Event

Past Events

49th CARF Special Seminar

Date & Time: October 5 of 2010(Tuesday) 17:30-19:00
Location: Classroom #1, B1F of the main Economics Building

Speaker: Jason MacQueen
Co-founder and Managing Director, R-Squared Risk Management
Chairman of the London Quant Group

Topic:
Speech Title: To Optimize or Not to Optimise, that is the Question?

Speaker's Profile:
In 1980 Jason MacQueen founded QUANTEC, which was the first firm to develop risk models for equity markets outside the USA, and which ultimately built risk models covering all of the developed and most of the emerging markets.

In 1984 QUANTEC launched the first global asset allocation model, which included currency hedging overlays and the first use of reverse optimisation for efficient portfolio rebalancing. Jason also pioneered the development and use of multi-factor stock selection models in both the U.S.A. and Japan.

In the late 1990s he helped to develop the first truly global risk model and a global stock selection model, both incorporating global common factors.

In 1997 Alpha Strategies was set up to offer bespoke quantitative investment consulting services, which included the development of a statistical risk model-based technique for the American Stock Exchange to enable them to offer Exchange Traded Funds (ETFs) on Actively-managed Mutual Funds without knowing the underlying holdings.

QUANTEC was sold to Thomson Financial in February 2001, and after consulting to them for two years, he co-founded R-Squared Risk Management in 2003 to develop Customised Hybrid Risk Models and a Portfolio Risk Management system for institutional investors to enable them to manage their portfolio risk more efficiently. He has also developed a Risk Management Overlay system which can be used to manage and eliminate the unwanted risks in actively-managed funds in order to optimise the portfolio return-risk trade-off.

Since founding QUANTEC in 1980 Jason has developed the theoretical framework of Markowitz and his successors into a practical set of tools for institutional fund managers.

He was educated at Oxford and London Universities, where he read Mathematics and Theoretical Physics. He was a Visiting Professor at Tokyo University fs Center for Advanced Research in Finance in 2006, and is an Honorary Lecturer in Accounting and Finance at Lancaster University. He is also Chairman of the London Quant Group, a not-for-profit organisation established in 2007 to arrange Seminars on the practical application of quantitative investment technology.