Year-End Program & Seasonal Celebration - San Francisco, CA
Year-End Program & Seasonal Celebration
Tuesday, December 4, 2012
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Under the Microscope: Do Widespread Macro Beliefs/Intuition Hold Up Under Quantitative Scrutiny?
Join us for a lively discussion of the pros and cons of quantitative investing, the different styles of quantitative investing and a fascinating series of case studies in the macro space.
Conventional wisdom pervades macro investing, but do these commonly held “truths” stand up to scrutiny? Mr. Iwanowski puts some of the most popular and well-known macro beliefs under the microscope using a rigorous quantitative process. The findings may surprise you.
Quantitative investment strategies are of increasing interest and debate among investors. The human mind has its limitations, and quantitative methods enable investors to simultaneously process vast numbers of securities, correlations and transactions costs. These systematic processes also have the potential to avoid many behavioral biases in human judgment, such as emotion, fear and over-confidence. On the other hand, “quants” may suffer from over-reliance on past data and susceptibility to data-mining that can lead to “optimal solutions” that are far from intuitive.
Ray Iwanowski is a Managing Principal of SECOR Asset Management, LP and Co-Founder of SECOR Capital Advisors, LP. Prior to founding SECOR, Mr. Iwanowski was Co-Chief Investment Officer of the Quantitative Investment Strategies (QIS) group at Goldman Sachs Asset Management (GSAM), a position he held for 11 of the 12 years he spent at GSAM. Before that, he worked at Salomon Brothers from 1993 to 1996 as Head of the Fixed Income Derivatives Client Research Group and member of the Bond Portfolio Analysis Research Group. At Salomon, Mr. Iwanowski authored a number of publications on fixed-income asset allocation and fixed-income derivatives. He has published articles in The Journal of Portfolio Management (Summer 1996) and The Journal of Fixed Income (September 1997). He worked at First Boston from 1988 to 1990 in the Fixed-Income Portfolio Strategies Group, specializing in asset-liability issues for banks and thrifts, as well as valuation of mortgage-backed securities and their derivatives. Mr. Iwanowski earned a B.S. and B.A. from the University of Pennsylvania in 1988, an M.B.A. from the University of Chicago and reached candidacy in the Ph.D. program in finance at the University of Chicago.