SQA and CFA Society of New York: 6^th Annual Data Science in Finance Conference: Theory to Application

January 12, 8:30 AM - 6:00 PM

Location: CFA NY

1540 Broadway #1010, New York, NY 10036

Pricing:

Members: $199

Non-Members: $299

We are thrilled to bring you the sixth installation of our popular Annual Data Science conference. The theme this year will look at applications of data science across many different asset classes and industries. Join us to hear from senior leaders from both academia and industry present the latest, cutting-edge research and techniques within this exciting field.

Speakers:

David Turkington

David Turkington is Senior Managing Director and Head of State Street Associates, State Street Global Markets’ decades-long partnership with renowned academics that produces innovative research on markets and investment strategy. David is a frequent presenter at industry conferences, has published more than 30 research articles in a range of journals, and currently serves on the editorial board of the Journal of Alternative Investments. He is the co-author of three books including “Asset Allocation: From Theory to Practice and Beyond” and “Prediction Revisited: The Importance of Observation.” His published research has received the 2010 Graham and Dodd Scroll Award, five Bernstein-Fabozzi/Jacobs-Levy Outstanding Article Awards, the 2013 Peter L. Bernstein Award for best paper in an Institutional Investor journal, and the 2021 Roger F. Murray First Prize for outstanding research presented at the Institute for Quantitative Research in Finance (Q Group) seminars. David graduated summa cum laude from Tufts University with a BA in mathematics and quantitative economics, and he holds the CFA designation.

George D. Mussalli, CFA

Chief Investment Officer, Equity Investments

Mr. Mussalli is the Head of Equity Research and Chief Investment Officer of Equity Investments at PanAgora. He is responsible for the oversight of the firm’s Dynamic and Stock Selector Equity strategies, as well as the Equity Trading & Implementation, Data Science, and Portfolio Strategy teams. He is also a member of the firm’s Investment, Operating, Risk, Directors’ and Sustainability Committees.

As the Chief Investment Officer of Equity Investments, Mr. Mussalli directs innovative equity research used in the development of models implemented in PanAgora’s Equity strategies. Mr. Mussalli’s current focus is centered on combining fundamental and quant investing using big data. As a leader in the field, he was appointed to the Editorial Board for The Journal of Financial Data Science and the Journal of Impact and ESG Investing.  Mr. Mussalli also serves on the MIT Sloan Finance Group Advisory Board.

 Prior to becoming the Chief Investment Officer of Equity Investments, Mr. Mussalli served as Head of PanAgora’s Stock Selector strategies. His work focused on combining fundamental insights with sophisticated quantitative techniques to develop proprietary models designed to analyze companies across many dimensions. In addition to overseeing the management of the firm’s Stock Selector strategies, he contributed significantly to the proprietary pool of Equity research leveraged across the entire firm during his tenure.

 Before joining PanAgora, he was a Portfolio Manager on the Putnam Investments Structured Equity team, where he was responsible for Structured Equity portfolios. He contributed to quantitative research and analysis that supported all Equity strategies, including International and Global strategies.

 Prior to joining Putnam, Mr. Mussalli worked as a Senior Investment Analyst at John Hancock Funds.

Education:

Sloan School of Management, Massachusetts Institute of Technology, M.B.A.

Tufts University, B.S.

Bryan Kelly 

Bryan Kelly is Professor of Finance at the Yale School of Management, a Research Fellow at the National Bureau of Economic Research, Associate Director of SOM’s International Center for Finance, and is the head of machine learning at AQR Capital Management. Professor Kelly’s primary research fields are asset pricing, machine learning, and financial econometrics. He is interested in issues related to expected return, volatility, tail risk, and correlation modeling in financial markets; financial sector systemic risk; financial intermediation; and financial networks.  He has served as co-editor of the Journal of Financial Econometrics and associate editor of Journal of Finance and Journal of Financial Economics. Before joining Yale, Kelly was a tenured professor of finance at the University of Chicago Booth School of Business.  He earned an AB in economics from University of Chicago, MA in economics from University of California San Diego, and a PhD and MPhil in finance from New York University’s Stern School of Business. Kelly worked in investment banking at Morgan Stanley prior to his PhD.

Deepika (Dee) Sharma, Director, is the Global Head of Manager Selection for the Multi-Manager Platform in BlackRock's Multi-Asset Strategies & Solutions (MASS) and will focus on generating alpha by combining managers. The Manager Research & Selection pillar is part of the broader Multi-Manager Platform which encompasses Manager Research & Selection (identifying and combining managers to generate alpha), Manager Implementation (onboarding and changing managers in a portfolio), and Relationship Management (building strategic partnerships with managers).

The Multi-Asset Strategies & Solutions (MASS) team is the investment group at the heart of BlackRock's portfolio construction, asset allocation, and active management ecosystem. MASS draws on the full toolkit of BlackRock's index, factor, and alpha-seeking investment capabilities to deliver precise investment outcomes and cutting-edge alpha insights. MASS constructs active asset allocation strategies and whole portfolio solutions across a wide spectrum of commingled funds, separate accounts, model portfolios, and outsourcing solutions in the wealth and institutional channels.

Deepika has spent over 14 years in portfolio management and research roles with a focus on multi-asset investing, with publications in the Journal of Investing and Beta Investment Strategies. Most recently, Dee led Quantitative Manager Research to bring a systematic approach to screen, evaluate and select managers. In addition, she was the Head of Global Manager Research for Model Portfolios, focused on generating manager selection alpha. Previously, Dee led product research focused on factors and fixed income within US ETF & Index Investments (EII) business and was responsible for executing on product opportunities using proprietary research.

Prior to joining BlackRock, she was a Portfolio Manager and Director of Investment Research at Astor Investment Management, a $2bn asset management firm, where she built a multi-alternative strategy awarded with Refinitiv Lipper awards for outstanding performance. She previously worked within the Fixed Income Proprietary Trading group at Nomura and began her career as an analyst on the structured credit desk at Lehman Brothers.

Deepika currently serves as Vice Chair of the Board of Directors at CFA Society New York, the largest of the 142+ societies that comprise CFA Institute worldwide with over 10,000 members. She is also a member of the Bretton Woods Committee where she contributes research aimed at policymakers and multilateral institutions. Deepika holds a Masters in International Finance at Columbia University, where she was a teaching assistant to Federal Reserve Vice-Chair Richard Clarida.

Slawek Smyl is a Quantitative Engineer at Meta Technologies working in the area of time series forecasting, primarily with neural networks. Mr. Smyl has ranked highly in forecasting competition: he won the Computational Intelligence in Forecasting International Time Series Competition 2016, got a third place in the Global Energy Forecasting Competition in 2017, and won the M4 Forecasting Competition in 2018. 

He received M.Sc. degree in Physics from Jagiellonian University, Poland, and the M.Eng. degree in Information Technology from RMIT University, Australia.

Jules H. van Binsbergen

Jules van Binsbergen is a corporate finance expert who specializes in issues related to asset pricing, institutional investors, and investments. Professor van Binsbergen analyzes a range of topics arising in mutual funds and pension plans, as well as asset allocation; risk evaluation; capital structure; dividend pricing; environmental, social, and governance (ESG) investing; and determinants of the cost of debt.

In his recent research, Professor van Binsbergen measured the organization, skill, and performance of asset managers in the mutual fund industry. He has published several articles measuring the skill of active managers and appropriate benchmarks for performance comparison. He has collaborated on machine learning models that construct a statistically optimal benchmark for firms’ earnings forecasts. In addition, Professor van Binsbergen has analyzed the effectiveness of monetary policy, discount rates, and stock return predictability.

Professor van Binsbergen has published award-winning articles in leading academic journals, such as the Journal of Finance, the Journal of Financial Economics, the American Economic Review, the Review of Financial Studies, and the Journal of Pension Economics and Finance. He has coauthored book chapters on asset pricing and liability, the impact of regulations on pension plans, and decision-making in investment management.

Professor van Binsbergen is an associate editor at the Journal of Finance and a former Associate Editor at the Journal of Financial Economics. He is a former editor of the Review of Finance. He also serves as a research associate at the National Bureau of Economic Research (NBER) and a research fellow at the U.K.’s Centre for Economic Policy Research (CEPR).

For more than a decade, Professor van Binsbergen has taught courses in corporate finance, econometrics, and financial markets. He has received multiple teaching honors, including successive recognitions for excellence and rigor in teaching the Wharton School’s M.B.A. core curriculum.

Before joining the Wharton School, Professor van Binsbergen served on the faculty at Stanford’s Graduate School of Business, and taught at Northwestern University’s Kellogg School of Management.

Agenda

8:30 AM | REGISTRATION & CHECK-IN

9:00 AM | “Summary, Counterfactual Forecasting and M6 Competition”

Slawek Smyl, Quantitative Engineer at Meta

10:00 AM | “The Virtue of Complexity in Return Prediction”

Bryan Kelly, Professor of Finance at Yale, and the head of machine learning at AQR

11:00 AM | BREAK

11:15 AM | “Inflation Hedging: A Dynamic Approach Using Online Prices”

David Turkington, Head of State Street Associates

12:15 PM | LUNCH

1:00 PM | “Emerging Biotech: The Wild West of Public Equity”

George D. Mussalli, Head of Equity Research and Chief Investment Officer at Panagora

2:00 PM | BREAK

2:15 PM | Panel: “Data Science in Asset Management: Building a firm for the future”

Moderator: Deepika (Dee) Sharma, Global Head of Manager Selection at Blackrock

Panel: Bryan Kelly, George D. Mussalli, David Turkington

3:00 PM |  “(Almost) 200 Years of News-Based Economic Sentiment”

Jules H. van Binsbergen, The Nippon Life Professor in Finance, Professor of Finance, Wharton

4:00 PM | NETWORKING & CATERED RECEPTION

4:45 PM | Event Concludes

Click Here to Download a Copy of The Agenda

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