Risk Premia Investing"

   Andrea Frazzini, New York University, "Trading Costs of Asset Pricing Anomalies"

   Giorgio De Santis, Kepos Capital, "Exotic Beta Revisited"

   Andrew Ang, Columbia University, "Factor Investing"

   Erkko Etula, Harvard University, "Advancing Strategic Asset Allocation in a Multi-Factor World"

October 2014 Kent Daniel, Columbia University, "Momentum Crashes"

September 2014 Wei Xiong, Princeton University, "The Financialization of Commodity Markets"

July 2014 Andrea Vedolin, London School of Economics, "International Funding Liquidity"

May 2014: Fuzzy Day Conference "Systemic Risk, Financial Bubbles & Monetary Policy"

   Edward Hida,  Deloitte & Touche, "SIFI Designation and its Potential Impact on Non-Bank Financial

   Tanju Yorulmazer, University of Amsterdam, "Has Financial Innovation Made the World Riskier? CDS,
     Regulatory Arbitrage and Systemic Risk"

   Jose Scheinkman, Princeton University, "Speculation, Trading and Bubbles"
   Andrew Lo, MIT, "Fear, Greed, and Financial Crises: A Cognitive Neurosciences Perspective"
   Richard Bookstaber, Office of Financial Research, "Using Agent-Based Models for Analyzing Threats to Financial Stability"


April 2014 John Dolan, former Chair SolarCoin Foundation, "Alternative Currencies - Bitcoin and Beyond"
January 2014 Richard Michaud, New Frontier Advisors, "Deconstructing Black Litterman: How To Get The Portfolio You Already Knew You Wanted"

November 2013: Half Day Conference "Quantitative Modeling - New Trends in the Post Financial Crisis Era"

   Rodney N. Sullivan, CFA Institute, A Dynamic Future for Active Quant Investing
   John Hand Kenan, Flagler Business School, "The Supraview of U.S. Equity Return Predictive Signals -
     Last 40 Years and Changes in Last 5 Years"
   Mehmet Bayraktar, MSCI, "Manager Crowding and Portfolio Construction"
   Attilio Meucci, SYMMYS & KKR, "Fully Integrated Liquidity & Market Risk Model"
   Afshin Goodarzi, 1010 Data, "Big Data Models in the Financial Sector"


October 2013 Dan diBartolomeo, Northfield Information Services, "The Near-Death Experience of Quant Asset Management"

September 2013 Sanne De Boer, QS Investors, "Country and Sector Effects Drive Low-Volatility Investing"

May 2013: Fuzzy Day Conference "Sustainable Investing - Hype or Opportunity?"

   Jon Entine, ESG MediaMetrics, "Sustainable Investing and Sustainable Technologies"
   Nebojsa (Naki) Nakicenovic, International Institute for Applied Systems Analysis, "Multiple Benefits of
     Sustainable Investments for Transforming Energy Systems"
   Jack Gray, Centre for Capital Market Dysfunctionality at UTS, "Misadventures of An Irresponsible
   John Rogers, CFA Institute, "The Sustainability of the Finance Industry"
   Robert J. Shiller, Yale University, "The Benefit Corporation, the Social Impact Bond and Other
     Financial Innovations"
   Bob Litterman, Kepos Capital, "The Price of Climate Risk"
   Mark Kritzman, Windham Capital Management, "The Cost of Socially Responsible Investing"
   Bruce Kahn, The Earth Institute of Columbia University, "Sustainable Investing: Establishing Long
     Term Value and Performance"

April 2013 Antti Petajisto, BlackRock, "Inefficiencies in the Pricing of Exchange-traded Funds"

March 2013 Andrew Ang, Columbia University, "Regime Changes and Financial Market"
January 2013 Aswath Damodaran, New York University, "Equity Risk Premiums: Looking Backwards and Forwards"

November 2012: Half Day Conference "Risk, Leverage and Alpha"

   Jason MacQueen, R-Squared, "The Structure of Risk Models"
   Attilio Meucci, Kepos Capital, "Fully Flexible Probabilities via Entropy Pooling"
   Ken Winston, Western Asset Management, "Risk Management for Long-Short Portfolios"
   Lisa Goldberg, UC Berkeley, "Will My Risk Parity Strategy Outperform?"
   Aaron Brown, AQR Capital, "Red-Blooded Risk"


October 2012 Jose Menchero, MSCI, "The Alpha and Beta of Risk Attribution"
September 2012 Linda Allen, Texas Tech University, "Does Systemic Risk in the Financial Sector
 Predict Future Economic Downturns?"


May 2012: Fuzzy Day: "Learning and Adaptation in Financial Markets"

   Nicholas Barberis, Yale School of Management, "Belief-Based Models of Under-reaction and Over-reaction"

   Jasmina Hasanhodzic, Boston University, "On Alpha and Randomness in Asset Returns"

   Todd Gureckis, NYU, "Computation and Cognition Laboratory Learning and Deciding in Dynamic Environments"

    Andrew Lo, Sloan School of Management, MIT, "Adaptive Markets and the New World Order"

    Blake LeBaron, Brandeis University, "Heterogeneous Gain Learning and Long Swings in Asset Prices"

    Brian Uzzi, Northwestern University, "Leadership Risks and Challenges Posed by Social Networks and New Technology: Real Data, Real Effects"

    Christopher Neely, Federal Reserve Bank of St. Louis, "Lessons from the Evolution of Foreign Exchange Trading Strategies"


April 2012  "Model Risk, Quant, and the Law"

Broad regulatory trends and their potential impact on quantitative managers:

Carlos diFlorio, U.S. SEC, Robert Jones, System 2 Advisors and Randall Lee, WilmerHale

Structures that inform the control, compliance and governance functions of asset managers and the unique challenges of a quantitative setting

Glen Barrentine, Cadwalader, Wickersham & Taft, Jeremy Baskin, AXA Rosenbergand Peter Zangari, MSCI

Challenges raised by implementation of regulatory standards in a quantitative context

ChyheBecker,U.S. SEC, Ari Gabinet, Oppenheimer Funds and Barry Schachter,Woodbine Capital

March 2012 Emanuel Derman, Columbia, "Models Behaving Badly"
February 2012 Yakov Amihud, NYU Stern, "What Predicts Mutual Fund Performance?"
January 2012 Randy Cohen, MIT Sloan, "Where Does Alpha Come From?"

November 2011: Half Day Conference "Quantitative Global Macro"

   Wai Lee, Neuberger Berman, "Risk On - Risk Off"
   Alessio de Longis, Oppenheimer Funds, "Yield Differentials as Currency Driver: The Role of FX
     Hedge Ratios"
   Lars Nielsen, AQR Capital, "Chasing Your Own Tail (Risk)"
   Mebane Faber, Cambria Investment Management, "Trend Following on Risk Parity Allocations"
   Francis Diebold, University of Pennsylvania, "Measuring Financial and Macroeconomic


October 2011 Russ Wermers, University of Maryland, "The Investment Value of Mutual Fund Portfolio Disclosure"

September 2011 Daniel Burnside, University of Rochester, "Designing Alpha Models that Predict Rather than Explain Returns"

May 2011: Fuzzy Day Conference "Collective Intelligence - Social Networks, Contagion, and Information Diffusion"

   Peter Gloor, MIT Center for Collective Intelligence, "WebScience 2.0: Identifying Trends Through
     Semantic Social Network Analysis"
   Arun Sundararajan, NYU, "Is Oprah Contagious? Identifying Demand Spillovers in Online
   Joseph Engelberg, UNC Kenan-Flagler Business School, "In Search of Attention"
   Sinan Aral, NYU Stern, "Creating Social Contagion Through Viral Product Design: A Randomized Trial
     of Peer Influence in Networks"
   Chris Harris and Xander Twombly, Motley Fool, "Wisdom or Madness of Crowds?"
   Duncan Watts, Yahoo, Inc., "Everyone's an Influencer: Quantifying Influence on Twitter"


April 2011 Carmen Reinhart, Peterson Institute for International Economics, "Debt Capital Inflows and Growth"

March 2011 Andrea Frazzini, AQR Capital Management & University of Chicago, "Betting Against Beta"

February 2011 Lior Menzly, Nomura Asset Managemen, "Market Segmentation and Cross-Predictability of Returns"

January 2011 Martijn Cremers, Yale School of Management, "Short Term Trading and Anomalies"


November 2010: Half-Day Conference "Rethinking Portfolio Construction"

   Sebastien Page, PIMCO, "The Myth of Diversification"
   Daniel Satchkov, RiXtrema, Inc., "When Swans are Grey: Early Warning and Risk Systems"
   Sebastian Ceria, Axioma, Inc., "Debate: To Optimize or Not to Optimize?"
   Jason MacQueen R-Squared Risk Management, "Debate: To Optimize or Not to Optimize?"
   Matthew Rothman, Barclays, "Capital Exploring Correlations Among the Quants: Myths and Realities"


October 2010 Will Goetzmann, Yale University, School of Management, "Procyclical Stocks Earn Higher Returns"

September 2010 David Esch, New Frontier Advisors, "Non-normality: Facts & Fallacies"

June 2010 Alexander Ljungqvist, New York University, Stern School of Business, "Rewriting History"

May 2010: Fuzzy Day Conference "Institutional Decision Making & Group Behavior"

   Arnold Wood, "Investment Process and Behavioral Finance"

   Nicholas Barberis, Yale University,"The Psychology of the Financial Crisis"

   Reid Hastie, University of Chicago, "Information Pooling in Group Decisions"

   John W. Payne, Duke University, "Optimizing Investment Committee Decisions"
   Joseph Simmons, Yale University, "Intuitive Biases in Choice vs. Estimation: Implications for the Wisdom of Crowds"
   Min Gong, Columbia University, "Group Cooperation Under Uncertainty"
   Christopher Chabris, MIT, "Collective Intelligence and the Group Brain"


 April 2010 Bob Jones, Goldman Sachs, "Maybe It Really IS Different This Time"
March 2010 Lin Peng, "Baruch College A Tale of Two Anomalies"

February 2010 Andrew Kalotay and Martin Fridson, "Examining Model Risk in Fixed Income Assets"
January 2010 Jeffrey Wurgler, Stern School of Business, "Global, Local, and Contagious Investor Sentiment"


November 2009: Half Day Conference "Fundamental Causes of Volatility"

    Francis Diebold, University of Pennsylvania, "Measuring Economic Activity in Real Time"

    Andrea Buraschi, Imperial College Business School, "When Uncertainty Blows in the Orchard: Comovement and Equilibrium Volatility Risk Premia"
    Krag Gregory, Goldman Sachs, "Equity Volatility Across the Business Cycle"
    Dan diBartolomeo, Northfield Information Services, "Equity Portfolio Risk (Volatility) Estimation Using Market Information and Sentiment"
    Robert F. Engle, New York University, "Global Financial Stability and Long Term Risk"



Historical SQA Presentation Materials:

  • 2004 - 2014 Program Flyer Collection
  • 1995 - 2014 Program History 
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