Society of Quantitave Analysts Conference: Quantitative Global #Macro


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.



SQA Members $350; IAFE Members $425; Nonmembers $450; full time Students $150 (must present student ID at check-in).

Summary of the program:
8:00am Check-in/Registration with Continental Breakfast

8:30am Wai Lee, Neuberger Berman, “Risk On – Risk Off”

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

10:30am Lars Nielsen, AQR Capital, “Chasing Your Own Tail (Risk)”

11:20am Mebane Faber, Cambria Investment Management, “Something Fun”

1:00pm Professor Francis Diebold, University of Pennsylvania, “Measuring Financial and Macroeconomic Connectedness”

Lunch is included in the registration fee.  Exact order and timing of presentations is subject to change without notice.  Full details on each speaker and presentation are available through the links to the right.

More info 


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