Seminar Listing

SEVEN SINS OF QUANTITATIVE INVESTING 

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Friday, March 6 from 3:30 to 4:30 in Room 552; Refreshments 3:00 in Room 502
Abstract: We discuss the seven common biases in model building. We compare various data normalization techniques; address the issues of signal decay/turnover/transaction costs; illustrate the asymmetric payoff patterns and the impact of short availability; show the optimal rebalancing frequency; and compare active management via multi-factor models versus smart beta investing via factor portfolios.
Speaker: YIN LUO, MANAGING DIRECTOR AND GLOBAL HEAD OF QUANTITATIVE STRATEGY, DEUTSCHE BANK
Bio: Yin Luo is a Managing Director and Global Head of Quantitative Strategy at Deutsche BankPrior to Deutsche Bank, Yin spent over 12 years in investment banking and at a management consulting firm with various roles in quantitative research, fundamental research, portfolio management, investment banking and consulting. Yin was ranked #1 in the Institutional Investor's II-All America equity research survey in quantitative research in four consecutive years (2011-2014). Yin and the global quant strategy team were also ranked #1 in II-Europe and II-Asia surveys. Yin has a Bachelor of Economics degree from Renmin University of China, a MBA in Finance from University of Windsor, a Master of Management and Professional Accounting from University of Toronto. He is a CFA charterholder, a US CPA, a CGMA (Chartered Global Management Accountant), and a PStat (Professional Statistician).