Advancing the Field of Quantitative Finance
formerly the IAFE

Event: SQA Half Day Conference: Quantitative Global Macro- Generating Alpha in Challenging Markets
Date: November 10, 2011
Lighthouse Conference Center

111 East 59th Street

New York


The International Association of Financial Engineers is pleased to endorse

SQA Half Day Conference:  

Quantitative Global Macro:

Generating Alpha in Challenging Markets   

November 10, 2011

8:00 AM-2:00 PM


Lighthouse Conference Center

111 East 59th Street

New York

This half day event is dedicated to current trends in quantitative global tactical asset allocation. Over the past few years, quantitative strategies comprising GTAA have been facing challenges: unconventional policies of monetary authorities around the world, heightened uncertainty around global growth, ever increasing competitive pressures due to proliferation of generic alpha and risk management frameworks, factor crowding, and an increase in global correlation within liquid asset classes. This program will offer insights from prominent industry practitioners and academics into such topical issues as mitigation of the impact of factor crowding on your global portfolios, adaptation of factor selection to a Risk-On Risk-Off environment, fundamental drivers of currency returns, and drawdown management. Participants will learn about an innovative technique to measure transmission of market shocks across asset classes and assess dynamic exposures to systematic risks.

8:00-8:30am              Check-in & Continental Breakfast 

8:30-9:20am              Dr. Wai Lee, Neuberger Berman,                                       "Risk On, Risk Off" 

9:20am-10:10am       Alessio de Longis, Oppenheimer Funds, "Yield Differentials as Currency Driver: The Role of FX Hedge Ratios" 

10:10am-10:30am     Morning Refreshment Break

10.30am-11.20am      Lars Nielsen, AQR Capital, "Chasing Your Own Tail (Risk)" 

11:20am-12:10pm     Mebane Faber, Cambria Investment Management, topic TBA

12:10pm-1pm            Lunch 

1pm-1.50pm              Professor Francis Diebold, University of Pennsylvania, "Measuring Financial and Macroeconomic Connectedness"


SQA Members $300; IAFE Members $375; Nonmembers $400; full time Students $100 (must present student ID at check-in).  Early registration ends 11/6/11 so register now before prices increase!

Click here to register for this event