Robert Peston has broadcast and published a series of exclusive stories about the global financial crisis and the Credit Crunch. In 2008, he won the Royal Television Society award for Journalist of the Year, Specialist Journalist of the Year and Scoop of the Year, and in 2007, he won the Wincott Award for Business News/Current Affairs Programme of the Year and the Royal Television Society’s Scoop of the Year for his exclusive on Northern Rock seeking emergency financial help from the Bank of England.

Peston was previously the Sunday Telegraph's City Editor, in charge of its Business and Money Sections, where he won the Wincott prize for financial journalism. In the 1990s, he was political editor, financial editor and head of investigations at the Financial Times, where he won the “What the Papers Say” award for investigative journalism.

He is the author of the best-selling book Who Runs Britain - and who's to blame for the economic mess we're in.

Read Peston's prize-winning blog at www.bbc.co.uk/robertpeston.

A European Investment Outlook For Asset Classes, Investment Styles and Sectors
Khuram Chaudhry, Chief European Quantitative Strategist, Banc of America Securities-Merrill Lynch

This session will aim to dissect the European macro economic and profit outlook and then explore the investment opportunities for asset classes, investment styles and sectors.

Khuram Chaudhry is head of Pan-European Quantitative Strategy in the Banc of America Securities-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 BoA-ML ’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.

Reflecting On Contemporary Quantitative Investing: From Academic Research To Empirical Implementation
Spyros Mesomeris, Senior Quantitative Analyst, Citigroup Investment Research

This session will glance through some ideas that have appeared recently in academic literature and examine their implications for equity portfolio managers through empirical applications. The presentation will cover the areas of stock selection, event-driven strategies, portfolio construction, and also look at investment strategies that use information from other markets. 

Spyros is a Vice President 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. 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 and Journal of Asset Management.

Ed Fishwick is a Managing Director, Global Co-Head of Risk & Quantitative Analysis, a member of the Operating Committee, and Co-Chair of Global New Products at BlackRock. In addition, he is a member of the Editorial Board of the Journal of Asset Management, and the Management Committee of the London Quant Group.

The Volatility Effect: Lower Risk Without Lower Return
Willem Jellema, Senior Researcher, Robeco Quantitative Strategies

The Low Volatility Effect refers to the premium present in stocks with a low volatility. It was documented in the Journal of Portfolio Management Fall 2008 article with the same name by Robeco researchers David Blitz and Pim van Vliet. Willem Jellema, who is also closely involved in this research, will discuss the effect and how Robeco aims to capture the low-volatility premium in its models and portfolios.

Willem Jellema, CFA, is a Senior Researcher with Robeco Quantitative Strategies and is responsible for researching and maintaining its main stock selection models. With 16 dedicated, experienced researchers, of which a majority owns a PhD degree or CFA designation, Robeco Quantitative Strategies is one of the leading quantitative teams in Europe, developing many successful models for a range of asset classes. Before joining Robeco, Willem earned his MSc degree in Econometrics from the State University of Groningen.

Dieter Konrad is a Senior Quantitative Analyst and Portfolio Manager at Union Investment in Germany where he manages several equity portable alpha funds and a multi asset class multi strategy fund. He is also responsible for risk management and portfolio construction in the Union Investment Quantitative Strategies team.

In 2000, 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.

The Market's Gone Wild - Do You Know How Your Bets Are Misbehaving?
Jason MacQueen, R-Squared

There has been a significant regime shift in market risks during the past year or so, and one of the consequences of this has been that standard risk models have struggled to keep up with wildly changing conditions. In this presentation, Jason will describe some of the adaptations introduced into the R- Squared Short-Term Equity Risk Model to cope with these changes, and discuss ways in which managers can use the model to help manage their portfolios more efficiently.

Jason founded QUANTEC in 1980, which was the first firm to develop risk models for equity markets outside the USA. In the 1980s QUANTEC launched the first global asset allocation model and were also the first to develop reverse optimisation as an efficient and practical technique for rebalancing portfolios. In the 1990s QUANTEC developed the first truly global risk model, and a global stock selection model, both incorporating global common factors.

Jason currently works with R-Squared, an investment consulting firm that specialises in developing Customised Hybrid Risk Models and Stock Selection Models for institutional investors. R-Squared has also developed a Risk Management Overlay system which can be used to eliminate the unwanted risks in actively-managed funds and enhance their returns.

Jason was educated at Oxford and London Universities, where he read Mathematics and Theoretical Physics. He is a Visiting Professor at Tokyo University’s Center for Advanced Research in Finance, as well as being an Honorary Lecturer in Finance at Lancaster University.

Artificial Intelligence And Machine Learning: Alpha Generation Using Text Mining Techniques On Financial Statements
Rob Cornish, Investment Manager, GAM

Traditional quantitative analysis aims to leverage structured financial information such as company accounts, market data and numerical analyst forecasts. Whilst this approach has demonstrated a considerable amount of efficacy in generating alpha signals for the investment process it typically wastes the far larger resource of available unstructured information. Financial unstructured information includes - but is not limited to - textual newswire releases, qualitative investment rationale detailed within analyst notes and even audio-visual media. This presentation introduces and reviews machine learning - a subset of artificial intelligence - with a view on how unstructured data can be leveraged in order to generate alpha signals for stock picking. A case study research example is presented involving the textual analysis of Regulatory News Service announcements for UK stocks.

Rob Cornish is an Investment Manager specialising in UK and European equity long only and long/short strategies. Prior to joining GAM in 2004, Rob spent three years with FactSet Limited as a financial software and quantitative applications consultant, supporting buy and sell side analysts in back testing, risk modelling and portfolio construction. He holds a BA in Economics from Nottingham Trent University and an MSc in Finance from Birkbeck College, University of London.

Value, Growth... And The Future?
Nicholas Sheridan, Fund Manager, Henderson Global Investors

In this session, Nicholas will discuss recent performance of Value and Growth in Europe, historic studies showing the case for Value versus Growth, the reasons for Value investing now and the New Star European Value Fund.

Nicholas Sheridan joined Henderson following the acquisition of New Star. He is lead manager of the New Star European Value Fund and in Jan 2009 was appointed lead manager of the New Star Global Equity Fund. He has proven fund management experience in equities and has been managing money since 1989. He worked as a senior portfolio manager at Wise Speke before joining BWD Rensburg in 1990 as their director of gross funds and manager of their staff pension fund. Prior to joining New Star in 2007, he worked at Tilney from 2001 as director of European equities. Nicholas has passed the Securities Industry Diploma and holds a BA (Hons) in Politics from Liverpool University.

Liquidity, Credit And Corporate Finance
Con Keating, Head of Research, BrightonRock Insurance

While Con is perhaps best known for his quantitative work in investment performance measurement and forecasting with techniques such as the Omega function and metrics, he has also been involved with pensions as a fund manager and trustee since the early 1970s, when he managed the NATO provident fund. His professional career included periods as an analyst with INA on P&C and large risk insurance and subsequently CIGNA in life, pensions and health-care. He is currently head of research for the BrightonRock insurance group.

He chaired the European Federation of Financial Analysts’ Societies committee on methods and measures from 1994 until 2001. He is a member of the steering committees of the Finance Research Institute and Financial Econometrics Research Centre at the University of Warwick, a member of the Societe Universitaire Europeene de Recherche en Finance. He has advised the OECD’s working party and the World Bank on private pensions.

Portfolio Risk Analysis: Short vs. Long Term
Chris Ellis, Senior Vice President, Director of Analytical Products

In this session, Chris will explore how to draw conclusions from a risk analysis t hat mixes portfolio horizons versus performing independent short- and long-term analysis.

Chris joined FactSet in 1994 as a Consultant. He successfully defined and expanded the Portfolio Manager Workstation Sales business unit and became its Vice President before he assumed the position of Director of Portfolio Analytics. Under his direction, the Portfolio Analytics team specialised in meeting the needs of investment managers, fund of funds firms, and plan sponsors for performance attribution, risk optimisation, and returns-based analysis. In 2007, he was promoted to his current position and assumed responsibility for fixed income analytics.

Chris is a graduate of Stanford University and is a CFA charterholder. He has spoken to over 20 CFA Societies, as well as industry events in Europe and Asia. 

Fighting Post-Bonus Depression
Bernd Scherer, PhD, Managing Director and Global Head of Quantitative GTAA, Morgan Stanley

Should asset managers hedge their "fees at risk"? Typical risk literature focuses on how asset managers manage client risk. In this session, Bernd asks how asset managers should hedge their own risks, which risks are core and which are incidental. In other words: have bonus cuts been inevitable?

Bernd Scherer, PhD, is Managing Director and Global Head of Quantitative GTAA at Morgan Stanley (London). He was previously in charge of Quantitative Research and Portfolio Engineering at Deutsche Asset Management (New York). Bernd is widely regarded as an expert on asset valuation, portfolio construction, strategic asset allocation and asset liability modelling.

Bernd is the author of 6 books on mathematical modelling of portfolio construction and risk management including the bestselling "Portfolio Construction and Risk Budgeting" (Risk Books) and has published over 50 articles in academic and practitioner journals such as Journal of Economics and Statistics, Financial Analysts Journal, Journal of Portfolio Management, Risk, Journal of Investment Management and Journal of Asset Management.

Bernd serves as adjunct professor at several universities worldwide and is a much sought after speaker in industry conferences. He holds graduate degrees in economics and business administration as well a PhD from the University of Giessen.

Short Selling Intelligence: How to Generate Alpha and Mitigate Risk
for Investment Managers 
Charlotte Wall, Managing Director, Data Explorers

Historically, publically available short selling data has been either unavailable or difficult to access and infrequently unavailable. Data Explorers proprietary global securities lending data, now available via Factset, provides unique insight into the opaque global short selling market. Understanding this data allows traditional asset managers and hedge funds, either fundamental or quantitative, to determine short market sentiment prior to investing and to monitor the short base of names already in their portfolio.

Charlotte Wall joined Data Explorers in November 2008 as a managing director in specialist sales. She has responsibility for the firms global accounts and also helps manage the sales and product development areas. She worked previously at Morgan Stanley for 15 years, where as a Managing Director she was responsible for their  Equity financing business  servicing the hedgefund client base throughout Europe  and providing synthetic long/short exposure to clients. Ms Wall joined Morgan Stanley in 1992, starting in operations and moving to securities lending trading in 1995. Ms Wall also held relationship management and global product trading responsibilities in London for both the lending and hedge fund client base. She was promoted to Managing Director in 2003. Charlotte’s contribution assisted in creating the products and the Team that enabled Morgan Stanley to hold the number one Borrower position for the past seven years in the ISF Securities Lending Survey. She was part of the Hedge Fund Management Group, the Client Relationship Committee and Recruiting and training groups.

Asymmetric Style
Adam Strudwick, Senior Quantitative Analyst, Macquarie (Europe)

In this session Adam will look at the issue of factor asymmetry across a broad range of commonly-used quant style factors. In most models the assumption is that factors add value in symmetry. However, if this is not the case we may need to make adjustments to models and screens. Adam will discuss when and where factors seem to exhibit asymmetry and what can be done in response to this phenomenon.

Adam is a Senior Quantitative Analyst within the Global Quantitative Research group at Macquarie. The group comprises 22 analysts globally, with teams operating in all the major equity market regions. They aim to produce cutting-edge, topical and actionable research and are keen to form deep partnerships with key clients. The different regional teams work closely together, aiming to build a common global knowledge base of techniques, backed up with specific local expertise where required. The London-based European team launched their product in October 2008 and has so far published around 15 reports. Asymmetric style was a topic chosen for their monthly "Quantamentals" style strategy piece. Adam also authors a quarterly report on risk and portfolio construction called "Risky Business" which has most recently looked at the issues of stop losses and portfolio turnover. Adam's colleague Andy Moniz will also be attending the Symposium.

A Comparison of Fixed Income Attribution Approaches
Sven Hedrich, Vice President, Portfolio Analytics, FactSet

Unlike when performing equity-based analysis, there is no standardised market approach to attribution in fixed income; a multitude of models and methodologies exist. In this session, Sven will introduce two different fixed income attribution models available on FactSet and compare and discuss the challenges and benefits of applying each to your analysis.

Since 2006, Sven has been responsible for developing, selling and supporting FactSet Fixed Income in Portfolio Analysis across Europe. Sven joined the institutional sales team at FactSet Europe Limited in 2001, quickly moving into a Portfolio Analytics specialist role for Northern Europe and Germany, a position he held for four years before specialising in Fixed Income Portfolio Analytics. Sven has eight years asset management experience prior to joining FactSet.

Fund Of Funds Analysis
Bryan Hoefs, Vice President, Portfolio Analytics, FactSet

Find out how to overcome common challenges of studying fund of funds and multi-manager portfolios and perform comprehensive performance attribution and risk analysis.

In his current role, Bryan is responsible for selling and supporting FactSet's Portfolio Analysis tools in the UK and Middle East.  Previously, Bryan worked as a U.S. Portfolio Analytics Specialist and Consultant, supporting FactSet clients in South East and New York regions.

Bryan graduated from the University of Wisconsin - Madison in 2001, and earned his CFA charter in 2007.

Enhance Your Research And Analysis With FactSet Content
John Flemming, Vice President, Europe Content Sales and Federica Kralj, Senior Sales Specialist, RealTime Products, FactSet

FactSet now has great depth in its proprietary offerings of all major core content sets. In this scenario-based session, John and Federica will demonstrate how the transparency and depth of data available on FactSet, combined with the latest product developments and enhancements to the FactSet Workstation, offers you an integrated and flexible solution to help identify market trends and movements.

John is responsible for promoting and selling proprietary FactSet content sets in Europe. John joined FactSet in 1999 as a Consultant based in New York. He came to Europe in 2001 where, as a Strategic Consultant, he worked alongside FactSet clients in Germany and the UK to find solutions to their workflow problems. In 2005, John joined the United Kingdom Investment Management team in an Institutional Sales role before moving to his current position last year.

John holds a BA in Economics and German from Middlebury College in Vermont, and an MSc in Finance and Investment Management from Cass Business School, City University of London.

Federica is responsible for FactSet’s Real-Time products in the UK and the Middle East. Federica joined FactSet in 2001 as a consultant for the Southern European team, quickly moving into a Strategic Consultant role were she looked after key UK Investment Management accounts for 2 years. She then moved into FactSet’s Real-Time products team, developing the business in the Southern European and French markets. Federica has been, over the last 2 years, developing FactSet’s Real-Time products in the UK and Middle East markets.

Federica read Economics and Banking Sciences at the University of Siena and worked as a collaborator at CNEL, before moving to London.

Incorporating Alpha Factors And Historical Risk Modelling In Your Portfolio Construction And Performance Decomposition
Matthew van der Weide, Product Specialist, Quantitative and Risk Products, FactSet

How much are alpha factors contributing to your portfolio's performance? In this session, using an example that incorporates custom created alpha factors and portfolios created with a rules-based construction algorithm, Matthew will demonstrate how you can supplement traditional performance and risk analysis to gain more insight into your investments.

As a Quantitative and Risk Product Specialist based in Amsterdam, Matthew is responsible for selling and supporting FactSet analytics, including historical modelling, back testing, Monte Carlo VaR simulation and stress testing to clients in the Benelux and Scandinavian regions. Prior to joining the Portfolio Analytics Group, Matthew worked as a Strategic Consultant in the Nordic Team.

Matthew holds a BSc in Electrical Engineering and a BSc and MSc in International Business.

Introducing The Next Generation FactSet Workstation
Greg King, Vice President, Market Data and Research Management Solutions, FactSet

For over 30 years, FactSet's mission has been to provide global investment professionals with integrated access to financial information. In this session, Greg will introduce the next generation FactSet Workstation, a consolidated solution integrating historical research, modelling, research management and market data tools.

Responsible for FactSet's market data and research management solutions in Europe, Greg King has developed the business in the region for the past four years. Over that time, FactSet's real-time products have undergone a significant transformation to address the increasingly global needs of FactSet's users around the world.

Greg moved to London from the U.S. in 1999. Prior to leading real-time products, he held the role of Vice President - Institutional Sales in FactSet's UK Investment Management region. Greg graduated from Boston College in 1996 and collected his CFA charter in 2004.

FactSet is registered with the CFA Institute as an Approved Provider of continuing education programmes. The Symposium Portfolio track is eligible for up to 6 CE credit hours as granted by CFA Institute. If you are a CFA Institute member, CE credit for your attendance at this event will be automatically recorded in your CE Diary.