DOCSLIB.ORG

Physicists Graduate from Wall Street Ver the Past Decade, the Number of Fall in Value

Total Page：16

File Type：pdf, Size：1020Kb

Download full-text PDF Read full-text
Physicists Graduate from Wall Street Ver the Past Decade, the Number of Fall in Value N E W S by Jennifer Ouellette Physicists Graduate from Wall Street ver the past decade, the number of fall in value. methods for predicting the stock market. Ph.D. physicists employed in the finan- Hence, “risk management is more techni- Then, in the 1960s and early 1970s, Benoit cial community has increased dramatically. cal than ever,” says Neil Chriss, a vice presi- Mandelbrot—now widely known as the Once considered something of an anomaly dent and portfolio manager at Goldman “father of fractals” and an IBM Fellow Emeri- on Wall Street and in banking, physicists— Sachs Asset Management, who heads a fledg- tus at IBM’s T. J. Watson Research Center— and their fellow Ph.D.’s in mathematics, ling master’s program in financial mathemat- proposed a model of price variations that computer science, and engineering—have ics at New York University. “The need to eventually evolved into the concept of frac- become a critical element to successful control risk has become a computationally tional Brownian motion in multifractal time. investment strategies, gradually replacing intensive problem, involving the ability to Among other conclusions, Mandelbrot, who many employees who lack strong statistical price many different assets quickly.” worked at IBM from 1958 to 1993, demon- and analytical backgrounds. Today, quanti- Not surprisingly, the problem-solving strated that wealth acquired on the stock tative methods are commonplace on Wall skills of physicists are useful in this capacity, market is typically acquired during a small Street, despite concerns about their predic- as are their abilities to view a problem in a number of highly favorable periods—a find- tive accuracy, and the proliferation of Ph.D. broader context, separate small effects from ing markedly different from the Brownian physicists in financial activities has made larger ones, and translate intuition about model, which predicts small gains consis- competition for these lucrative positions how something works into formal models. tently over time. more intensive than ever. “Bond traders will try to persuade you that A major turning point occurred in 1973, “Investing is increasingly becoming domi- there’s an emotional aspect that must be when economists Fischer Black and Myron nated by physicists, mathematicians, electri- understood behind certain bonds, but that Scholes devised an equation to calculate the cal engineers, and programmers,” says Adri- really isn’t the case,” says Cooper. “A bond value of options in simple derivative deal- an Cooper, founder and president of Wall is a mathematical instrument which per- ings, best described as an option to buy a Street Analytics (Palo Alto, CA), where forms according to precise characteristics, stock in the future at a specified price. (The roughly one-third of the employees are Ph.D. and in order to analyze it properly, you need term derivative is used because the value of physicists. Peter Carr, who heads the Equity people capable of understanding the math the contract derives from the value of the Derivatives Research Group at Bank of Amer- behind those characteristics.” underlying stock.) The Black-Scholes ica Securities (New York, NY), recalls that all Although physicists have helped foster the approach was later extended and applied to of his interviewers for his first position at widespread use of quantitative methods in more complex derivatives, particularly inter- Morgan Stanley were physicists. the financial community, the revolution est rate derivatives. Today, more than $14 Physicists in finance generally fall into two actually began with fundamental develop- trillion is invested in derivative securities, categories: those attempting to predict the ments in the mathematics of finance, dating three times as much as is invested in the stock market to achieve superior return, back to 1900, when Louis Bachelier intro- ordinary stocks and bonds from which they and—more commonly—those who duced a Brownian motion, or “random are derived, and the quantitative analysts use quantitative methods to walk,” model of price variations. In trading these staggering sums include many assess and manage investment 1953, mathematician Harry Ph.D. physicists. risk, a group known as quantita- Markowitz introduced his “Without the problem-solving skills of tive analysts, or “quants.” Invest- Nobel Prize-winning physicists, there would be a great employ- ment banks are highly leveraged work on mean-vari- ment shortage on Wall Street,” says Steven institutions, with book assets that ance analysis, which Shreve, a professor of mathematics at often greatly exceed the value of the gave birth to the Carnegie-Mellon University, because finan- firm. Their goal is to maintain a neutral use of quanti- cial institutions now use quantitative meth- position—a balance between gainers and t a t i v e ods to hedge risk in losers—as various assets in a portfolio rise and 9 The Industrial Physicist DECEMBER 1999 © American Institute of Physics N e w s trading derivative securities and other finan- els is to detect the mispricing of an asset, cial instruments. “Physicists didn’t create and make a trade based on [that],” says Nor- that fact, but they helped build the human man Packard, one of PC’s founders. resource needs of the banks.” Along with fellow high-energy physicist The demand for financial-modeling sys- Doyne Farmer, Packard developed a com- tems has driven the formation of numerous puterized system for beating the roulette start-up companies, many founded by Ph.D. wheel in the 1970s based on the then- physicists drawn to the industry by the tech- emerging field of chaos theory. They subse- nical challenges and potential monetary quently sold it to other entrepreneurs for fur- rewards. (Base salaries on Wall Street can be ther development. The pair then concluded as much as three times that of traditional that financial markets offered another exam- physics positions.) Cooper earned his Ph.D. ple of a complex system that might be in theoretical physics from Stanford Univer- amenable to predictive technology. They sity, but found himself comparing the career founded PC in 1991, and within a year, the satisfaction and financial rewards of Ph.D.’s company had signed an exclusive agreement his age who had followed the traditional to provide predictive signals and automated career path with those who had gone into trading systems to O’Connor and Associates finance. “It was pretty clear which direction (now part of Swiss Bank), a highly successful was more appealing,” he says. Cooper went Chicago-based trading firm that had made on to found Wall Street Analytics, which millions in derivatives trading using the This fractal develops software for modeling financial sys- Black-Scholes equation. design, known as tems for mortgage-pool investments. The skeptics, however, still remain uncon- “Leather,” is wildly com- Nigel Goldenfeld, professor of physics at vinced. “If they could do it, they wouldn’t be the University of Illinois, Urbana-Cham- wasting their time with a company. They plicated, yet B. B. Mandelbrot paign (UIUC), earned his Ph.D. from the would just be sitting there buying and selling obtained it by iterating a very University of Cambridge in England and spe- IBM share options,” Cooper says. simple “dynamical” rule. Financial cializes in statistical, theoretical, and compu- Prevailing attitudes among academics tational physics. His first Ph.D. student at toward physicists working on Wall Street data are also wildly complicated, UIUC ended up working for Goldman have changed in the last decade. Emanuel yet many of their features are Sachs, which sparked Goldenfeld’s interest Derman, who earned his Ph.D. in physics reproduced by Mandelbrot’s in the physics of finance. Convinced he from Columbia University in the 1970s, is could improve on the calculation techniques now a managing director at Goldman Sachs multifractal model of price used, he founded NumeriX in 1996 with fel- and head of its Quantitative Strategies variation, which is also low physicists Alexander Sokol and Mitchell Group. He finds that the financial world is of surprising simplicity. Feigenbaum and entrepreneur Michael no longer viewed as a second-rate “alterna- Goodkin. NumeriX is a New York-based ven- tive” career for physicists unable to obtain ture that markets fast numerical software positions in academia and industry. Instead, programming isn’t enough to land a job on products for derivative-risk management. finance now is a highly desirable first choice, Wall Street. New Ph.D. physicists also need a Physicists attempting to predict the stock as evidenced by the number of tenured pro- basic understanding of options, pricing theo- market look for patterns in the data of stock fessors who have left their academic posi- ry, interest rate theory, and other foundations prices and foreign-exchange markets. The tions for more lucrative careers in finance. of finance to be considered. “The stakes are Prediction Company (PC), based in Santa Ironically, physicists interested in pursu- higher than they’ve ever been in terms of the Fe, New Mexico, is perhaps the best-known ing careers in finance today may have become level of knowledge expected for entry-level company focusing on this sector of finance. victims of their predecessors’ success. “It [quant] positions,” says Chriss. The company develops advanced forecasting used to be a gravy train for physicists and This increased competitiveness has technologies for prediction and computer- other mathematically oriented people, but spurred the formation of numerous master’s ized trading of financial instruments, based now the job market has become saturated,” degree programs in computational finance on the assumption that the stock market is says Carr. Few financial houses are hiring (also called financial engineering or mathe- not completely random but has short-term additional quants, and today the ability to matics in finance) at institutions around the pockets of predictability. “Our task for mod- solve differential equations and perform basic country.
Load more

Recommended publications
  • Optimal Execution of Portfolio Transactions∗
    Optimal Execution of Portfolio Transactions¤ Robert Almgreny and Neil Chrissz December 2000 Abstract We consider the execution of portfolio transactions with the aim of minimizing a combination of volatility risk and transaction costs aris- ing from permanent and temporary market impact. For a simple lin- ear cost model, we explicitly construct the efficient frontier in the space of time-dependent liquidation strategies, which have minimum expected cost for a given level of uncertainty. We may then select op- timal strategies either by minimizing a quadratic utility function, or by minimizing Value at Risk. The latter choice leads to the concept of Liquidity-adjusted VAR, or L-VaR, that explicitly considers the best tradeoff between volatility risk and liquidation costs. ¤We thank Andrew Alford, Alix Baudin, Mark Carhart, Ray Iwanowski, and Giorgio De Santis (Goldman Sachs Asset Management), Robert Ferstenberg (ITG), Michael Weber (Merrill Lynch), Andrew Lo (Sloan School, MIT), and George Constaninides (Graduate School of Business, University of Chicago) for helpful conversations. This paper was begun while the first author was at the University of Chicago, and the second author was first at Morgan Stanley Dean Witter and then at Goldman Sachs Asset Management. yUniversity of Toronto, Departments of Mathematics and Computer Science; [email protected] zICor Brokerage and Courant Institute of Mathematical Sciences; [email protected] 1 December 2000 Almgren/Chriss: Optimal Execution 2 Contents Introduction 3 1 The Trading Model 6 1.1 The Definition of a Trading Strategy . 7 1.2 Price Dynamics . 7 1.3 Temporary market impact . 8 1.4 Capture and cost of trading trajectories .
    [Show full text]
  • Board of Retirement Regular Meeting Sacramento County Employees’ Retirement System
    Board of Retirement Regular Meeting Sacramento County Employees’ Retirement System Agenda Item 6 MEETING DATE: September 20, 2017 SUBJECT: Travel Reimbursement for Participation at Global Absolute Return Congress (October 23-25, 2017 in Boston, Massachusetts) Deliberation Receive SUBMITTED FOR: X Consent and Action and File RECOMMENDATION Staff recommends that the Board accept the travel and lodging reimbursement offered by Global Absolute Return Congress (‘Global ARC’) for SCERS’ Chief Investment Officer Steve Davis to participate on three discussion panels at this conference. PURPOSE To inform the Board on upcoming out-of-state travel and obtain advance approval to accept the travel and lodging reimbursement offered by Global ARC for Steve Davis’ participation in compliance with Government Code section 89500. BACKGROUND Sacramento County Employees’ Retirement System (‘SCERS’) has received an invitation to have one of its employees participate on three panels at the Global ARC Congress, which will be held in Boston, Massachusetts, from October 23 through October 25, 2017. Global ARC has requested that Steve Davis, SCERS’ Chief Investment Officer, be the designated employee. Included with the invitation was the offer from Global ARC to reimburse SCERS for admission, travel expenses, and lodging for three nights (October 22, 23 and 24) for the conference (See Exhibit A). Staff recommends that your Board approve acceptance of the gift, permit Mr. Davis to use the gift and publicly report its use in the Minutes for this meeting. DISCUSSION Trustees have repeatedly been advised that they should not accept conference fees or travel payments to attend industry events and conferences because such offers fall under the definition of a gift as that term is defined in the ethics chapter of the Public Reform Act, California Government Code §89500 et seq.
    [Show full text]
  • HOW I BECAME a QUANT ? Book Review
    HOW I BECAME A QUANT ? Book Review RK December 18, 2011 Abstract This document comprises a brief summary of 25 quant stories mentioned in this book. 1 How I became a Quant ? Contents 1 David Leinweber 3 2 Ronald N. Kahn 3 3 Gregg E.Berman 4 4 Evan Schulman 5 5 Leslie Rahl 6 6 Thomas Wilson 7 7 Neil Chriss 8 8 Peter Carr 10 9 Mark Anson 10 10 Bjorn Flesaker 11 11 Peter Jackel 12 12 Andrew Davidson 13 13 Andrew B. Weisman 14 14 Clifford S. Asness 15 15 Stephen Kealhofer 15 16 Julian Shaw 16 17 Steve Allen 18 18 Mark Kritzman 19 19 Bruce I. Jacobs and Kenneth N. Levy 20 20 Tanya Styblo Beder 21 21 Allan Malz 21 22 Peter Muller 22 23 Andrew J. Sterge 22 24 John F ( Jack) Marshall 23 2 How I became a Quant ? 1 David Leinweber David Leinweber graduates from MIT and Harvard with a bachelors and PhD respectively. He lands up at RAND corporation to work on AI. After working many years on classified stuff, he moves to LISP machines Inc. Once the market turned harsh towards hardware firms, David moved to Inference Corporation, a software-only AI firm where he starts working on AI applied to finance. LISP, with its garbage collection mechanism is not really suited to real time financial trading applications. So, David goes on to start his own firm, Integrated Analytics where AI is used for stock picking. He launches, Market Mind, an AI based tool for equity trading. Soon after this startup success, he joins First Quadrant, a Quantitative investment management firm where his group starts managing $6 Billion.
    [Show full text]
  • Physicists Graduate from Wall Street Ver the Past Decade, the Number of Fall in Value
    NEWS by Jennifer Ouellette Physicists Graduate from Wall Street ver the past decade, the number of fall in value. methods for predicting the stock market. OOPh.D. physicists employed in the finan- Hence, “risk management is more techni- Then, in the 1960s and early 1970s, Benoit cial community has increased dramatically. cal than ever,” says Neil Chriss, a vice presi- Mandelbrot—now widely known as the Once considered something of an anomaly dent and portfolio manager at Goldman “father of fractals” and an IBM Fellow Emeri- on Wall Street and in banking, physicists— Sachs Asset Management, who heads a fledg- tus at IBM’s T. J. Watson Research Center— and their fellow Ph.D.’s in mathematics, ling master’s program in financial mathemat- proposed a model of price variations that computer science, and engineering—have ics at New York University. “The need to eventually evolved into the concept of frac- become a critical element to successful control risk has become a computationally tional Brownian motion in multifractal time. investment strategies, gradually replacing intensive problem, involving the ability to Among other conclusions, Mandelbrot, who many employees who lack strong statistical price many different assets quickly.” worked at IBM from 1958 to 1993, demon- and analytical backgrounds. Today, quanti- Not surprisingly, the problem-solving strated that wealth acquired on the stock tative methods are commonplace on Wall skills of physicists are useful in this capacity, market is typically acquired during a small Street, despite concerns about their predic- as are their abilities to view a problem in a number of highly favorable periods—a find- tive accuracy, and the proliferation of Ph.D.
    [Show full text]
  • Blue Chip Managers for the Next Decade
    TOMORROW’S TITANS Blue Chip Managers for the Next Decade IN ASSOCIATION WITH TOMORROW'S TITANS IN ASSOCIATION WITH Tomorrow's Titans: Blue Chip Managers for the 2010s In association with Ernst & Young HAMLIN LOVELL, CFA, CAIA, FRM dentifying the industry leaders of tomorrow The cosmopolitan nature of the hedge fund industry The final selection of the 40 was made solely by The matters, because allocators need constantly to means that over 20 primary nationalities were on Hedge Fund Journal. I search for new talent. Some managers among the long list with over 10 in the final 40. The limited Tomorrow’s Titans are hard closed already, but may number of women making the shortlist very simply Manager locations be accessible via secondary markets or exchange- reflects their still limited role in occupying senior The geographic distribution of the 40 reveals 17 listed vehicles. front-office positions in hedge funds. in the US, 18 in Europe and the rest in Asia and elsewhere. We have grouped the 40 by region, but Sourcing the survey within each region the 40 are ordered randomly. A broad spectrum of the investment industry contributed to the survey, often on a confidential Many emerging and frontier markets largely fall basis. Amongst allocators, we spoke to pension outside the scope of the survey, although many of funds, endowments, foundations, sovereign the managers are making significant allocations to wealth funds, funds of hedge funds, family offices, As a leading global provider of services to these markets. insurance companies, wealthy individuals, third the hedge fund industry, Ernst & Young is party marketing agents and investment consultants.
    [Show full text]
  • NOTICES of the AMS VOLUME 42, NUMBER 8 People.Qxp 5/8/98 3:47 PM Page 887
    people.qxp 5/8/98 3:47 PM Page 886 Mathematics People anybody in need; where others might slough it off, he is Franklin Institute Awards right there.” In May, the Franklin Institute presented medals to seven Chen Ning Yang of the State University of New York at individuals whose pioneering work in science, engineering, Stony Brook received the Bower Award and Prize for and education made significant contributions to under- Achievement in Science. This is the first year that this standing of the world. In addition to an awards dinner, a $250,000 award was given. The citation for the award to series of lectures and symposia highlighted the work of the Yang reads: “For the formulation of a general field theory honorees. Among those receiving awards were three who which synthesizes the physical laws of nature and provides have made important mathematical contributions. us with an understanding of the fundamental forces of the Joel L. Lebowitz of Rutgers University received the universe. As one of the conceptual masterpieces of the twen- Delmer S. Fahrney Medal “for his dynamic leadership which tieth century explaining the interaction of subatomic par- has advanced the field of statistical mechanics, and for his ticles, his theory has profoundly reshaped the development inspiring humanitarian efforts on behalf of oppressed sci- of physics and modern geometry during the last forty entists throughout the world.” Lebowitz, the George William years. This theoretical model, already ranked alongside the Hill Professor of Mathematics and Physics at Rutgers, is not works of Newton, Maxwell, and Einstein, will surely have only a renowned mathematician and physicist but also a a comparable influence on future generations.
    [Show full text]
  • In Association With
    ALI AKAY DANIELE BENATOFF JOHN BURBANK MARK CARHART TONY CHEDRAOUI NEIL CHRISS CHASE COLEMAN STEPHEN CZECH DEREK DUNN JOHN ECKERSON JEFFREY ENSLIN LOIC FERRY BRIAN FRANK CARL STEPHEN GEORGE ROB GIBBONS KAY HAIGH JOHN HO CARL HUTTENLOCHER RAY IWANOWSKI LOREN KATZOVITZ MASSI KHADJENOURI W. VIVIAN LAU BEN LEVINE GREG LIPPMAN JONATHAN MARTIN MARK MCGOLDRICK SAM MORLAND PETER MULLER MICHAEL PASCUTTI GUILLAUME RAMBOURG GERARD SATUR JENS-PETER STEIN MORGAN SZE GEORGE TAYLOR GALIA VELIMUKHAMETOVA JAIME VIESER BOAZ WEINSTEIN MICHAEL WEINSTOCK DANNY YONG JOE ZHOU ALI AKAY DANIELE BENATOFF JOHN BURBANK MARK CARHART TONY CHEDRAOUI NEIL CHRISS CHASE COLEMAN STEPHEN CZECH DEREK DUNN JOHN ECKERSON JEFFREY ENSLIN LOIC FERRY BRIAN FRANK CARL STEPHEN GEORGE ROB GIBBONS KAY HAIGH JOHN HO CARL HUTTENLOCHER RAY IWANOWSKI LOREN KATZOVITZ MASSI KHADJENOURI W. VIVIAN LAU BEN LEVINE GREG LIPPMAN JONATHAN MARTIN MARK MCGOLDRICK SAM MORLAND PETER MULLER MICHAEL PASCUTTI GUILLAUME RAMBOURG GERARD SATUR JENS-PETER STEIN MORGAN SZE GEORGE TAYLOR GALIA VELIMUKHAMETOVA JAIME VIESER BOAZ WEINSTEIN MICHAEL WEINSTOCK DANNY YONG JOE ZHOU ALI AKAY DANIELE BENATOFF JOHN BURBANK MARK CARHART TONY CHEDRAOUI NEIL CHRISS CHASE COLEMAN STEPHEN CZECH DEREK DUNN JOHN ECKERSON JEFFREY ENSLIN LOIC FERRY BRIAN FRANK CARL STEPHEN GEORGE ROB GIBBONS KAY HAIGH JOHN HO CARL HUTTENLOCHER RAY IWANOWSKI LOREN KATZOVITZ MASSI KHADJENOURI W. VIVIAN LAU BEN LEVINE GREG LIPPMAN JONATHAN MARTIN MARK MCGOLDRICK SAM MORLAND PETER MULLER MICHAEL PASCUTTI GUILLAUME RAMBOURG GERARD SATUR JENS-PETER STEIN MORGAN SZE GEORGE TAYLOR GALIA VELIMUKHAMETOVA JAIME VIESER BOAZ WEINSTEIN MICHAEL WEINSTOCK DANNY YONG JOE ZHOU ALI AKAY DANIELE BENATOFF JOHN BURBANK MARK CARHART TONY CHEDRAOUI NEIL CHRISS CHASE COLEMAN STEPHEN CZECH DEREK DUNN JOHN ECKERSON JEFFREY ENSLIN LOIC FERRY BRIAN FRANK CARL STEPHEN GEORGE ROB GIBBONS KAY HAIGH JOHN HO CARL HUTTENLOCHER RAY IWANOWSKI LOREN KATZOVITZ MASSI KHADJENOURI W.
    [Show full text]
  • Copyrighted Material
    P1: OTE/PGN P2: OTE JWPR007-Lindsey May 28, 2007 15:16 Contents Acknowledgments xiii Introduction 1 Chapter 1 David Leinweber President, Leinweber & Co. 9 A Series of Accidents 10 Grey Silver Shadow 13 Destroy before Reading 16 A Little Artificial Intelligence Goes a Long Way 18 How Do You Keep the Rats from Eating the Wires 20 COPYRIGHTEDStocks Are Stories, Bonds AreMATERIAL Mathematics 23 HAL’s Broker 26 Chapter 2 Ronald N. Kahn Global Head of Advanced Equity Strategies, Barclays Global Investors 29 Physics to Finance 30 BARRA’s First Rocket Scientist 34 v P1: OTE/PGN P2: OTE JWPR007-Lindsey May 28, 2007 15:16 vi CONTENTS Active Portfolio Management 42 Barclays Global Investors 44 The Future 46 Chapter 3 Gregg E. Berman Strategic Business Development, RiskMetrics Group 49 A Quantitative Beginning 50 Putting It to the Test 53 A Martian Summer 57 Physics on Trial 57 A Twist of Fate 59 A Point of Inflection 60 A Circuitous Route to Wall Street 61 The Last Mile 65 Chapter 4 Evan Schulman Chairman, Upstream Technologies, LLC 67 Measurement 68 Market Cycles 69 Process 69 Risk 70 And Return 71 Trading Costs 72 Informationless Trades 73 Applying it All 73 Electronic Trading 75 Lattice Trading 75 Net Exchange 76 Upstream 79 Articles 81 Chapter 5 Leslie Rahl President, Capital Market Risk Advisors 83 Growing Up in Manhattan 83 College and Graduate School 85 Nineteen Years at Citibank 88 Fifteen Years (So Far!) Running Capital Market Risk Advisors 90 P1: OTE/PGN P2: OTE JWPR007-Lindsey May 28, 2007 15:16 Contents vii Going Plural 92 The Personal Side 92 So How Did I Become a Quant? 92 Chapter 6 Thomas C.
    [Show full text]
  • 2013 Annual Report 2013
    ANNUAL REPORT 2013 ANNUAL REPORT 2013 CONTENTS 4 DIRECTOR’S INTRODUCTION 10 FACULTY AND STAFF Faculty Visiting Faculty Visiting Fellows Staff 37 PH.D. STUDENTS 39 SEMINARS AND CONFERENCES Civitas Foundation Finance Seminars Finance Ph.D. Student Workshops The Princeton Lectures in Finance Princeton Initiative: Macro, Money and Finance Eighth Cambridge-Princeton Exchange Workshop Second Measuring Risk Conference A Conference in Honor of Christopher A. Sims Second Conference of the Julis-Rabinowitz Center Third Princeton Quant Trading Conference EDHEC-Princeton Institutional Money Management Conference Second Princeton-Lausanne Workshop on Quantitative Finance 51 CERTIFICATE IN FINANCE Departmental Prizes, Honors, and Athletic Awards to UCF 2013 Students Senior Theses and Independent Projects of the Class of 2013 59 MASTER IN FINANCE Admission Requirements Statistics on the Admission Process Program Requirements Tracks Select Course Descriptions Master in Finance Placement MFin Math Camp/Boot Camp 73 ADVISORY COUNCIL AND SUPPORTERS Advisory Council Corporate Affiliates Program Gift Opportunities Acknowledgments 2012–2013 YACINE AÏT-SAHALIA Director’s Introduction hirteen years ago, we opened the doors of the old Dial Lodge to the Bendheim TCenter for Finance to fulfill the same mission we have today: to develop new courses and programs in finance that will afford exciting learning opportunities to Princeton students, and to establish a leading center for research in modern finance. Between banking and sovereign debt crises, this continues to be one of the most exciting times for research and teaching in finance. Princeton’s existing finance curriculum has been expanded and improved with the introduction of the Undergraduate Certificate in Finance in 1999 and Master in Finance in 2001.
    [Show full text]
  • Scan of Featured Article
    ARTICLE FEATURED OF SCAN 36 BLOOMBERG MARKETS FEBRUARY 2015 ARTICLE FEATURED OF SCAN FEBRUARY 2015 BLOOMBERG MARKETS 37 Mortgage funds did well in 2014 in part because fewer debtors missed payments on home loans—including the subprime borrowers whose debt hedge funds love. The collateral backing mortgage bonds performed well, and the owners of the bonds did, too. At the end of the third quarter, 18.75 percent of subprime home loans were delinquent, down from 27.2 Stamford, Connecticut–based Hildene Harvard University, the University of percent in March 2010, according to the Capital Management, vacuums up com- Pennsylvania’s Wharton School, the Uni- Mortgage Bankers Association. plex securities when others are shunning versity of Oxford, the University of Cali- Bonds backed by home loans have ral- them as toxic junk. fornia at Berkeley and the Massachusetts lied for five years, making analysts wonder So does Michael Craig-Scheckman’s Deer Institute of Technology. They trade ev- how long the good times will last. “Every- Park Road Corp. “We make money because erything—stocks, bonds, currencies, one thought mortgages were over,” says people on Wall Street make mistakes,” says commodities and insurance-linked secu- Chris Acito, chief executive officer of Gap- Craig-Scheckman, 62, whose firm is based rities such as catastrophe bonds, where stow Capital Partners in New York, which in Steamboat Springs, Colorado. their actuarial skills come in handy. Yet has $1.1 billion invested in hedge funds Six years after the 2008 debt crisis ex- it was fixed income that drove gains in thatARTICLE trade credit.
    [Show full text]
  • Where Banks Fear to Tread
    The long and the short of it www.hfmweek.com ISSUE 356 9 October 2014 PROTEST IMPACT UNSETTLES HONG KONG HEDGE FUNDS HFMWEEK MEETS Professionals have “wait and see” attitude, says one COO NEWS 03 THE SEC MOORE CAPITAL HIRES SAC’S FORMER LONDON COUNSEL AN EXCLUSIVE INTERVIEW WITH Famida Daniels joins ex-colleagues recruited earlier this year NEWS 05 TOP SEC EXAMINERS ON THE MAIN REGULATORY ISSUES FOR 13-YEAR MORGAN STANLEY VET LEADS LONDON LAUNCH HEDGE FUND MANAGERS Steven Cress wins Trium Capital’s biggest seed ticket so far NEWS 10 FEATURE 19 Ex-Hutchin Hill manager launches WHERE BANKS Decca Capital FEAR TO TREAD BlackRock executive who rose Shahraab Ahmad building to prominence defending the new London-based firm with UK’s hedge fund sector fol- former BlackRock COO lowing the financial crisis in an BY WILL WAINEWRIGHT appearance before the Treasury Select Committee. A FORMER PORTFOLIO The pair met through an inves- manager at Hutchin Hill is tor who was allocated to both starting a new hedge fund in Hutchin Hill and BlackRock. London named Decca Capital Prior to spells there as head of and has hired seasoned opera- alternatives, fundamental equi- tions specialist Doug Shaw as ty COO and head of charities, COO. Shaw worked for Chris Hohn’s HFMWeek has learned that TCI and Gartmore Investment Shahraab Ahmad, who spent Management. five years managing a liquid Decca’s senior team is com- credit strategy for the $2.5bn pleted by Razvan Frumosu, HFMWeek investigates how managers firm, plans to start trading with who will lead business devel- his new firm near the start of opment.
    [Show full text]
  • Blue Chip Managers for the Next Decade
    TOMORROW’S TITANS Blue Chip Managers for the Next Decade IN ASSOCIATION WITH TOMORROW'S TITANS IN ASSOCIATION WITH Tomorrow's Titans: Blue Chip Managers for the 2010s In association with Ernst & Young HAMLIN LOVELL, CFA, CAIA, FRM dentifying the industry leaders of tomorrow The cosmopolitan nature of the hedge fund industry The final selection of the 40 was made solely by The matters, because allocators need constantly to means that over 20 primary nationalities were on Hedge Fund Journal. I search for new talent. Some managers among the long list with over 10 in the final 40. The limited Tomorrow’s Titans are hard closed already, but may number of women making the shortlist very simply Manager locations be accessible via secondary markets or exchange- reflects their still limited role in occupying senior The geographic distribution of the 40 reveals 17 listed vehicles. front-office positions in hedge funds. in the US, 18 in Europe and the rest in Asia and elsewhere. We have grouped the 40 by region, but Sourcing the survey within each region the 40 are ordered randomly. A broad spectrum of the investment industry contributed to the survey, often on a confidential Many emerging and frontier markets largely fall basis. Amongst allocators, we spoke to pension outside the scope of the survey, although many of funds, endowments, foundations, sovereign the managers are making significant allocations to wealth funds, funds of hedge funds, family offices, As a leading global provider of services to these markets. insurance companies, wealthy individuals, third the hedge fund industry, Ernst & Young is party marketing agents and investment consultants.
    [Show full text]