Nicola Horlick, Fund Management Guru and CEO of Bramdean Asset Management
Having worked in the fund management industry for over 20 years, Nicola has participated in the growth of some of the UK's premier asset management businesses, including Mercury Asset Management (now BlackRock), Morgan Grenfell Asset Management (now Aberdeen Asset Management) and Société Generale Asset Management (UK). Over breakfast on Friday 27 June, Nicola Horlick, CEO of Bramdean Asset Management, will present a thought-provoking insight into current markets, trends and investment strategies, including the increasing use of alternative investments to diversify portfolios, minimise risk and maximise return.

FactSet Symposium Keynote Address is sponsored by Dow Jones Newswires

Portfolio and Quantitative Management Track

Relative Value Analysis in Fixed Income Markets: Asset-Swap Spreads and the Cash-Synthetic Basis

Professor Moorad Choudhry, Department of Economics, London Metropolitan University

In this session, Moorad will outline the main methods used by fund managers to generate return and then show how the market measures relative value with the asset-swap spread and the z-spread. He then considers the credit default swap basis and how this may be used as a further measure of relative value.

Moorad Choudhry is Head of Treasury at KBC Financial Products in London, the derivatives and convertible bond trading arm of KBC Bank N.V. He is Visiting Professor at the Department of Economics, London Metropolitan University, a Visiting Research Fellow at the ICMA Centre, University of Reading, a Senior Fellow at the Centre for Mathematical Trading and Finance, Cass Business School, and a Fellow of the Securities and Investment Institute. He is the author of Fixed Income Markets (John Wiley & Sons 2004) and Bank Asset and Liability Management (John Wiley & Sons 2007).

To What Extent Have Quantitative Equity Models Failed During 2007/2008 Turbulence and Could Dynamic Factor Weighting and/or Technical Overlay Have Helped?

Dr. Stephen Rees, Head of Investment Process Research, Schroders

When the subprime crisis began in August last year, it appeared that quantitative equity stock selection models failed in a big way. In fact, some say they haven't been doing well since. In this session, Stephen investigates what has really been going on. By viewing the situation in terms of long term relationships between typical quant factors and stock returns, Stephen will determine whether anything out of the ordinary has been happening. Finally, Stephen will examine to what extent dynamic factor weighting would have improved the situation and whether a "technical" overlay to filter out stocks with adverse momentum would have helped further.

Stephen has been Head of Investment Process Research at Schroeders since 2002. The role involves the integration of quantitative techniques into the firm's various investment processes, predominantly on the equity side of the business. In recent years Stephen has become increasingly involved in hedge fund type activities at Schroders. He manages a market neutral equity fund and is co-manager of  'Europe Absolute Return', an equity portfolio which strives for positive returns in all market conditions using a derivatives overlay.

In 1991, at BZW (now BGI), Stephen developed and managed one of the first UK equity funds to be run using active quantitative techniques. Since then he has held a number of senior quant positions in the City including Head of Quantitative Investment at both Rothschild and Baring Asset Management.

Stephen has spoken at many quant conferences over the years and has published papers on risk management techniques. He has a PhD in mathematical physics from Cambridge University.

Portable Alpha: Can This Concept Enrich Portfolios?

Dieter Konrad, Senior Quantitative Analyst/Portfolio Manager, Union Investment Institutional GmbH

Good active strategies deliver stable and high excess returns above their benchmark. But, how can an investor profit from the excess returns of an active strategy without bearing the market risks of its benchmark? In this session, Dieter will discuss why investors are looking at portable alpha concepts to answer this question, focusing on which active strategies can and should be implemented in portable alpha portfolios, how alpha diversification works and whether portable alpha concepts enrich strategic asset allocations.

Dieter Konrad is a Senior Quantitative Analyst and Portfolio Manager at Union Investment in Germany where he manages several equity portable alpha funds for institutional clients and is responsible for risk management and portfolio construction in the Union Investment Quantitative Strategies team.

In 2002, after studying mathematics and finance at the University of Trier, Dieter started his career as a quantitative analyst at Union Investment. Dieter is a CFA charterholder.

Global Equity Market Timing

Spyros Mesomeris, Senior Quantitative Analyst, Citigroup Investment Research

In this session, Spyros will introduce a quantitative model-driven factor selection and signal diversification process that aims to generate successful  recommendations for MSCI regional index performance to be utilized for tactical market timing. Using a comprehensive factor database encompassing six investment themes, Spyros will find that factor selection and forecast combination based on past predictive performance yields superior results. Spyros will also discuss dynamic factor weighting and forecast combination techniques as well as provide insights for global asset allocation.

Spyros is a Senior Quantitative Analyst at the Global Quantitative Research group at Citigroup Investment Research. The group is responsible for producing quantitative research and strategy and advising institutional clients on all aspects of the investment process, from stock selection/screening to portfolio construction and risk management. The team has been ranked no.1 in quantitative analysis in the Institutional Investor survey for the last five years. Spyros joined the firm in 2006 from Credit Suisse where he worked in the structured hedge fund derivatives business. He holds a BA and MA in Economics from Cambridge University, MSc in Mathematical Trading and Finance from Cass Business School and a PhD in financial economics also from Cass. His academic research has been published in various academic journals, including the Journal of International Money and Finance. His current research agenda focuses on top-down investment themes including sector/industry rotation, market timing, and asset allocation.

Developing an Emerging Markets Quantitative Country Selection Model

Peter Mennie, Senior Portfolio Manager and Head of Quantitative Analytics, MFC Global Investment Management (Europe) Limited

Emerging market equities have yielded substantial returns in recent years and, over the next few years, growth is expected to be significantly higher in emerging markets than in developed markets. In this session, Peter will investigate whether it is possible to construct a quantitative model to choose countries systematically from within the emerging market universe. He will review which factors are the most effective and whether dynamic factor adjustments over time can add value to the process. Finally, Peter will discuss how to combine factors and various measures of return and risk to determine an optimal mix.

Peter Mennie is Senior Portfolio Manager and Head of Quantitative Analytics for MFC Global Investment Management (Europe) Limited, London. He is responsible for the quantitative tools that are used in the investment process for asset allocation and for stock selection, and is also responsible for Portfolio Risk analysis.

Peter joined MFC Global in 1997, having previously worked for a financial service consultancy. Peter is an Associate of the UK Society of Investment Professionals, and has an M.A. (Hons) in Maths from Cambridge University.

Re-examining Risk Measurement Following UCITS III

Daniel Satchkov, Quantitative Sales, FactSet

A common assumption in risk measurement is that asset returns are normally distributed. Although adequate for primary asset portfolios on long horizons, this assumption is violated for any portfolio containing options due to the nonlinearity of option payoffs.

With the implementation of UCITS III both liberalising the use of derivatives and introducing regulations requiring verification of the accuracy of firms' risk measurement systems, the investment community is becoming increasingly aware of the impact even small derivative holdings can have on the portfolio return and are demanding systems that can take their nonlinearity into account and pass mandatory back testing and stress testing exercises.

In this presentation, learn how you can extend linear factor risk models into the UCITS III framework with Monte Carlo simulation and regression techniques available in Portfolio Analysis to produce appropriate VaR estimates and stress tests for UCITS III reporting and for your investment process.

Responsible for researching and developing risk products that offer FactSet clients the flexibility to respond to new challenges in the areas of risk measurement and risk reporting, Daniel led the research and development of Monte Carlo Value at Risk techniques in the FactSet Portfolio Analysis application. By combining efficient simulation techniques with implied volatility surface modelling, you can now produce accurate risk estimates and stress tests for portfolios with nonlinear instruments with Portfolio Analysis. Current areas of focus in Daniel's research include global structure modelling and structural credit risk models.

Daniel joined FactSet in 2000, working intensively with clients to implement quantitative tools for strategy creation, risk analysis and optimisation. He holds an MBA and a BS degree from the University of the Pacific.

The Market's Open: Do You Know Where YOUR Bets Are?

Richard Young, Head of Development, R-Squared Limited

This session will address the issues that arise in building a risk model to forecast portfolio risk over a short horizon from one day up to two months, where the portfolios - or hedge funds - may be holding a wide range of different asset types, including equities, bonds, commodities, and currencies. This session will also focus on the importance of distinguishing between deliberate bets (a.k.a. Skill) and incidental bets (a.k.a Noise) and of properly managing the risk structure of a portfolio.

Richard is Principal Systems Architect at Alpha Strategies and Head of Developments at R-Squared Limited. Richard also advises on IT systems and software to the American Stock Exchange for "actively managed exchange traded funds". Previously he was Head of Programming and Product Development at QUANTEC. He studied undergraduate Electrical Engineering at University of Sheffield and postgraduate Information Technologies at De Montfort University.

Obtaining a Clearer Picture of the Risks of a Portfolio

Geir Lode, Head of Quantitative Strategies, Hermes Pension Management Limited

Risk models are a vital tool for portfolio managers seeking to understand and manage their portfolio’s exposure to the underlying drivers of volatility. However, models are built on assumptions and different risk models are likely to give different perspectives of the risks of a portfolio – the choice of risk model is in itself a risk of the investment process. In this session, Geir will discuss how an improved picture of the risks of a portfolio can be achieved by combining the output from several different risk models. Geir will also illustrate the risk modelling process Hermes currently adopts, a combination of commercially available risk models and flexible proprietary multi-factor models, and detail some of the advantages and insights they have gained from this process.

Market Trends Track

Impact of the Credit Crunch and Global Economic Slowdown on Emerging Markets and the Rise of Sovereign Wealth Funds.

Jan Randolph, Head of Sovereign Risk, Country Intelligence Group, Global Insight, Inc.

In this session, Jan will discuss the effects of the current financial crisis and global economic slowdown on growth and stability, highlighting the impact on trade and investment and the increasing difficulty to access financing. Jan will also identify key credit risks with selected emerging sovereigns and examine the rise of Sovereign Wealth Funds in the new global financial landscape.

Jan Randolph is Head of the Sovereign Risk Group at Global Insight. He is an experienced international economist and country risk manager, having held positions for over 13 years in several international British banks, managing international finance and country limits, and advising on risk policy with sovereign and financial institution credit signature authority.

Jan has over six years of international economics experience with Global Insight. He has made over 700 television and radio appearances and holds graduate and post-graduate degrees from the Universities of London and Bristol. He is fluent in English, French, and German.

The Market for External Research

Glenn Bedwin, Director of External Research, Fidelity International

The research market place has been changing for a number of years due to regulatory changes, the rise of hedge funds as research consumers, changes in trading technologies affecting commission pools and many other factors. This session will examine how these changes have affected the relationship between buy and sell-side, the different models that have emerged and prospects for future developments.

Glenn Bedwin is Director of External Research at Fidelity International, where he is responsible for ensuring that the investment team extracts maximum value from the wide range of external research resources available to Fidelity. Prior to joining Fidelity, Glenn had a long career in the financial information industry. For many years he has been a conference speaker on strategic issues affecting the research and trading markets.

Integrating ESG Factors Into Investment Management

Graham Sinclair, ESG Architect and Investment Strategist

Graham Sinclair is an ESG Architect and SRI Strategist at Sinclair & Company, LLC.. He consults to asset owners and asset managers on investment architecture and strategic marketing, specialising in integrating environmental, social and corporate governance [ESG] factors into investment strategies (including the socially responsible investing [SRI] niche). Through the 1990s Graham worked in pensions consulting and investment management in his native South Africa for Alexander Forbes, Old Mutual and Nedcor Investment Bank, culminating as head of strategic marketing for SEI Investments in Johannesburg.

Before starting his own advisory practice in 2007, Graham was Product Manager at KLD Research & Analytics, Inc. in Boston where his responsibilities covered the Business Ethics 100 brand.  He currently sits on the steering committee of the Social Investment Research Analysts Network [SIRAN]. Graham has been invited to lecture at practitioner symposia and leading business schools, and is currently Adjunct Visiting Professor at UNC Kenan-Flagler Business School. He has written on for online, practitioner and academic media, including sri-extra.blogspot.com.

Lessons In Transparency Post Credit Crisis

Arindam Nag, Senior Writer, The Skeptic, Dow Jones Newswires

Arindam will discuss how transparency and disclosures from financial institutions will no longer be what they used to be.  More real time risk management systems will only be effective if managements can translate the information thereof to assure the capital markets. At times, in the past year, volatility in securities prices and counterparty fears have stemmed more from endless rumour mongering rather than intrinsic weaknesses. This session will discuss some of the relevant communication loopholes that ought to be plugged.

Arindam is a Senior Writer with Dow Jones Newswires and is the author of The Skeptic, a column focussing on European business. Arindam has been in financial journalism for over 16 years in India, the UK and the U.S., writing on financial markets. Prior to joining Dow Jones, he worked at Reuters for over 11 years and The Economic Times in India for 3 years. He has written extensively on financial markets, corporate governance and asset valuation. His views have also been broadcast on other media, namely BBC TV, BBC Radio, CNBC and CNN. Arindam has an MBA from New York University's Stern School of Business and is based in London.

Khuram Chaudry is head of Pan-European Quantitative Strategy in the Merrill Lynch European Equity Economics and Strategy team. Based in London, the team is part of the Merrill Lynch Global Securities Research & Economics department.

In this role, Khuram advises the firm’s clients on investment strategies in the United Kingdom & Continental European equity markets. In addition, he contributes to several of Merrill Lynch’s monthly research publication, which cover his views on equity markets, investment style, sectors and stocks.

Khuram has been a member of the economics and strategy team since July 1996. Before becoming a Pan-European strategist, he was responsible for analysing trends in the UK equity market and medium and smaller sized companies across Pan-Europe.

A Macro Outlook: The Credit Crunch and Equity Markets

Michael Taylor, Senior Economist/Strategist, Lombard Street Research

In this session, Michael will take a macro top-down approach to discuss how the credit crunch has impacted the effectiveness of monetary policy and the real economy. In addition, Michael will consider implications of the current macro economic backdrop on the equity sector.

Michael Taylor re-joined Lombard Street Research 2005 after five years at Merrill Lynch as a European Economist and Equity Strategist. Prior to this he was at Lombard Street Research for four years working with Tim Congdon on the UK economy. His early working career was as Economic Adviser at the Department of Trade and Industry and as Chief Economist at the Institute of Directors. He has a BSc in Banking and Finance from City University Business School and an MSc in Economics from the London School of Economics. Currently, Michael works as a European Equity Strategist and Economist, covering the UK, Euroland and Japan.