Chicago Quantitative Alliance

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December 2022


December Newsletter

Keep up to date on the latest CQA news.

CQA Updates:

As we approach the end of 2022, things are certainly looking a lot different than they looked last year at this time. In December of last year we hadn't had a meeting in 2 years, and the outlook for a return to live events in 2022 was uncertain. The Omicron variant was leading to an upward spike in Covid cases during the holidays, and we were under a time constraint to decide on hotel accommodations for the scheduled April conference. Despite the uncertainty, we decided to go ahead with the Las Vegas event and hope for the best. As it turned out, there weren’t any major issues and we had good attendance considering the situation. We had an awesome group of speakers and the feedback was overwhelmingly positive. We had a lot of comments from members that they were happy to be able to get back together in-person. The success of the meeting gave us the green light for September and once again we had a terrific speaker agenda lined up. It was smooth sailing until May when they told us the Mid-America club was closing at the end of the month! We had held our September meeting at the club for all but one of the previous 28 years, and we had to scramble to find a replacement. Chicago is very busy that time of year, and it seemed that every organization was getting their events back on the schedule. We ended up at the University of Chicago Gleacher Center, which proved to be a suitable replacement. Once again, we had excellent attendance and everyone was happy we were able to pull off the in-person event. In November we added a new event to the CQA schedule - a joint CQA-SQA virtual seminar with guest speaker Campbell Harvey. We had good participation and Cam gave an excellent overview of the DeFi space. We’re planning another CQA-SQA virtual seminar in May of next year.

As we look forward to 2023, we are excited to get back to our usual schedule of events. Please check out the CQA website for dates and event details. Hopefully we’ll see everyone at a CQA event in the near future.

Happy Holidays to you and your family. Looking forward to a terrific year in 2023!
- Dan Cardell
Membership Dues
Dues notices will be coming to your email inbox in early January. These will be the only notices you receive and there will be a link to the payment page and instructions for payment options. You can pay your dues early if you like using this link:
Click to Pay
Dues for 2023 will remain at $1,000, the same as in 2022. Despite the rapidly increasing costs of holding conferences, we have been able to keep our dues at the same level for many years. Costs have gone up across the board, but we have had smaller than usual attendance in our last two meetings due to travel restrictions and covid concerns. We expect higher attendance for the events next year and we will be very conscious of our spending to make sure we have a balanced budget. We will not compromise on our usual high quality of our events. 
Spring 2023 Speaker Showcase
Russell Wermers consults on asset management matters, including mutual funds, pension funds, and hedge funds, with a particular focus on trading models, market timing, and performance evaluation. He has testified in multiple proceedings before the U.S. Securities and Exchange Commission, and has been retained as an expert witness by private firms, large financial institutions, and the Division of Enforcement at the SEC.

Professor Wermers’s research interests include the efficiency of securities markets and the role of institutional investors in setting stock prices. He analyzes investment strategies and performance evaluation, as well as the information content of analyst earnings forecasts/recommendations and mutual fund portfolio disclosures. Notably, by analyzing asset managers’ portfolio holdings, Professor Wermers has pioneered new approaches to measuring and attributing asset manager performance.

Russell has published recognized papers in prominent journals. His coauthored article on mutual fund performance was a finalist for the Amundi Smith Breeden Prize for the Best Paper in the Journal of Finance. He also cowrote Performance Evaluation and Attribution of Security Portfolios, a scientific book on evaluating asset manager performance written for both for academics and practitioners. Professor Wermers serves on several editorial boards, including the Financial Analysts Journal and the Journal of Banking and Finance.

Professor Wermers teaches courses in investment management and corporate finance, and has been recognized several times for teaching and mentoring excellence.
Professor Wermers has presented his research at CQA in the past. He spoke back in 1996. Check out the speaker line-up for that event. You’ll have to agree it was a pretty impressive line-up!
September 1996 Fall Conference Speakers
Campbell Harvey
Duke University
"What Matters for Emerging Markets Investments"

David Dreman
Dreman Foundation
"Analyst Forecasting Errors and Their Implications for Security Analysis"

John Gilster
Michigan State University
"Option Pricing Theory: Is Risk Free Hedging Feasible?"

Jonathan Berk
The University of British Columbia
"Optional Investment Growth Options"

Kent Womak
The Amos Tuck School Dartmouth College
"Conflict of Interest and the Credibility of Underwriter Analyst Recommendations"

Larry Brown
State University of New York at Buffalo
"Analyst Forecasting Errors and Their Implications for Security Analysts"

Russ Wermers
University of Colorado at Boulder
"Momentum Investment Strategies of Mutual Funds Performance Persistence and Survivorship Bias"
Kieron Dey
"Breakthrough Improvements of Investment Processes"

Peter Bernstein
Peter Bernstein Inc.
"The Savings Crisis: Real or Imagined?"

Rob Engel
University of California San Diego (2003 Nobel Prize Winner)
"Volatility and Correlation Models in the Portfolio Process"

Josef Lakonishok
University of Illinois at Urbana-Champaign
"Momentum Strategies"

Robert Jarrow C.
Cornell Graduate School of Business
"Pricing Derivatives on Financial Securities Subject to Credit Risk"

Tarun Chordia
Vanderbilt University
"Differential Speeds of Adjustments Cross-Autocorrelations"

William Goetzmann
Yale School of Management

Charles Jones
Princeton University
"Macroeconomic news and Bond Marketing Volatility"
Power Hungry Podcast
Author and journalist Robert Bryce spoke at our Las Vegas conference and has a podcast that I highly recommend. His podcast, Power Hungry spotlights energy, power, innovation, and politics. Robert talks with top thinkers, writers, and influencers — as well as regular citizens.
Listen Now
"New Forbes & RCE, Reiner Kuhr on electric grids, a bird re-discovered in Papua New Guinea"
Robert also has a weekly newsletter. This edition recaps Forbes piece on offshore wind, Real Clear article on coal, Kuhr on the podcast, and a very rare bird rediscovered.
Recommended Reads
"Longer, Healthier, Happier: Why Working Longer Improves Almost Everything"
Article by Laurence B. Siegel and Stephen C. Sexauer on benefits of working past traditional retirement age.
"Forecasting Styles"
Accounting professors use machine learning techniques to discern "styles" in sell-side analyst forecasts.
"Do Common Factors Really Explain the Cross-Section of Stock Returns?"
These authors document challenges to the notion of a trade-off between systematic risk and expected returns when analyzing the empirical ability of stock characteristics to predict excess returns.
"CS50 Lecture by Mark Zuckerberg"
Lecture on Facebook and computer science from December 2005.
Upcoming Events
Inquire-Europe & Inquire UK Seminars
Joint Spring Seminar co-hosted by Inquire-Europe and Inquire UK
Republic of Malta - March 26-28, 2023 - More Info
Autumn Seminar hosted by Inquire-Europe
Bergisch Gladbach, Germany - Sept 24-26, 2023
Spring 2023 Conference
Las Vegas, Nevada - April 12-13, 2023
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