I would like to draw your attention to the following two events. The first event is applicable to both quants and non-quants who have an interest in the state of the quantitative investment landscape - this will not be a technical presentation. It would be of particular interest to investment consultants as well as quantitative investment managers. The second event is more technical in nature, where we will take a look at risk management using stable, non-normal distributions; these techniques are applicable to equity, credit and derivative portfolios alike. We have had lively debates and good feedback from our previous events, and I am sure that these will continue that tradition. Please feel free to distribute this email to any colleagues who you think might have an interest in this area. Both members and non-members are most welcome to attend either event. CFA Institute members will be automatically credited with PD points for these events. Please refer to the UKSIP website for full details http://www.uksip.org Regards, John Marsland, CFA Chairman of the QUIPs (Quant Investment Professionals) Special Interest Group UKSIP UKSIP's Quantitative investment professionals specialist interest group has organised two professional development events at which members will be able to debate more specialist quantitative issues and also take advantage of the opportunity to network with fellow "quant" experts. Trends in equity portfolio modelling Tuesday, 3 October, 2006 12.45pm for 13.00pm prompt start Weaver Suite, UKSIP, 90 Basinghall Street, London EC2V 5AY Speakers: Sergio Focardi & Caroline Jonas, Partners, The Intertek Group The 2006 Fabozzi/Intertek Survey Trends in Equity Portfolio Management looks at trends in the role of modelling in equity portfolio management. It is based on interviews and responses from 38 firms in North America and Western Europe managing a total of ?3.3 trillion in equities. Relative to the period 2004-2005, the 2006 survey finds that 1) the amount of equity assets under quantitative management has increased, 2) a wider range of equity strategies with quantitative methods has been implemented and 3) the automation of the equity portfolio management process has continued to advance. The Survey also explores model types currently in use and user experience with the models. Click here for more information and to register (Members ?10.00; Non-members ?15.00) http://www.uksip.org/calendar/event_details.cfm?iEventID=138 In addition, The Intertek Group are organising a one-day seminar entitled "Improving the Performance of Momentum & Reversal Strategies with Autoregressive Models and Dynamic Risk Estimates" in London on Friday 20 October 2006. Details are available on their website http://www.theintertekgroup.com/training-Momentum-0610.html. UKSIP members are offered a 25% on the fee for this course by quoting the code "UKSIP-QUIPS". Risk management, optimisation and option pricing: stable non-Gaussian Tuesday 7 November 2006 5.30pm for 6.00pm prompt start Weaver Suite, UKSIP, 90 Basinghall Street, London EC2V 5AY Speakers: Boryana Racheva-Iotova, FinAnalytica Zari Rachev, University of Karlsruhe and University of California, Santa Barbara In this talk the speakers will introduce: - An accurate approach to risk management, based on tail risk and stable processes for asset returns - A stable non-Gaussian approach to portfolio optimisation and ALM, yielding increased risk adjusted returns - A stable option pricing, capturing clustering of the volatility Click here for more information and to register (Members ?25.00; Non-members ?35.00) http://www.uksip.org/calendar/event_details.cfm?iEventID=135
UKSIP - Quantitative investment professionals meetings
1 message · John Marsland