Generate Alpha. Manage Risk. Optimize Portfolios.
Tuesday March 11 agenda
8:00 am - 8:40 am
REGISTRATION AND NETWORKING
8:40 am - 8:50 am
Chair’s opening remarks
Lydia Tomkiw -
Senior Reporter,
Pensions & Investments
8:50 am - 9:30 am
The Allocator Insight
Winston Ma -
Executive Director and Adjunct Professor,
Global Public Investment Funds and NYU
Elina Ploskin - Associate Director, LGT Capital Partners
Chris Solarz - CIO, Amitis Capital
Amrita Tiwari - Investment Analytics, New York Life Investment Management LLC
Hear from a large institutional investor about their strategic posture and priorities at the mid-way point of the decade and how these translate into their processes when selecting fund managers and investment strategies.
9:30 am - 10:20 am
State of the Union: What does the current macro environment mean for you?
Laura Serban -
Managing Director,
AQR Capital Management
Irina Bogacheva - Director of Research, Systematic Global Macro, Millburn Ridgefield Corporation
Lorne Johnson - Managing Director and Portfolio Manager, PGIM
Mike Chen - Head of Next-Gen Research, Robeco
Lydia Tomkiw - Senior Reporter, Pensions & Investments
This ‘state of the union’ type panel deciphers just what has happened over the past year, with volatility, uncertainty and seismic technological advancements garnering speed, this panel has a look at what that means for the Quant Strats community.
- What strategies and tools have generated alpha over the past year? How does an organisation allocate assets and who have been the winners?
- How will self-learning technological advancement be scaled and impact global financial markets? Are we starting to see a shift?
- Where are the risks in the wider market, funds and diversified portfolios? How is this exposure being managed?
Irina Bogacheva
Director of Research, Systematic Global MacroMillburn Ridgefield Corporation
10:20 am - 10:40 am
Intersections, integrations and applications – from idea to execution
Paul White -
CEO and Co-Founder,
Quantbot Technologies
This fireside chat will be centred around streamlining functions and processes within organisations and will cover the following key internal stakeholder relationships critical to enhancing investment decision making and ultimately, executions.
- Streamlining decision making between data, quant and investment functions to get usable data into quants hands at pace and the analytics into the investment managers in trays to construct, manage and optimise their portfolios.
- Building long term partnerships between researchers and engineers to turn ideas into useable investment tools
- Integrating systematic and fundamental thinking across asset classes, merging the capabilities of man and machine to improve fund performance
10:40 am - 11:15 am
NETWORKING BREAK AND REFRESHMENTS
11:15 am - 11:55 am
Unlocking the Alpha Edge: Data in Focus
Mike Koegler -
Managing Principal,
Market Alpha Advisors
Evan Reich - Head of Data Strategy and Sourcing, Verition Fund Management
Eugene Miculet - Data Strategy, WorldQuant
Rich Brown - Global Head of Market Data, Jain Global
This session will focus on the first step of the investment journey, selecting and onboarding data and will centre around the following points...
- Does novel data exist in familiar geographies?
- How does one refine internal infrastructure to seamlessly onboard data?
- Does a one stop shop exist, or is it even preferable?
- How does one determine the criteria companywide when sourcing data?
- How does one navigate the compliance framework effectively?
11:55 am - 12:30 pm
5x5 QUICK FIRE PRESENTATIONS
Nicolas Hourcard -
Co-founder & CEO,
QuestDB
Stefan Schlamp - Head of Quantitative Analytics, Deutsche Börse
Ben Zweig - CEO, Revelio Labs
Ryan Ray - Associate Director, Sales & Business development, S&P Global Market Intelligence
Jim Bailey - Global Head of Index Sales, Parameta Solutions
This part of the programme will consist of 5, 5-minute presentations with each presenter showcasing how their data offering, platform, software or tool which can you the edge in and increasingly competitive market.
Presentation 1: High-Performance Database for Quants, built on Open Formats,Nicolas Hourcard, Co-Founder and CEO, QuestDB
Presentation 2: The Many Stories Told by Xetra Flows - From Market Structure to Alpha, Stefan Schlamp, Head of Quantitative Analytics, Deutsche Börse Market Data & Services
Presentation 3: Revealing company dynamics through Workforce data, Ben Zweig, CEO, Revelio Labs
Presentation 4: Alpha Generation with Purchasing Managers Index Early Signals, Nowcasting & Investment Signals, Ryan Ray, Director, Sales & Business Development, S&P Global
Presentation 5: Navigating Volatility & Inflation Jim Bailey, Global Head of Index Sales Parameta Solutions
Sponsored by: QuestDB
Sponsored by: Deutsche Börse Group
Sponsored by: Revelio Labs
Sponsored by: Pure Storage Inc
Sponsored by: Parameta Solutions (TP ICAP)
Sponsored by: S&P Global Market Intelligence
12:30 pm - 1:30 pm
NETWORKING BREAK AND REFRESHMENTS
Track A: AI, ML and LLM/NLP Innovation
1:30 pm - 2:10 pm From Automation to Alpha Generation? Renee Yao - Founder, Neo Ivy CapitalIro Tasitsiomi - Head of AI & Investments Data Science, T. Rowe Price
Dhagash Mehta - Head of Applied AI (AI, GenAI, Responsible AI) Research, BlackRock
Eoin Roche - SVP, Global Technical Sales & Customer Service, Kx
Christos Koutsoyannis - CIO, Atlas Ridge Capital
This session will explore if, how, when and where A.I’s applications are both in reality and potentially when it comes to asset management. From workflows to automation to unlocking unique signals not spotted by the human eye, this session is centred upon the practical applications of A.I.
Sponsored by: KX
Track A: AI, ML and LLM/NLP Innovation
2:10 pm - 2:30 pm Integrating and Applying LLMs in Quant Finance Petter Kolm - Professor, NYU CourantSheedsa Ali - Managing Director - Head of Systematic Strategies, PineBridge Investments
- How can LLMs be best levered in forecasts, risk management and ultimately, alpha generation?
- What level of sophistication has sentiment analysis reached?
- What is the selection process when using different LLMs for different tasks?
- How can a defense layer be built for high quality misinformation?
Track A: AI, ML and LLM/NLP Innovation
2:30 pm - 3:20 pm Machine Learning vs the Fundamental Analyst – who comes out on top? Andrew Gelfand - Quant, L/S Equity Alpha Capture, Balyasny Asset Management LPAlisa Rusanoff - Head of Credit, Crescendo Asset Management
Judith Gu - Managing Director, Head Equities Quantitative Strategist, Scotiabank
Naggi Asmar - CTO, Crux Data
Christos Koutsoyannis - CIO, Atlas Ridge Capital
- Assessing the potential of ML and identifying opportunities where it can truly surpass human performance.
- Examining the real-world applications of machine learning, is its primary value in optimizing routine tasks, or is it being leveraged to drive alpha generation?
- Making ML accessible across an organization to boost productivity at all levels
Track B: Building and maintaining a high performing Quant Shop
1:30 pm - 2:10 pm Leveraging the best-in-class tools when allocating and optimising your portfolio Yesim Tokat-Acikel - Managing Director, Portfolio Management, Principal Asset ManagementPam Vance - Head of Axioma Portfolio Construction Products, Axioma by SimCorp
Giovanni Beliossi - Senior Advisor, Astarte Capital Partners
This session is focused on the nuts and bolts of effective portfolio construction, allocation and optimisation and execution and will be centred around the following key questions:
- What does effective allocation look like?
- Are all signals created equal?
- To diversify or not to diversify?
- What would trigger a re-balancing?
Sponsored by: Axioma by SimCorp
Track B: Building and maintaining a high performing Quant Shop
2:10 pm - 2:30 pm Portfolio optimisation under discrete constraints Robert Luce - Principal Developer, Gurobi OptimizationMathematical portfolio optimization is a tool for maximizing the expected return, minimizing the risk, or optimizing related measures for a portfolio of investments. Quantitative analysts and portfolio managers use portfolio optimization software to support them in making investment decisions. With Gurobi’s MIP technology it is possible to incorporate discrete decisions in the portfolio selection, like fixed costs, transaction limits, and cardinality constraints. The effectiveness of backtesting with discrete constraints is heavily dependent on the solver performance: The more strategies and scenarios can be run, the more alpha. In this session we will share best practices for modeling, implementing and tuning discrete decision models for optimal performance.
Sponsored by: Gurobi Optimization
Track B: Building and maintaining a high performing Quant Shop
2:30 pm - 3:20 pm Agile Architecture: Streamlining the Data to Portfolio Pipeline Giovanni Beliossi - Senior Advisor, Astarte Capital PartnersRevant Nayar - Principal and CIO, Princeton AI and FMI Tech
Arkin Gupta - Vice President, Morgan Stanley
Frederick Crimins - Chief Data Plumber, Two Sigma
In an era of metadata, with a plethora of data sources out there, both structured, unstructured and coming in all shapes and sizes, how can your organisation ensure the operational agility and necessary architecture to extract the most value from data?
Track C: Alternative Data and Alternative Assets: Mapping the Quant Spread
1:30 pm - 2:10 pm The Alternative Data Offering Jason Koulouras - Research Data Ranger and Market Data Leader, Bridgewater AssociatesYossi Cohen - Data Scientist, Wellington Management Company
David Teten - Founder, Versatile VC
Jon Perry - Head of Numeric Technology, Man Group
Milind Sharma - CEO, QuantZ/ QMIT
- What’s the alt-data landscape look like?
- How does one merge alternative and traditional data sources?
- What does a cross asset-data offering look like?
- How re-usable is a data set in a multi-asset strategy?
- Which markets suffer from the ‘lack of data’ myth?
Track C: Alternative Data and Alternative Assets: Mapping the Quant Spread
2:10 pm - 2:30 pm The Shift from Discretionary to Systematic Trading Dan Harrison - Managing Director, Global Head of Fixed Income and Macro Engineering, CitadelTransformation of Trading Styles:
- Observations on the move from discretionary fixed income and macro derivatives trading towards systematic approaches.
- The role of quant strategies in fixed income trading.
- Technology as a Catalyst:
Track C: Alternative Data and Alternative Assets: Mapping the Quant Spread
2:30 pm - 3:20 pm The Case for Fixed Income and FX: From automating analytics to enhancing execution Samir Shah - Founder and CIO, MBS Mantra, LLC - Alpha Through AnalysisJustin Xu - Managing Director - Head of Investments, Millennium Global Investments Ltd.
Nancy Davis - Founder and Portfolio Manager, Quadratic
Milind Sharma - CEO, QuantZ/ QMIT
- How does the market structure and dynamics differ from traditional assets?
- How can AI and ML be levered effectively across the fixed income and FX landscape?
- Do LLMs herald more risk than reward in this space?
3:20 pm - 3:50 pm
NETWORKING BREAK
Track A: AI, ML and LLM/NLP Innovation
3:50 pm - 4:10 pm Text to Alpha: A Novel Cartesian Framework for Quantifying Earnings Insights Ronen Feldman - Head of Technology, Quantitative Signals, S&P GlobalProntoNLP's AlphaLLM Aspect-Themes with Consensus signal introduces a groundbreaking Cartesian approach to analyzing earnings calls. This innovation combines horizontal Aspects (Forecast, StrategicPosition, CurrentState, Surprise) with vertical Themes (FinancialPerformance, OperationalPerformance, StrategicInitiatives, etc.) to create a rich multidimensional feature space.
By representing corporate events as coordinates in this Aspect x Theme x Importance x Polarity grid, the model captures nuanced relationships between sentiment, thematic emphasis, and market impact that traditional linear NLP approaches miss.
- This novel framework, built on the Llama 3 architecture and fine-tuned on 10,000 expertly tagged paragraphs, further enhances its predictive power by incorporating analyst consensus data from S&P. The resulting 124-feature model delivers impressive backtested results across the S&P 1500 universe since 2010, with the long/short strategy achieving a 216.92% return and a Sharpe ratio of 1.52. The model's ability to process earnings calls on a paragraph-by-paragraph basis, weighting different document sections (prepared remarks vs. Q&A) differently, provides a depth of analysis previously unattainable with conventional NLP techniques.
Sponsored by: S&P Global Market Intelligence
Track B: Building and maintaining a high performing Quant Shop
3:50 pm - 4:10 pm Alternative data for Alpha generation Dmitry Novikov - Head Of Equity Research, Franklin TempletonThis presentation will focus on the unique properties from a wide range of alternative data sources and how they can create models and gain a competitive edge, the presentation will be centred around the following points:
- Understanding the unique angles and insights which alternative data can provide
- Merging different types of alternative data sets from across the landscape
- Strategies to find and structure the ‘diamonds in the rough’
Track C: Alternative Data and Alternative Assets: Mapping the Quant Spread
3:50 pm - 4:10 pm Leveraging exponential technologies for frontier market investingThis presentation will discuss how technologies can be used with a particular focus on diverse frontier markets.
4:15 pm - 5:05 pm
Quantitative Techniques in Multi-Asset Investing: Unlocking Alpha Across Equities, Commodities, and Fixed Income
Arun Assumall -
Head of EMEA Commodities,
Macquarie Group
Manan Mehta - Senior VP, Quantitative Research, Northern Trust
Michael Hayes - Executive Director, MSCI
Oliver Faltin-Trager - Quantitative Researcher, Wellington Asset Management
This session will explore how quantitative techniques are applied across equities, commodities, and fixed income, with an emphasis on similarities and differences in application across asset classes, topics will include
Equities – factor modelling, machine learning and portfolio optimisation
Commodities – trend following and volatility modelling
Fixed income – yield curve modelling and credit risk analysis
Sponsored by: MSCI
5:05 pm - 5:25 pm
Systematic & Discretionary: A match made in heaven?
Jhe Yun -
SVP, Portfolio Manager,
PIMCO
Sean Chen - Portfolio Manager, PanAgora AM
This session will bring together a systemic and discretionary portfolio manager, to discuss how they interact and collaborate, from deciphering signals to constructing portfolios, this session analyses and discusses some of the common themes when active and passive strategies come together.
