Quant Investment Jun10

CFAA Successfully Hosted “Quantitative Equity Investment” Panel Discussion

On Tuesday, June 22nd, 2010, Chinese Finance Association of America successfully hosted the “Understanding Quantitative Equity Investment” Panel Discussion at the Union League Club of Chicago. Three seasoned Quantitative Equity Investment professionals — Wei Li from Thomas White Asset Management, Jiayu Li from UBS O’Connor, and Kai Liu from Chicago Equity Partners — shared their experience with the attendees. More than fifty people, including financial industry professionals and students, listened to the panel discussion.

The panel started with an introduction of the panelists by CFAA President, Vivian Lin. Then the panelists discussed several pre-defined topics. The first topic was the conceptual framework of quantitative equity investment. The panelists shared similar views on Multi-Factor models, Risk Management and Mean-Variance Analysis, and expressed different opinions on Market Efficiency and Investment Horizon. They also discussed the recent financial crisis and its impact on their strategies and operations. The second topic was investment process. The panelists described their daily routines and conceptual operation process. Contrary to the belief of some of the audience, the daily work of the investment professionals involves less of the exciting model building, and more of many detailed tasks, including data processing, back testing, trade execution, post-trade analysis, performance attribution analysis and risk analysis. The third topic was career development. The panelists explained the qualities and qualifications they are looking for in potential candidates. On the “hard” skill side, they mentioned knowledge preparation (CFA and academic degrees), past working experience, and quantitative and analytical skills (including programming skills, statistical skills and familiarity with financial data). On the “soft” skill side, they emphasized the importance of personality, team work, problem-solving skills, attention-to-detail and motivation.

In the Q&A session, the audience raised many detailed questions regarding the investment process, the importance of Alpha/Risk model, special consideration for small universe, etc. The discussion was very interactive and informative. Many attendees prepared questions, but only several had the chance to raise them due to time constraints. The entire panel discussion received very positive feedback and strong interest from the attendees.