Market Turbulence, Regime Shifts, and Dynamic Portfolio Construction

GGU finance club presents a joint meeting with the Chartered Financial Analysts Society of San Francisco and the Global Association of Risk Professionals.

Date: December 2nd, 2010
Venue: Golden Gate University, 536 Mission Street, San Francisco, CA 94105
Agenda: 11:30am to 12:30pm – Networking and Lunch in Room 4200
12:30pm – 2pm: Risk Management Session in Room 2203

As of 11/15/2010, there are only 10 seats available. Please e-mail GGU Finance Club to register.

Synopsis:
Most risk management and asset allocation models are based on assumptions about single return distributions.  But there are really multiple market regimes.  There are calm, growth-oriented regimes and regimes predicated on panic and turbulence.  We introduce a statistically derived measure of market turbulence that captures both extreme returns and correlation shocks.  We show how to use this measure to improve risk measurement.  We also show how to enhance performance by dynamically reallocating investments in anticipation of regime shifts.

Chair:
Satish Swamy, CFA


Speakers:

Will Kinlaw, CFA
Managing Director
Head of Portfolio and Risk Management Group
State Street Global Markets
Will oversees the Portfolio and Risk Management Group (PRMG) at State Street Associates, the independent investment research arm of State Street Global Markets.  The PRMG is a pioneer in developing and applying innovative optimization techniques to enhance returns while managing tail risk and prepares customized, quantitative analyses for State Street Global Markets clients worldwide.
A frequent presenter at investment conferences in Europe, North America and in the Asia-Pacific region, Will’s articles have been published in the Journal of Asset Management and Institutional Investor’s Transition Management Guide. His specialties include risk measurement, asset allocation, currency management and quantitative investment strategy. Will joined State Street in 2000.
Will holds an M.S. in finance from the Carroll School of Management at Boston College and a B.A. in Economics from Tufts University. He has also been awarded the Chartered Financial Analyst (CFA) designation.

Hans-Christian Lüdemann, PhD
Vice President
Portfolio and Risk Management Group
State Street Global Markets
Hans is a Vice President in the Portfolio and Risk Management Group at State Street Associates – the research arm of State Street Global Markets.  Since joining in 2006, he has contributed to custom analysis projects for institutional asset owners as well as asset managers, in both general portfolio theory and optimization questions.  Hans has developed quantitative models for stock selection, manager assessment, and product capacity estimation.
Hans holds a Ph.D. in Physics from the University of Münster in Germany and an M.B.A. from Babson College. Before joining State Street Associates, he held positions in biomedical research and custom instrumentation development at Harvard Medical School and at Millennium Pharmaceuticals in Cambridge, MA. Hans has published a number of scientific papers in Physical Chemistry and Life Sciences.