SQA Fall 2022 Half-Day Seminar

Quantitative Approaches in Private Equity

October 26^th, 2022 

Welcome and networking begins at 1 PM, program begins at 1:20 PM

About the Event

Private Equity’s role in portfolios has exploded over the past twenty years, becoming a core allocation in both institutional and individual’s asset allocations. Over this period, PE has also remained one of the few investment disciplines largely beyond the reach of sophisticated quantitative methods. That promises to change as PE investors search for ways to add value and construct robust portfolios.  We will explore several topics in private equity, including:

• Analytical challenges
• Relation to public equities and the question of replicating PE returns with public equities
• Portfolio management in private equity

Agenda 

Welcome and networking  (1:00 - 1:20)

Intro to Half Day  (1:20 - 1:30)
Christos Koutsoyannis                                      President, SQA and CIO, Atlas Ridge Capital   

 
Private Equity Framework and Analytical Challenges  (1:30 - 2:10)
Dan Murphy                                                      MD Goldman Sachs              
 
Portfolio Management in Private Equity  (2:10 - 2:50)
Greg Brown                                                       UNC Distinguished Professor of Finance, Sara Graham Kenan Distinguished Scholar and Executive Director of the Frank Hawkins Kenan Institute of Private Enterprise, UNC
 
Public and Private Equity: Different or Same?  (2:50 - 3:30)
Alexander Rudin                                              Head of Multi-Asset and Fixed Income Research, State Street Global Advisors
 
Coffee and Networking  (3:30 - 4:00)
 
Replicating Private Equity Characteristics Through Public Markets  (4:00 - 4:40)
Amit Sinha                                                           Managing Director, Head of Multi Asset Design, Voya Investment Management
Justin Montminy                                                   Vice President, Quantitative Analyst, Voya Investment Management
 
Future of Quant in Private Markets: Panel  (4:40 - 5:20)         
Bingxu Chen                                                          Head of PE Research, Venn by Two Sigma Venn
Charlie Flanagan                                                   Head of Data Science, BAM Elevate, Balyasny Asset Management
 
Networking Reception  (5:20 - 7:00)

Speakers will include:

Greg Brown, Executive Director, Kenan Institute of Private Enterprise; Sarah Graham Kenan Distinguished Professor of Finance, UNC Kenan-Flagler Business School

 In addition to his leadership as executive director of the institute, Greg is also the founder and research director of the Institute for Private Capital, an institute-affiliated research center.

Greg’s research focuses on financial risk and the use of financial derivative contracts as risk management tools. He also studies private investment strategies such as hedge funds and private equity. His research has been published in leading academic and practitioner finance journals, including The Journal of Finance, The Journal of Financial Economics, The Review of Financial Studies, The Journal of Derivatives, Financial Analyst Journal and RISK.

Greg received his doctorate in finance from the University of Texas at Austin and graduated cum laude from Duke University with a bachelor’s degree in physics and economics.

Bingxu Chen, Quantitative Research Scientist/Engineer, Venn by Two Sigma

Bingxu Chen is the Head of Research for the Venn platform by Two Sigma. As part of his responsibilities, Mr. Chen steers the research and development of quantitative solutions for multi-asset portfolio risk and investment evaluation by institutional investors. Prior to joining Two Sigma, Mr. Chen worked at BlackRock, where he led research on Aladdin’s risk models for alternative asset classes. Mr. Chen has published in journals for both academic and practitioners, such as the Journal of Finance and Journal of Portfolio Management.

Bingxu earned a PhD in finance from Columbia Business School.

Justin Montminy, CFA

Quantitative Analyst

Years of investment experience: 12; Years with firm: 8

Justin Montminy is a quantitative analyst on the global quantitative equity team at Voya Investment Management. Prior to joining Voya, he was a treasury associate with Citadel LLC, focusing on repo financing and cash management. Justin earned an MBA in finance from New York University Stern School of Business and a BS in finance from the University of Illinois at Urbana-Champaign. He is a CFA® Charterholder.

Dan Murphy

Head of Alternative Portfolio Solutions, Goldman Sachs Asset Management

 Dan is a managing director leading the portfolio solutions team in the firmwide Alternatives Capital Markets and Strategy (ACMS) Group, which oversees institutional capital markets, capital raising and client strategy for alternative investments. 

 Prior to the formation of the ACMS Group in 2019, Dan led the portfolio research efforts within the Alternative Investments & Manager Selection Group, focusing on developing risk management, performance analysis and portfolio construction techniques for private investments. He has written papers on several topics including risk management in private equity, private markets portfolio contruction, a quantitative framework for analyzing private asset allocations and performance analysis in illiquid assets. His work has been published in The Journal of Private Equity as well as several alternatives industry publications. Dan joined Goldman Sachs as an analyst in 2001 and was named managing director in 2017. He earned a BS in Physics and Economics from the California Institute of Technology.

Alexander Rudin, Ph.D.

Managing Director

Global Head of Multi-Asset and Fixed Income Research at State Street Global Advisors

 Alex leads quantitative research efforts across SSGA’s Multi-Asset (“Investment Solutions Group” or “ISG”) and Fixed Income Cash and Currency (“FICC”) business lines.

 Within ISG, Alex drives quantitative research agenda in support of tactical and strategic asset allocation processes, portfolio construction analytics, target volatility models, and the target date fund franchise. Within FICC, Alex oversees quantitative research effort for enhanced indexing, systematic credit, ETF management, and top-down active fixed income process. In addition, Alex works with the broader ISG and FICC business teams to help bring new ideas, products, and thought leadership to our clients.

 Alex joined State Street Global Advisors in September 2014. Before joining ISG in 2018 to head up its research effort, Alex was a Global Head of Liquid Alternative Investments at SSGA. Alex holds a Ph.D. degree from Theoretical Physics, has 24 years of industry experience in quantitative finance and alternative investments, and is an author or co-author of more than 40 articles in academic journals in the areas of theoretical physics and finance.

 Amit Sinha

Managing Director, Head of Multi-Asset Design

Years of investment experience: 22; Years with firm: 4

Amit Sinha is the head of multi-asset design for Multi-Asset Strategies and Solutions (MASS) at Voya Investment Management, responsible for developing customized investment solutions tailored to address the needs of clients. Prior to joining Voya, Amit founded Focus262, a consulting firm serving the needs of institutional investors. Prior to that, he was a portfolio manager for multi-asset and liability driven strategies at Pacific Life, with responsibilities across derivatives trading, quantitative investing and client solutions for approximately $20 billion of client assets. He

began his career at J.P. Morgan, where he last served as executive director, portfolio manager and co-founder of the firm’s pension advisory business that was acquired by Pacific Life. Amit earned a BA in business and systems modeling from Franklin and Marshall College.

Charlie joined BAM Elevate in May 2022 as Head of Data Science. Prior to joining, he was at Google where he was the Data Science Lead for Google Duplex. Charlie also was an instructor at Stanford University teaching Machine Learning for Business with Python. Charlie holds a Bachelors Degree from the Galway-Mayo Institute of Technology, a Masters Degree in Software Engineering from Harvard University and an MBA from Columbia Business School.

Pricing:

• Current member: $50

• Non-member: $100

• Academics and Students: $25

Register Here

We are excited for the future of SQA and value your membership. Please do not hesitate to contact us at [email protected] or call 518-694-3157 if you have any questions or complications. 

Best Wishes,

SQA Board of Directors

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