Advancing the Field of Quantitative Finance
formerly the IAFE

Event: 2008 Annual Conference: Investing Through Volatile Markets
Date: June 25, 2008
Time:8AM Registration; Program runs from 9AM - 5:30PM
Location:
PricewaterhouseCoopers
300 Madison Avenue (at 42nd Street)
New York City

The International Association of Financial Engineers presents

The 2008 IAFE Annual Conference

Investing Through Volatile Markets

PricewaterhouseCoopers
300 Madison Avenue (42nd Street)
June 25th, 2008

This year’s keynote speech will be given by the 2007 IAFE/SunGard Financial Engineer of the Year Winner, Jack Treynor, President, Treynor Capital Management

Program Agenda: (click on panelist's name to view presentation)

8 am
Registration
Coffee & Light Breakfast

8:30 am
IAFE Annual General Membership Meeting

8:45 am
Opening Remarks
Richard Lindsey, CEO, Callcott Group. & IAFE Chairman

9:00 am
Food for Thought: Hedging the Hunger Crisis
In light of tightening demand and supply fundamentals, as well as policy constraints on the free flow of capital, labor and technology, which negatively influence supply adjustments, we have experienced significant increases in a wide variety of food (and energy) commodities. This has caused food shortages and food price inflation in many countries. We have also witnessed significant growth in financial flows and related financial products in food and other commodity markets in recent years.

In response to these developments, national authorities are increasingly looking to use financial market tools to measure and manage a variety of risks related to food production and importation. This panel will outline some of the risk management strategies and tools available to better understand, measure, and possible hedge these risks."

Panel led by Todd Groome, International Monetary Fund
Julie Dana, The World Bank
Carolyn Jackson, Allen & Overy
Brian O'Hearne, Swiss Reinsurance Company

10:15am
Knowing Jack Treynor
Peter Bernstein, Peter L. Bernstein Inc.

10:30am
Keynote Speech: Momentum Stocks

Jack Treynor
, President, Treynor Capital Management and 2007 IAFE/SunGard Financial Engineer of the Year

  • Can we reconcile them with Samuelson's concept of market rationality?
  • Can we explain why some stocks have momentum and others don't?
  • Can we justify their own special kind of systematic risk?

11:30 am Lunch

1:00 pm
IAFE Liquidity Risk Paper
Financial engineering can foster risk diversification and make markets more efficient, but innovations can also be destabilizing. The upcoming IAFE research paper will explore how financial engineers can enhance the positive and reduce the negative effects of market innovation.

In this session we will outline some of the questions posed by the paper and seek audience reaction.

Securitization: Does securitization always lead to lax underwriting?

Structuring: Are structured bonds too thin?

Indexed Contracts: Did ABX reflect the position of short sellers, or reflect market consensus on value?

Richard Lindsey, CEO, Callcott Group & IAFE Chairman
Roy Henriksson, CIO, Advanced Portfolio Management, & Co-Chair, IAFE Liquidity Risk Committee
Andrew Davidson, President, Andrew Davidson & Company & IAFE Advisory Board Member

2:15 pm Mid-Afternoon Break

2:45 pm
A Look at the Quant Crisis
A discussion of the triggers and causes of the recent turmoil in equity quant strategies as well as its implications for, and impacts on, the future of quantitative equity investing.

Panel led by Sid Browne, CIO -- Quantitative Strategies, Brevan Howard Asset Management & IAFE Board Member
Simon Emrich, Executive Director, Head of North American Quantitative and Derivative Strategies, Morgan Stanley
Matthew Rothman, Managing Director, Global Head of Quantitative Equity Strategies, Lehman Brothers

4:00 pm
Five Trading Ideas for Today’s Market
A Panel Conversation

Panel led by Tanya Styblo Beder, Chairman, SBCC Group & IAFE Board Member
Patrick Dewez, Co-Managing Partner, WPD Partners
Ayman Hindy, Partner, Platinum Grove Asset Management
Jean Karoubi, President and co-Chief Investment Officer of the LongChamp Group
Joseph Mezrich, Managing Director & Head of Quantitative Research, Nomura Securities International & IAFE Board Member

5:15 pm Reception