August 2007 Quantitative Equity Turbulence: An Unknown Unknown Becomes A Known Unknown
<-- Return to the list
Date: 09-15-2008
Start Time:
6:00pm
End Time: 7:30pm
Speaker: Brian Hayes, LBAIM Investment Team
Location: 412 Schapiro CEPSR, Davis Auditorium
ABSTRACT
Hedge funds that use quantitative models to buy and sell stocks (quant equity funds) endured a turbulent August 2007, with many funds experiencing large losses. We study the holdings of a set of quant equity funds to gain insight into this event. We also provide an update on quant equity holdings and performance in the year following August 2007.
BIO
Dr. Hayes is the Manager of Quantitative Research and the Co-Head of Quantitative and Directional Strategy Research on the LBAIM Investment Team. From 2002 to 2004, he worked at Kingdon Capital Management where he served as both quantitative analyst and fundamental analyst. Between 2000 and 2002, he was an Associate in the Equity Portfolio Strategy group at Sanford C. Bernstein. Before entering the financial services field, Dr. Hayes was an Assistant Professor of Mathematics at Stevens Institute of Technology, having previously held postdoctoral positions at Duke University and the University of Southern California. He received a BS in physics from Caltech in 1989 and a PhD in mathematics from the Courant Institute at NYU in 1994.
His thesis was on nonlinear hyperbolic partial differential equations.