As a kickoff to fall 2017, we cordially invite you to attend the following FRE Lecture Series.
Our first invited guest is Sid Browne who will present a lecture on the following topic:
Quantitative Investment Strategies: Systematic Approaches to Risk Premia Extraction, Management and Allocation
After a brief review of the genesis of the current exploding interest in systematic strategies, we provide an overview of the field with a special emphasis on developing and constructing multi-asset multi-style portfolios of systematic strategies. We also discuss some open problems and considerations towards addressing them.
Sid Browne was a Managing Director at Credit Suisse where he served as Head of Quantitative Investment Strategy Research and Portfolio Solutions. There, he was responsible for heading the research and development of systematic and quantitative strategies across all asset classes as well as initiating and leading the institutional systematic portfolio solutions and Risk Premia efforts. Previously, he was in Credit Suisse Asset Management as Chief Investment Officer and Global Head of Research for the Systematic Liquid Alternative Trading Strategies group, and the lead Portfolio Manager of the Liquid Alternatives funds. Previous positions also include Brevan Howard Asset Management where he was Head of Quantitative and Systematic Strategies from 2006-2009, and before that at Goldman Sachs, where he was Head of Quantitative Strategies Research and Risk across GSAM alternative assets, and before that Head of Quantitative Modeling in the firmwide risk group. Before joining Goldman Sachs, he was in academia for 10 years at Columbia University, as a tenured full Professor in the Graduate School of Business. He has published numerous academic and practitioner articles on quantitative methods and analytic portfolio theory, and holds 4 patents in the areas of volatility modeling, portfolio and risk management (assigned to Goldman Sachs and Co.)