Overview

A Chartered Market Technicians Association Singapore Chapter Event

An evening with the leading minds from the world of systematic research and trading

Technical analysis gave berth to trend trading or what academia has come to define as the momentum factor. With research continuing to advance beyond that of traditional factors (value, momentum, size), augmented by the proliferation of alternative data in the workflows of investment managers, more and more we are seeing a fusion between the once distinct fields of technical, fundamental and quantitative analysis.

The keynote speaker for this CMT Association chapter event is Andreas F. Clenow, the Chief Investment Officer of Acies Asset Management, a Zurich based investment group founded in 1995. Andreas who is no stranger to the CMT Association, having presented at the 2018 Annual Symposium in New York is the international bestselling author of three books, the latest titled “Trading Evolved: Anyone Can Build Killer Trading Strategies in Python”. Andreas’ presentation addressing the question “Is it possible to build a profitable trading model, using no historical data, no fundamental data, no stop loss and no target price?” has the potential to be groundbreaking as he introduces a new way of approaching market analysis which is currently only applied by futures trading professionals.

Building on from the knowledge imparted by Andrea’s in harnessing risk premia from momentum strategies, the evening then continues its quantitative theme taking a further deep dive into the seemingly factor focused world of quantitative research. The panel which consists of fund managers, quants and academics will investigate whether traditional factors such as Value continue to remain relevant after a period of sustained underperformance, what is the scope for new factors and whether alternative data is living up to its hype for alpha generation.

The finale to the CMT Association Singapore chapter 2019 series promises its best yet as we bring together the leading minds from technical, fundamental and quantitative analysis.

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Agenda

5.30pm

REGISTRATION

6.25pm

OPENING ADDRESS

Presented by CMT Association, Singapore Chapter Co-Chairs:
Jamie Coutts, CMT, CFTe, Buyside Equity Specialist, Bloomberg
Jake Damien Chow, CMT, Market Strategist, CGS-CIMB Research

6.30pm

TRADING THE CURVE – TECHNICAL ANALYSIS WITHOUT HISTORICAL PRICING

  • Technical Analysis is traditionally based on historical data, which can be analyzed visually in a chart or mathematically using time series analysis. There is however no reason for this to be a limitation.
  • Using the information found in the term structure of futures markets we can extend our technical toolkit and broaden our scope. The key point of this presentation will be to investigate if there is a predictive value in this term structure information and if we can trade based on nothing but this curve

Presented by:
Andreas F. Clenow, Chief Investment Officer, Acies Asset Management

7.20pm

BUILDING YOUR QUANTITATIVE TECHNICAL STRATEGY IN PYTHON

  • Understand how Python can be leveraged to transform your research and investment strategies
  • Demostrate the Bloomberg Quant (BQuant) platform for trading strategy development including the scoring models published in Andreas Clenow’s bestselling book “Stocks on the Move: Beating the Market with Hedge Fund Momentum Strategies”

Presented by:
Jamie Coutts, CMT, CFTe, Buyside Equity Specialist, Bloomberg
Alexandre Alesi, ASEAN Quant Specialist, Bloomberg

7.35pm

PANEL DISCUSSION
BEYOND FACTORS & THE ROLE OF ALTERNATIVE DATA IN SYSTEMATIC TRADING STRATEGIES

  • A discussion on the major trends in quantitative research with several leading market practitioners.
  • The panel discussion includes a deconstruction of traditional equity factors/drivers, emerging factor research and the increasing importance of alternative datasets in quantitative research.

Panelists:
Andreas F. Clenow, Chief Investment Officer, Acies Asset Management
Catalin Burlacu, Director, Head of Investment Solutions, Multi-Asset Strategy, UOB Asset Management
Chris White, Managing Director, Head of Alpha Strategies & Equity Research at Graticule Asset Management Asia

Moderator:
Matt Dearth, Founder, TRQ Advisors & Adjunct Professor (Finance), Singapore Management University

8.10pm

CLOSING REMARKS & NETWORKING

Speakers

Photo of Andreas F. Clenow

Andreas F. Clenow

Chief Investment Officer
Acies Asset Management

Andreas F. Clenow is a Swiss financier and the Chief Investment Officer of Acies Asset Management, a Zurich based investment group founded in 1995 with a mid-nine figure asset base.

Starting out as an IT entrepreneur in the 90’s, he enjoyed a management career as the global head of commodity and equity quant modeling for Reuters before leaving for the hedge fund world.

Having founded, managed and seeded multiple hedge funds, Mr. Clenow is now overseeing investment management across all asset classes, covering quant trading, private equity and venture capital.

He is the author of international bestselling books Following the Trend, Stocks on the Move and Trading Evolved.

Photo of Chris White

Chris White

Head of Alpha Strategies
Graticule Asset Management Asia

Chris is currently Head of Alpha Strategies at Graticule Asset Management Asia, where he focuses on the systematic extraction of alpha in equities and futures. He was previously a Partner and Head of Portfolio Construction & Risk at Nezu Asia Capital Management in Tokyo, where he launched and ran the multi-strategy investment team. Prior to that, he ran a global HFT and MFT trading business for a family office, and was previously a quantimental portfolio manager for an Asian equity long-short firm. Chris is a functional programming evangelist, with a focus on F# and OCaml, and in his spare time is an avid alpinist and ice climber.

Photo of Matt Dearth

Matt Dearth

Founder, TRQ Advisors
Adjunct Professor (Finance), Singapore Management University
Mr. Matt Dearth is an Adjunct Professor (Finance) at Singapore Management University where he teaches graduate-level courses on asset management and alternative investments.

Separately, Matt is the founder of TRQ Advisors where he helps clients capture incremental investment performance by combining his experience in systematic asset management and strategy consulting.  In addition to his work at TRQ, Matt serves as as an Insight Provider for Essentia Analytics where he helps Asian-based investors improve their performance by making better, data-driven decisions; and as Senior Buy-Side Advisor for SG/HK-based BlueFire AI, transforming financial markets through applied AI.

Before founding TRQ in 2013, Matt was a member of the investment team and Head of Broker Relations at Marshall Wace North America LP, the US arm of multi-billion dollar fund manager Marshall Wace.  As one of the founding employees in 2004, Matt helped introduce their proprietary “alpha capture” investment strategy to the Americas.  He was responsible for sourcing and vetting institutional salespeople to participate in their “best ideas”-driven investment process, managing the performance measurement and incentives system for brokers, championing the development of internal and external technology solutions, and presenting to investing clients and prospects.

Prior to Marshall Wace, Matt was Co-Director of Equities at McLagan Partners, a boutique financial services consultancy.  Previously he worked in the Equities Division of Goldman Sachs as head of the Business Analysis and Strategy team.  Earlier, Matt was a Senior Associate at strategy consulting firm Booz Allen & Hamilton, and a commercial lines product analyst for Great American Insurance Co.

Matt received a Bachelors of Science in Engineering (Civil Engineering & Operations Research) from Princeton University in 1992 and a Master’s of Business Administration from the MIT Sloan School of Management in 1996.  He is currently a PhD (General Management) candidate at Singapore Management University. Matt has been based in Singapore since 2015.
Photo of Dr. Catalin Burlacu

Dr. Catalin Burlacu

Portfolio Manager, Managing Director
New Dimensions Capital Pte Ltd
Photo of Jake Damien Chow, CMT

Jake Damien Chow, CMT

CMT Association, Singapore Chapter Co-Chair
Market Strategist, CGS-CIMB Research

Jake Damien Chow, CMT, is a market strategist with CGS-CIMB Research. He is responsible for overseeing the development of technical and quantitative research capabilities within the firm.

A strong advocate of systematic trading/investing, he was recently awarded 3rd best investment speaker during the INVEST Fair 2019.

Jake currently researches, develops and manages quantitative trading/investment strategies for the firm. He wrote for the “Trendspotter”, CGS-CIMB regional technical research publication from 2017 to mid-2018.

His research interests include multi-factor modelling, risk parity, global macro strategies, alpha signal generation, portfolio construction, asset class correlation, algorithmic trading and behavioural finance.

Jake holds a Bachelor of Business majoring in Economics and Finance from the RMIT University (Melbourne). He is a Chartered Market Technician (CMT), member of the CMT Association and co-chair of the Singapore Chapter.

Photo of Jamie Coutts, CMT, CFTe

Jamie Coutts, CMT, CFTe

CMT Association, Singapore Chapter Co-Chair
Buyside Equity Specialist, Bloomberg

A dedicated investment industry professional with experience in investment advisory, equity sales, buy and sell side trading roles. For the past several years at Bloomberg I have developed a proven track record in delivering enterprise solutions and managing projects for global and regional asset managers, focusing on quantitative investment strategies, ESG integration, research management solutions (RMS) and broker evaluation. Jamie also advances the discipline of technical analysis though his global board position on the Chartered Market Technicians (CMT) Association, and as the APAC lead and co-chair for the Singapore Chapter. As a proponent of financial market innovation, Jamie believes that cryptocurrencies will continue to disrupt the legacy financial market and that Bitcoin is an emergent store of value.

Photo of Alexandre Alesi

Alexandre Alesi

ASEAN Quant Specialist
Bloomberg L.P.

With 14-years of experience in Technology and Financial Solutions, Alex provides the next-generation of Quant Solutions to the ASEAN market. Prior to joining Bloomberg, Alex was at Thomson Reuters (Refinitiv) and has developed a solid understanding of the market data industry (Datafeed and solutions), to address local and regional market challenges.

Ranging from simple screeners and portfolio monitors to multi-factor analysis, timing FX investment strategies, or multi-asset portfolio allocation, Alexandre provides consultancy in defining needs, implements initial minimum viable solutions and supports users until self-management of the Platform.

When & Where

Tuesday, 26 November 2019
6pm – 8pm

Bloomberg Singapore
12/F Capital Square
23 Church Street
Singapore 049481

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