Chicago Quantitative Alliance

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September 2022


September Newsletter

Keep up to date on the latest CQA news.

Credit: Samir Rath

CQA Updates:

It was great to see everyone at the Fall Conference last week! By all accounts, our first in-person event back in Chicago in 3 years was a success. We ended up in a classroom style room at the University of Chicago Gleacher Center. It was the same room where we held our very first Spring meeting in 1995. (Who could forget the infamous presentation warning us of the impending Y2K disaster?) We enjoyed great weather for both our Thursday evening reception on the Riverwalk and the Wednesday dinner on the 39th floor of the Royal Sonesta Hotel. The presentations across the board were excellent, and we'd like to thank Dan Glickman, Rudi Schadt and John Wightkin for their efforts in lining up speakers. We have lots of content in the newsletter this month, and we’re looking forward to additional member contributions in the future.
Credit: Dan Cardell
Dan Glickman introduces Edward Thorp.
Eric Balchunas and Gus Sauter.
Credit: Gib Basset
Edward Thorp joins virtually to accept first ever CQA Lifetime Achievement Award.
Click here for a full video.
Credit: Dan Cardell
Ralph Koijen presents "Origins of Financial Fluctuations: The Inelastic Markets Hypothesis"
Credit: Kai Petainen
City views from Wednesday night's dinner at Royal Sonesta.
Credit: Gib Basset
Panel featuring Daryl Morey, Tobias Moskowitz, and moderator Ray Iwanowski.
Academic Competition Results
This year we had three strong contenders in the Academic Competition, confirmed by the very close vote by the members. This year’s winner was “Hidden Alpha" presented by Stephan Heller, a post-doc researcher at the Harvard Business School who earned his PhD at the University of St. Gallen in Switzerland. Stephan and his co-authors Manuel Ammann, Alexander Cochardt, and Lauren Cohen have harnessed data from Facebook to deduce hidden social connections between fund managers and corporate executives. Requiring a mammoth, manual data collation effort, the authors recognized and classified three levels of connectedness between the fund managers and executives. It turns out that "the more hidden the connection is, the more valuable the information that appears to be associated with the trading across it.” The most hidden connections are associated with over 16% alpha per year accruing to the fund managers, with a t-stat = 3.54. The authors adroitly side-step obvious questions of impropriety, leaving the inference to the reader that PMs may be hiding lucrative — but highly illegal — insider info sources. During some humorous Q&A, Heller stated “The word ‘insider’ does not appear once in the entire paper.” Interesting strategic choice on the part of the authors, given that fourteen years earlier, a direct antecedent paper, “Sell-Side School Ties”, also by Lauren Cohen (and Frazzini and Malloy), directly confronted corporate insider activity as part of their analysis. 

Congratulations and thank you to Stephan Heller, his co-authors, and also to the other competitors listed below (with links to their papers), for their stimulating and valuable research work!
Stephan Heller
Harvard Business School

"Hidden Alpha"
Cameron Peng
London School of Economics
Factor Demand and Factor Returns”
Yuan Tian
University of Cincinnati

“Expected Growth and Stock Returns: A Machine Learning Approach”
Homework Assignment

In good CQA tradition, the recent conference in Chicago spurred additional ideas. Being able to finally reconnect with other members in person, in a nice location with good food and drinks obviously played a role as well.
In particular, Ed Thorp's comments, Eric Balchunas sharing insights from Jack Bogle and Marc Reinganum's reflections on the state of the quant industry illustrated how much we can still learn from people who made big contributions in the past. At future meetings, CQA would therefore like to profile additional people whose insights had a meaningful impact on our careers.
So here is your CQA back-to-school homework: use this link to identify the top 3 papers that had the biggest impact on your career. In case you need a starting point, here is one suggestion. Credit to Joanne Hill for bringing this to our attention and definitely worth a read!
- Ingrid Tierens
Member News
Trauma Brace 
Trauma Brace, a self-help app for trauma therapy, is a project that is close to CQA member Todd Doersch. When Putin invaded Ukraine last February, Todd launched a project to have Trauma Brace translated into Ukrainian. Recently the Ukrainian version was approved by Apple, so it is now available completely for free on Apple's App Store. (The English version costs $20 after a free evaluation period, but the Ukrainian version stays completely free.) Trauma Brace uses the “gold standard” techniques from Cognitive Behavioral Therapy and Exposure Therapy to help users who are struggling after experiencing trauma but who do not have access to personal counseling.
If you are so inclined to support Ukraine, Todd requests that you help spread the word through your social networks that this free mental health resource is now available. Please share the link to the website, where you can find more background info and a direct link to the App Store: Note that if your iPhone’s primary language setting is Ukrainian, then the app presents in Ukrainian. If your phone is set to any other language, Trauma Brace presents in English.
For any questions feel free to reach out to Todd at
Cornell University ESG Investing Research Conference
Last month the Cornell SC Johnson College of Business hosted their first ESG Investing Research Conference. The conference was organized by professor and CQA member Scott Stewart. They brought together both academics and practitioners to discuss ESG investing challenges, ideas, and solutions. Scott says the bottom line is "practitioners are still working to address the investing challenge and academics need to keep digging into the details." Congratulations to Scott on this successful event. Click the link below for a detailed recap of the event. 
Read more... 
CQA Investment Challenge 

Do you know of some current students (either undergrad or grad) who are interested in the 2022-2023 CQA Investment Challenge competition?
The competition runs from October 31st to March 31st. Each school can register up to 3 teams with 5 students per team. There are 3 rounds. The first round is based completely on compliance. The second round (top 20 portfolios) is based on compliance and returns. The final round (top 10 portfolios) is based on compliance, returns, and a video that the team needs to create.  A mentor/teacher is not required for each team, but it’s useful to have a mentor/teacher so that we can reach the school next year and inform them of the competition.
First place gets $3,000, second place gets $2,000, and third place gets $1,000.
For a listing of the rules Click Here
For a quick PowerPoint of the key rules Click Here
If you know of some students (or a professor at a school) that would be interested in the competition, then please have them email Kai Petainen, at
Upcoming Events
SQA-CQA Virtual Seminar
Join us November 9th for the first in a series of seminars that will be jointly produced by the CQA and SQA. Click below to register.
Inquire-Europe & Inquire UK Seminars
Joint Autumn Seminar co-hosted by Inquire-Europe and Inquire UK
Marseilles, France - Oct 2-4, 2022 - More Info
Joint Spring Seminar co-hosted by Inquire-Europe and Inquire UK
Republic of Malta - March 26-28, 2023
Autumn Seminar hosted by Inquire-Europe
Bergisch Gladbach, Germany - Sept 24-26, 2023
Las Vegas
We are looking forward to seeing everyone again at the Spring 2023 Conference - April 12-13, 2023.
If anyone has suggestions for speakers please email Melissa at
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