Chicago Quantitative Alliance

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May 2024


May Newsletter

Keep up to date on the latest CQA news.

CQA Updates:

     With the April CQA Las Vegas conference behind us, it's time to focus on our upcoming events and start planning for September.  First up, on June 10th, will be our joint meeting with SQA in New York at the Blackrock offices.  Last year, the event was held in the morning followed by lunch. This year, we'll be starting at 1:00 pm, and the sessions will be followed by a cocktail reception. It's a great way to network with fellow CQA members and also to meet some of the SQA membership.

     The SQA has been busy lining up a slate of speakers for the June seminar, and we'll have the details soon. If you have any speaker ideas, please let us know as soon as possible. If you are interested in attending, the details are listed below. Attendance is free for CQA members. Please make sure to register, as we are required to provide a list of attendees to security in order for you to access the building.

     Once again we are going to do the Academic Review Session virtually. Rosy Macedo did such a great job moderating the session last year, I've asked her to do it again. Please mark your calendar for July 11th and join us on the call. We will be providing everyone with a link to download the papers after the June 30th deadline. If you know anyone who might be interested in submitting a paper, please send them the link below and encourage them to participate by submitting a paper for consideration.

     I hope all of our members are finding some value in these monthly newsletters. It's a great way for us to provide updates and keep the membership informed. If you've missed past issues, they are now available on our website under the "About Us" menu tab. Check out all the past issues using this link:

Dan Cardell
CQA / SQA Trading Seminar
The Quant Trading Seminar will be held in New York City on June 10th at the Blackrock offices at Hudson Yards.

We are currently working with the SQA on the putting together the agenda. Please reach out to ChristosRudi, or John Wightkin if you have any ideas for potential speakers.
Register Now
CQA Challenge Winners
Congratulations to the 2024 winners of the annual CQA Challenge! We had participation from 31 teams from 18 different schools this year. We would like to once again thank all of those CQA members who were involved in coaching and mentoring the teams, as well as those members who served on the judges panel. Special thanks to Kai Petainen from the University of Michigan for his leadership and commitment to the program.
First Place
Rotman School of Management
Bella Xu, Tom Lam, Ivy Pei, Prashant Kumar, Elaine Chen
Watch Presentation

Second Place
Illinois Institute of Technology
Qing Zhu, Siyuan Wang, Xinsheng Li, Yujia Zhai
Watch Presentation

Third Place
Chinese University of Hong Kong
Jackson Chan, Sunny Cheung, Florence Chan, Jonathan Cheng
Watch Presentation
Please encourage your school to take part in the competition. Information is available by reaching out to Kai at or using this link.
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
Applied Finance with R
The sixteenth annual R/Finance conference for applied finance using R will be held May 17-18 in Chicago, IL, at the University of Illinois at Chicago. The conference brings together some of the best people and conversation in quantitative finance – covering R (or Python or Julia!), portfolio construction, statistics, quant ideas and more.

For more details click here.
Tuesday, May 21st, 2024
15:00 BST
Virtual Event
Please join INQUIRE UK for their next webinar with Professor Maximillian Muhn from the University of Chicago, Booth School of Business. Maximillian will be discussing his paper, "Generative AI for Active Investment: Distilling Bloated Corporate Disclosures."
Register Now
SQA Seminar
Wednesday, May 22nd, 2024
4:30 PM - 7:00 PM
Alliance Bernstein
New York, NY 10105
This SQA Seminar is designed for people with a background in quantitative analysis and portfolio management. It combines theoretical concepts with practical application, making it particularly valuable for active managers seeking to improve their performance by better portfolio construction.

Click below for the event agenda and registration details. CQA members can attend at the SQA Member price using code: CQA24
Register Now
Markus' Academy
Markus’ Academy is a series hosted by Princeton Bendheim Center for Finance Director Markus Brunnermeier. He engages in conversations with acclaimed academics and thought leaders on crucial issues impacting the global economy. Anyone is welcome to tune in live via Zoom on "most" Thursdays at 12:30 PM ET for insightful discussions that delve into the latest developments and trends. Click here to see all past discussions and to sign up for all future webinars.
Recommended Reads
Alex Muniz - Editor
Please contact Alex at
“Moving Targets”
This study finds that managers strategically adjust targets in their communications with investors and markets. Using natural language processing on earnings conference call transcripts from U.S. corporations, it reveals that managers select and change targets to ensure they meet their predetermined goals.
"From Transcripts to Insights: Uncovering Corporate Risks Using Generative AI”
These researchers, including Maximilian Muhn, who will be presenting at the upcoming INQUIRE UK webinar, explore the effectiveness of AI tools like ChatGPT in assessing corporate risk. By analyzing earnings call transcripts, it develops measures for political, climate, and AI-related risks, which outperform existing methods in predicting firm volatility and decisions like investment. The AI-based approach also detects emerging risks, like AI-related ones, providing valuable insights at a low cost.
“Private Credit Offers No Extra Gains After Fees, New Study Finds”
A recent study by three academics challenges the notion that the $1.7 trillion private credit market provides significant extra returns to investors after accounting for risks and fees. Analyzing data from 532 funds, they find that much of the industry's performance is comparable to stock and credit portfolios, suggesting limited alpha generation. While some alpha may exist, it vanishes once management fees are deducted.
“Signature Trading: A Path-Dependent Extension of the Mean-Variance Framework with Exogenous Signals”
This article presents a portfolio optimization framework called "Signature Trading" that incorporates path-dependencies in signal-asset dynamics using rough path signatures. This method efficiently encodes past observations, allowing for drawdown control and yielding superior results for trading strategies, combining classical theory's clarity with modern, data-driven flexibility.
“Causal Inference for The Brave and True”
This is an open-source resource on causal inference, using Python-based free software for accessibility. It combines scientific rigor with a light-hearted approach, aiming to make learning engaging and inclusive. Part I covers core concepts like potential outcome notation and bias mitigation, while Part II explores modern applications, particularly in tech, focusing on personalization and heterogeneous effect estimation with CATE models.
“Quantifying Charlie Munger’s Equity Philosophy”
This paper, from CQA member Greg Forsythe, serves as a tribute to Charlie Munger, aiming to quantify his equity philosophy. It translates Munger's qualitative principles into quantifiable stock selection criteria, identifying factors like Gross Profitability and Buyout Valuation. Combining these factors yields a strategy resembling Munger's approach, demonstrating that seeking "wonderful businesses at fair prices" can be replicated using quantitative analytics.

As a reminder, we encourage all CQA members who have academic contributions to share. If you have a working or published paper you would like to feature, we offer a platform to showcase your research and insights.
Upcoming Events
Join CQA-SQA Trading Seminar
New York City - June 10
BlackRock Offices

Academic Review Session
Virtual - July 11
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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