Chicago Quantitative Alliance

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February 2024


February Newsletter

Keep up to date on the latest CQA news.

CQA Updates:

As I mentioned in the last newsletter, we have migrated the CQA website to a new hosting platform. The process of moving from a shared server to a Virtual Private Server was a little more involved than I had anticipated, so we did have a short period of time when the site was down. Also, Melissa's email wasn't working for a short time, so if you sent her any emails and didn't get a reply, please reach out again. If you look at the site, it still looks pretty much the same for the time being, but be on the lookout for some new and improved features. We decided to do away with the password protected section of the website, but otherwise the functionality is pretty much the same. 

The new website setup will have a lot more flexibility to make changes and we'll be adding new features in the coming months. If you have any ideas or suggestions for improvements, please let us know.

The dues payment section of the website is working fine, so don't forget to use the link below to go online and pay your 2024 dues. We have a great program lined up for Vegas and you will want to make sure to get the invitation and agenda when it goes out to all paid members.

Dan Cardell
Membership Dues
Final deadline to pay your dues for 2023 is March 1st. 
You can pay your dues using this link:
Click to Pay
CQA Spring 2024 Conference
The Spring Conference will be held April 3-4 at the Wynn Hotel in Las Vegas, Nevada. Please make your reservations early, as space is limited. You can book your room online here or reach the hotel reservation line at 866-770-7555. Be sure to indicate that you are with CQA to get our preferred rate of $369 per night.
Register Now
Speaker Showcase
John Sileo, who spoke in at the 2015 Vegas Conference, will be returning this year. His journey began with the loss of his million-dollar startup, his wealth, and two years of his life to cybercrime. As a victim of identity theft, he was wrongly held accountable for felonies committed by a cybercriminal who used his identity to embezzle from the company's clients. Despite the devastating losses and legal battles, John's story ultimately took a positive turn. Exonerated of all crimes, he transformed his experience into a mission to educate and protect others from cyber threats. As a respected cybersecurity expert, award-winning author, and keynote speaker, John shares his hard-earned wisdom with organizations worldwide, from the Pentagon to Amazon. Specializing in the human elements of cybersecurity, he uses humor, audience interaction, and cutting-edge research to make his training both practical and engaging. John is the President & CEO of The Sileo Group, a Colorado-based technology think tank, and a distinguished figure in the cybersecurity community. With a Harvard University education and recent induction into the National Speakers Hall of Fame, John's commitment to cybersecurity awareness is unwavering.
Recommended Reads
Alex Muniz - Editor
Please contact Alex at
"Imputing Mutual Fund Trades"
This paper proposes a new method for imputing daily mutual fund trades in individual stocks using daily stock prices, quarterly fund holdings, and other data, overcoming underidentification through iterative techniques with random and adaptive constraints. The method generates daily stock-level trade estimates with associated confidence levels, showing good accuracy, particularly for larger trades, as validated through proprietary daily fund trading data.
"Momentum: Evidence and Insights 30 Years Later"
Jegadeesh and Titman revisit the momentum effect they originally documented 30 years ago, providing an evaluation of explanations such as data mining, systematic risk exposure of past winners, and behavioral underreactions to information. Additionally, they review recent literature and analyze post-2000 momentum strategy performance in Pacific Basin and developed Western markets.
Private Equity
In the context of the evolving landscape outlined in the recent Bloomberg article on Wall Street's adoption of quantitative strategies for private market endeavors, our focus turns to three research papers centered around benchmarking and systematically evaluating private equity. "Private Equity for Pension Plans? Evaluating Private Equity Performance from an Investor's Perspective" proposes a methodology to evaluate private equity investments, offering valuable perspectives on risk-adjusted performance and optimal allocations among U.S. public pension plans. "Performance Measures in Private Equity" delves into essential performance metrics for assessing private equity funds, providing nuanced understandings crucial for navigating this evolving landscape. Lastly, "Benchmarking Private Equity Portfolios: Evidence from Pension Funds" sheds light on benchmarking practices among U.S. public pension funds, offering insights into the factors influencing benchmark choices and their implications for portfolio management strategies.
"A Devil's Bargain: When Generating Income Undermines Investment Returns"
These researchers explore the relationship between derivative income strategies, particularly covered calls, and total investment returns, revealing a significant negative correlation over a 25-year period. Despite the allure of generating passive income, investors may unknowingly compromise their overall returns by prioritizing derivative income strategies without considering this tradeoff.
CQA Member Spotlight
This month, we are highlighting two articles by CQA members. Melissa Brown's "How Do Low Tracking Error, Multifactor ETFs Fit Into the Factor Investment Landscape?" showcases the advantages of low tracking error, multifactor portfolios over single factor ones, emphasizing the benefits of diversification across factors. Dan diBartolomeo's "Has ESG Become a Crowded Trade?" investigates whether the widespread adoption of ESG standards distorts financial markets. The study concludes that there is no compelling evidence that crowding has affected the efficiency of equity markets' asset-pricing mechanisms.

We encourage all CQA members who have academic contributions to share. If you have a working or published paper you'd like to feature, we offer a platform to showcase your research and insights.
Upcoming Events
Joint Spring Seminar 2024
co-hosted by Inquire-Europe and Inquire UK
Southampton, United Kingdom - March 24-26
More InformationSee Key Terms

Joint CQA-SQA Trading Seminar
co-hosted by Society of Quantitative Analysts

New York City - June 6 (tentative date)

Inquire-Europe Autumn Seminar
Valencia, Spain - October 8-6, 2024
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