Seminars

Macquarie Quant Team and Axioma Lunch Seminars

The Macquarie Quant team and Axioma are pleased to announce a series of lunchtime seminars focusing on quantitative portfolio construction and risk management later this month in Sydney and Melbourne, Australia.

Dr. Sebastian Ceria, CEO of Axioma, on a brief visit to Australia, will present Axioma's recent research on the interaction between risk models and alpha signals. This topic is of great importance to anyone looking to combine/analyze alpha forecasts in a portfolio using a risk model, particularly when the two are derived independently. Axioma has examined the specific nature of the interaction between risk factors and alpha factors, leading to some interesting insights into how to manage misalignment between the two. This research is soon to be published so we will have an opportunity to hear the findings before they become widely available.

The Macquarie Quant team will also present new research, focusing on incorporating a macro overlay into the investment process. Extending our research into the link between the macro environment and alpha factor performance we look to see if our macro overlay techniques are useful for forecasting and estimating risk. This is a highly topical issue for all quantitative investors, especially if the short sharp economic cycles that are forecast by the Macquarie Strategy team eventuate.

This event will be of interest to anyone involved in quantitative portfolio construction, implementation or risk management.

Sydney
Date: 18th March 2010
Time: 12.20pm - 2.00pm (lunch will be provided)
Location: Four Seasons Hotel, 199 George St, Sydney
RSVP: Michael Cruz, michael.cruz@macquarie.com

Melbourne
Date: 19th March 2010
Time: 12.20pm - 2.00pm (lunch will be provided)
Location: Level 23, 101 Collins Street, Melbourne
RSVP: Emma Nelson, emma.nelson@macquarie.com

Lunch will be served. Please specify any dietary requirements in your email.