Tuesday, September 25, 2007

Q-Group spring 2007 seminar summaries are (almost) all about alpha

25 September 2007

Q Group Rocket Scientists Discussing Quantum AlphaAs you probably know if you are a regular reader, The Institute for Quantitative Research in Finance” (or Q-Group for short) is one of the world’s foremost communities of quant rock-stars from the academic and practitioner communities. In his video interview for the American Finance Association’s “History of Finance” project, William Sharpe tells of how he was actually at a Q-Group annual seminar when he learned of his Nobel Prize.

Well, no one won a Nobel Prize at last spring’s meeting. But the 17 pages of session summaries, now available here, are well worth a read. Here is a selection of what you’ll find:

  • James L. Haskel, Director-Portfolio Strategy, Bridgewater Associates on “Alpha Beta Separation” (see related postings at AllAboutAlpha.com)
  • A panel called ”Exploring Capacity Issues” moderated by Joanne M. Hill, Managing Director, Goldman Sachs & Co. (see related posting). Panelists: Dan Bienvenue, Portfolio Manager-Global Equities, CALPERS, Knut Kjaer, CEO Norges
    Bank Investment Management (see related posting), and Matt Yamini, Managing Director & Head of Global Equity Trading, TIAA-CREF
  • Harry Kat on “The FundCreator Approach to Hedge Fund Return Replication, Fund Creation and Performance Evaluation” (see related postings)
  • “Modeling Alpha” with Eric H. Sorensen, President and CEO PanAgora Asset Management (see related posting)
  • Panel: Future Sources of Alpha moderated by Katrina F. Sherrerd, Principal – Strategic Planning & Affiliate Relations, Research Affiliates. Panelists: Chris Brightman, CEO, University of Virginia Investment Management Company, Craig W. French, Partner, Corbin Capital Partners, L.P., and Harindra de Silva, President, Analytic Investors (see related postings)
  • “Alpha Migration: Issues and Consequences” with Andrew B. Weisman, Managing Director, Hedge Fund Development, Merrill Lynch

Attendees tell us that the bun fight between the irrepressible Rob Arnott (related postings) and Cliff Asness (of AQR) was worth the price of admission. The official summary puts it this way:

“Robert D. Arnott, Chairman, Research Affiliates, LLC and Clifford S. Asness, Managing Principal, AQR Capital Management, LLC, engaged in what some might call a discussion and others a debate over the use of fundamental indexes as a substitute for market weighted indexes.”

(Ed: Although very similar, The Q-Group isn’t related to the similarly prestigious QWAFAFEW)

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Lunch is for wimps

Lunch is for wimps
It's not a question of enough, pal. It's a zero sum game, somebody wins, somebody loses. Money itself isn't lost or made, it's simply transferred from one perception to another.