Next Boston QWAFAFEW Meeting: Tuesday, 15 Aug 2017
Time: 6:15 PM sharpe
3rd Floor of the Tennis & Racquet Club, 939 Boylston Street
RSVP to hugh@QWAFAFEW.org
The Quant Crisis Ten Years Later
QWAFAFEW panel and discussion arranged and led by:
August 8th and 9th, 2007 were the two most dramatic days for equity quants since Black Monday almost 30 years ago. We are now at the 10 year anniversary of that tumultuous week. Please join us for a panel discussion with 5 quants who survived to tell the tale. What was it like to manage a portfolio through this volatility? What mistakes did you make? What lessons have you learned? When will it happen again?
David Kane, Hutchin Hill Capital
Robert McGehee, Walleye Trading
George Mussalli, PanAgora
Matthew Rothman, Credit Suisse
Alexandre Voitenok, Acadian Asset Management
David Kane is a managing director at Hutchin Hill Capital. He has been an equity quant for 20 years. He has a Ph.D. in Political Economy and Government from Harvard University and a BA in Economics and Philosophy from Williams College. He served as an officer in the United States Marine Corps from 1988 to 1991.
Robert McGehee is a global equity market neutral PM at Walleye Trading. Prior to joining Walleye, he was a Portfolio Manager and led a quantitative global equity market neutral team at both BlueCrest Capital Management and Geode Capital Management. Robert is a CFA charter holder and has a B.A. in Mathematics from Williams College.
George D. Mussalli, CFA Chief Investment Officer & Head of Research, Equity
Mr. Mussalli is Chief Investment Officer and Head of Research, Equity. He is responsible for oversight of the firm’s Dynamic, Stock Selector, and Diversified Arbitrage strategies, as well as the Equity team’s Data Infrastructure, Portfolio Construction, and Trading teams. He is also a member of the firm’s Investment, Operating, and Directors Committees.
As Chief Investment Officer and Head of Research, Equity, Mr. Mussalli directs innovative equity research used in the development of models used within PanAgora’s equity strategies. Prior to becoming Chief Investment Officer and Head of Research, Equity, Mr. Mussalli served as Head of PanAgora’s Stock Selector strategies. His work focuses on combining fundamental insights with sophisticated quantitative techniques to develop proprietary models designed to analyze companies across many dimensions. In addition to overseeing the management of the firm’s Stock Selector strategies, he has significantly contributed to the proprietary pool of equity research leveraged across the entire firm during his tenure. The research he has conducted also led to the founding of the firm’s Diversified Arbitrage hedge fund strategy in 2010.
Before joining PanAgora, he was a Portfolio Manager on the Putnam Investments Structured Equity team, where he was responsible for Structured Equity portfolios. He contributed to quantitative research and analysis that supported all equity strategies, including International and Global strategies.
Prior to joining Putnam, Mr. Mussalli worked as a Senior Investment Analyst at John Hancock Funds.
Education: Sloan School of Management, Massachusetts Institute of Technology, M.B.A. Tufts University, B.S
Mr. Matthew Rothman is a Managing Director of Credit Suisse in the Global Markets Division and based in New York. He is the Head of Global Quantitative Equity Research.
Prior to joining Credit Suisse 2016, Matthew was the Director of Global Quantitative Macro Research at Acadian Asset Management in Boston, a purely quantitative asset management firm with approximately $80 billion in assets under management. Prior to Acadian, Matthew was the global head of Quantitative Research at Lehman Brothers and then Barclays Capital, post the Lehman bankruptcy. Matthew has also held senior research positions at Sanford C. Bernstein and Goldman Sachs Asset Management.
Matthew also currently is a member of the finance faculty at the MIT Sloan School of Management where he teaches courses in empirical asset pricing and quantitative finance. Previously, he has served on the faculty in the Economics Department at Brown University and in the Finance Department at the Samuel Curtis Johnson Graduate School of Management at Cornell University.
Matthew serves on the board of directors of The Innocence Project, the Center of Accounting Research and Education at the University of Notre Dame, and The Society of Quantitative Analysts.
Matthew earned a BA in Philosophy from Brown University, an MA in statistics from Columbia University, and a Ph.D. in finance from the University of Chicago Graduate School of Business.
Alex Voitenok is a director of Long/Short strategies at Acadian Asset Management, overseeing approximately 3.5Bn in L/S strategies. He is also a Deputy Director of Portfolio Management. Previously, Alex was a senior portfolio manager at Gartmore Investment Management in London and Boston, where he focused on long/short funds while co-managing a global L/S and L/O active book of business of $3 Bn. Alex was also the product architect behind Gartmore’s next generation of quantitative models. Prior to Gartmore, he was a quantitative developer, working for Putnam Investments. Alex obtained his M.Sc. in software engineering from the Minsk Radio Engineering Institute.
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Executive Management Associates
12 Academy Avenue
Atkinson, NH 03811
Please RSVP for all meetings you plan to attend: hugh@QWAFAFEW.org
Guests who do not RSVP may have to wait to enter the meeting, due to space constraints (capacity=100, BFD).
Guest fees ($30) can be paid through EMA (check or PayPal, bring receipt) or bitcoin (at address above). We still allow walk-ins (space permitting). The $30 guest fee can be paid by bitcoin, cash or check at the door, no credit cards at the meeting. Please bring exact change (eg: two twenties = $40 Guest Fee).
As always, if you have names or discussion topics, please forward them to any member of the Steerage Committee
Donna Cool Murphy (Dinners)
The members of the Steerage Committee are responsible for coordinating the program content.
Program suggestions from members are always welcome.
RSVP to: hugh@QWAFAFEW.org