Chicago Quantitative Alliance

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June 2024


June Newsletter

Keep up to date on the latest CQA news.

CQA Updates:

      The recent CQA-SQA Trading seminar was held at the Blackrock offices and was well attended. Thanks to Christos Koutsoyannis and the SQA team again this year for their efforts to line up an impressive list of speakers. The papers are available by contacting Melissa at directly and requesting a link.

     The Academic Review Session will proceed with the selection process virtually again this year. Rosy Macedo did an excellent job as moderator last year and she'll be handling that role again this year. Please join us on July 11th and help to select the 3 finalists that will present at our September conference. The download of papers is available to all members, even if you choose not to be involved with the selection process. Please encourage any academics that you know to get the word out on the competition and share the submission guidelines. Submissions are due by June 30.

     Check out the info below on the European Finance Association meetings being held this year in Bratislava, Slovakia. I just got back from a trip to Europe and had the pleasure of visiting Bratislava. It's a wonderful place and the event will be hosted by Lubos Pastor, a University Chicago professor who spoke at our meeting in September.   

Dan Cardell
CQA / SQA Trading Seminar
Academic Review Session
Virtual Event - July 11th - 2:00 PM Central Time
Once again this year the Academic Review session will be held virtually. Please join us if you are available. You can register using the button below. All members who are registered will be sent both a link to download the papers and the call-in information for the zoom session. We encourage and appreciate everyone's insights as we choose the top three papers that will be presented at the upcoming Chicago conference in September.
Register Now
Speaker Showcase
Andrea Eisfeldt, the Laurence D. and Lori W. Fink Endowed Chair in Finance and Professor of Finance at UCLA, is set to present at this year's Fall Conference. Eisfeldt’s research has been twice been awarded the Amundi Smith Breeden prize for best papers in the Journal of Finance. Her work has also been awarded the Jensen Prize in the Journal of Financial Economics, and grants from the National Science Foundation Grant and the Banque du France. Eisfeldt currently serves on the board of directors of the American Finance Association. She is a research associate at the National Bureau of Economic Research in the Corporate Finance, Asset Pricing, and Economic Fluctuations and Growth and Conference on Research in Income and Wealth working groups. Eisfeldt is an Associate Editor at the Journal of Monetary Economics, the Review of Economic Dynamics, and the American Economic Journal: Macroeconomics. Eisfeldt earned a B.S. with highest honors from the College of Commerce at the University of Illinois at Urbana-Champaign, and received her M.A. and Ph.D. in economics from the University of Chicago.
Academic Competition
The CQA Annual Academic Competition will be held at the fall conference in September. Please forward this information to anyone you think might be interested in submitting a paper.

Competitive papers are invited from all non-tenured faculty and students who wish to apply. Preference will be given to those papers which have direct applicability to investment management in one or more of the following areas: Security Valuation/Pricing, Factor Models, Strategic or Tactical Asset Allocation, Risk Budgeting, Optimizing the Allocation of Risk Capital, Multi-period Portfolio Problems, and Performance Attribution.
Only complete papers will be considered in this competition. In addition, the primary author must be either non-tenured faculty or a student. The top three submitted papers will be asked to present at the CQA in September. 
Cash awards of $3000, $2000, and $1,000 will be given to the first, second, and third place finishers in the competition. Criterion for awards will be based on both presentation quality and content of interest to practicing investment professionals. Travel expenses will be reimbursed and presenters are invited and encouraged to attend the entire two day conference.
See More Details Here
European Finance Association Meeting
Bratislava, Slovakia - August 21-24, 2024
EFA 2024 Message from Program Chair

Dear EFA members and friends,
The next meeting of the European Finance Association will take place in Bratislava, Slovakia on August 21-24, 2024. In light of recent news headlines about the unprecedented assassination attempt on the Slovak PM, the EFA would like to remind you that Slovakia is very safe.
The National Bank of Slovakia (NBS) is proud to organize the 51st Annual Meeting of the European Finance Association.

We look forward to welcoming you in Bratislava!
Lubos Pastor
EFA 2024 Program Chair
University of Chicago
Register Now
Recommended Reads
Alex Muniz - Editor
Please contact Alex at
“How 401(k) Drives Inequality”
This New York Times article discusses the growing concern over the inadequacy of 401(k) plans for retirement savings, highlighting that a significant portion of the population, especially lower-income groups, faces a bleak retirement outlook, with inadequate savings and an over-reliance on these accounts for both retirement and emergencies. The article underscores the need for systemic changes to address the disparities and inadequacies in retirement savings​.
"The Missing Billionaires"
The book by Victor Haghani and James White uses its intriguing title and introductory chapter to highlight how ineffective risk management often leads to the dissipation of family wealth. The rest of the book delves deeper into risk management using utility theory to guide investment decisions. It provides a framework for addressing crucial financial decisions, such as determining trade sizes, assessing personal risk exposure, and asset allocation, all backed by academic theories and quantitative analysis to support the authors' recommendations.
Virtue of Complexity
The combination of "The Virtue of Complexity in Return Prediction" and "Can Machines Time Markets?" offers a compelling narrative on the evolution of market return prediction. The first paper challenges conventional wisdom, advocating for complex models over simplistic approaches in forecasting. Building on this, the second paper explores machine learning's application in timing markets, revealing the potential of complex models to surpass traditional methods by detecting nonlinear relationships between signals and returns. Though improvements are gradual, the findings suggest a promising trajectory for enhancing return prediction across various asset classes.
“Bond Market Illiquidity: Is Portfolio Trading the Solution?”
This study explores portfolio trading and its effects on corporate bond liquidity, revealing that while portfolio trades generally improve liquidity, especially for riskier and illiquid bonds, they can become costly in troubled markets. The benefits come from diversification, but the costs arise from balance sheet constraints, highlighting the nuanced impacts on bond market liquidity.
“Computational Reproducibility in Finance”
In this paper, which will be presented at this year's EFA Conference, researchers assess the computational reproducibility of over 1,000 empirical finance results from 168 research teams, finding that identical results are reproduced only 52% of the time. Reproducibility improves with better coding skills and greater effort but declines with more complex code and technical questions. Researchers often overestimate the reproducibility of their work, suggesting the need for improved guidelines and policies in academic publishing to enhance research credibility.
"High-Throughput Asset Pricing"
This paper demonstrates that using empirical Bayes to analyze 140,000 trading strategies can yield out-of-sample returns comparable to published finance strategies, but without look-ahead bias. The authors highlight that returns are notably concentrated in accounting-based strategies and pre-2004 data. This method offers a rigorous, unbiased approach to identifying asset pricing patterns.
"Poor Charlie's Almanack: The Wit and Wisdom of Charles T. Munger"
This book offers insights into business, investing, and life through Charlie Munger’s talks, lectures, and public commentary, with the support of Warren Buffett. This volume aims to provide lasting influence and timeless advice, much like Benjamin Franklin's "Poor Richard's Almanack."
CQA Member Spotlight
This month, we are featuring two articles by our fellow CQA members. Dan DiBartolomeo’s paper, “Climate Risk for Coastal Commercial Real Estate in the Language of Modern Portfolio Theory,” outlines a novel approach for evaluating the risks and returns of coastal real estate investments. By integrating traditional real estate risk models with flood probability data from FEMA and NOAA, he provides crucial insights into how rising sea levels affect commercial real estate portfolios. Meanwhile, Dale Rosenthal’s article, “Liquid Factor Models,” proposes the use of transparent, tradeable, and liquid instruments to create cost-effective factor models. His research demonstrates that these models not only reduce hedging costs but also offer more intuitive and less correlated factors, outperforming traditional models in explaining the variations in diverse investment funds and enhancing the efficiency of fund alpha estimation and management.
Upcoming Events

Academic Review Session
Virtual - July 11 - 2:00 PM CENTRAL 
Once again this year the Academic Review Session will be held virtually. The Zoom link will be shared with all CQA members. Please join us if you are available. The papers will be available for download in the fist week of July. The top 3 papers selected will present in September at the Academic Competition.

CQA Fall Conference
Chicago, IL - September 11-12
InterContinental Hotel

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