Best PracticesNorthfield Conference

October 24, 2006

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Best Practices:

A practitioner’s perspective

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Why?

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Why? Objectives:

1. Assess our process

2. Assess quant market

3. Share the findings

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Who?

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How?

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How?

“What do you feel constitutes best practices within a

quant investment process?

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1. Industry

2.Firm

3.Marketing/Client Service

4. Investment Department

What?

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1.Commoditization

2.Definition Confusion

3.Convergence

Industry

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Industry

Commoditization

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Industry

Commoditization

Your math can’t beat my math.

Jarrod Diamond: “The natives all have muskets”.

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Industry

Definition

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Wallstreet Words - quant

§ A person who has strong skills in mathematics, engineering, or computer science, and who applies those skills to the securities business. For example, a pension fund may employ a quant to put together an optimal portfolio of bonds to meet the fund's future liabilities. Also called rocket scientist.

Industry

Definition

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§ American Heritage Dictionary - quant (kwnt) Pronunciation Key

§ An expert in the use of mathematics and related subjects, particularly in investment management and stock trading.

Industry

Definition

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American Heritage Dictionary - Quant (kw nt)

§ A fashion designer credited with designing the first miniskirt (1960) and hot pants (c. 1970).

Industry

Definition

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Industry

Convergence

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Firm

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“Culture is the most critical determinant of a firm’s ability to exhibit best practices.”

Firm

Culture

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1.Soft Dollars

2.Fundamental Overlay

3.Transparency

Marketing/ClientService

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1.Trading

2.Research

3.Risk Management

4.Portfolio Construction

Investments

www.highstreet.ca