Drucker Speaker Series featuring Ludwig Chincarini Ph.D
"A Multi-Asset Approach to Inflation Hedging for a US Investor"
Friday, February 24th, 2012
11:00 am - 12:30 pm
Ph.D. Massachusetts Institute of Technology
A.B. University of California, Berkeley
Personal Website: http://pages.pomona.edu/~lbc04747/
Professor Chincarini specializes in portfolio management, quantitative equity management, and derivatives. His research interests include portfolio strategies, investment tax issues, and derivatives. He currently teaches Quantitative Investment Management, Corporate Finance, and Principles of Macroeconomics at Pomona College. He is also an adjunct professor at the McDonough School of Business teaching courses such as Investments, Derivatives, Global Financial Markets, Hedge Funds, and Private Equity to undergraduates, MBAs, and executive MBAs.
Professor Chincarini recently finished book entitled Quantitative Equity Portfolio Management that is available for purchase at any online book retailer or directly through McGraw-Hill. He is also interested in consulting opportunities and the possibility of starting a quantitative equity hedge fund. He is on the academic council of IndexIQ, an index creation and ETF company.
He has over 10 years of experience in the financial industry. In addition to being a professor of economics at Pomona College, he has been an adjunct professor of finance at the McDonough School of Business at Georgetown University from 2003-2008. Prior to that, in 2002, Ludwig joined Rydex Global Advisors, a mutual fund company, as Director of Research. At Rydex, he co-developed the new S&P 500 Equal-Weight Index as well as helped launch the Rydex ETF program with the introduction of the Rydex S&P Equal Weight ETF that was launched on the American Stock Exchange (AMEX: RSP) on April 30, 2003. From 1999 to 2002, he helped build the company FOLIOfn, an online investment firm specializing in personal accounts. As Director of Research, he managed over 120 portfolios, designed the asset allocation system and created a monthly newsletter for clients. His team built the system to quantitatively manage over 120 portfolios for clients. From 1996 to 1999, he worked at the Bank for International Settlements (BIS), known commonly a the Central Bank of Central Banks. At the BIS, Ludwig was a Research Analyst for the trading operations (over $100 billion in assets) and the portfolio management division (over $20 billion in assets). In addition, he managed a U.S. Treasury portfolio of $200 Million in assets. Under his tenure, the annual return of the portfolio was greater than peer portfolios at the company. From 1995 to 1996, Ludwig was a Research Analyst for Schroders, an asset management company, where he developed models to help manage fixed income portfolios and determine asset allocation. He has also worked with a variety of people and organizations, including Paul Krugman, Rudiger Dornbusch, Fischer Black, Joseph Stiglitz, LTCM, central banks of Eastern Europe, Curian Capital, the Templeton Capital Advisors, Standard and Poors, and many others.
Chincarini, Ludwig B., The Crisis of Crowding: Quant Copycats, Ugly Models, and the New Crash Normal, 2012. Bloomberg Press. Print.
Chincarini, Ludwig B., and Kim, Daehwan. Quantitative Equity Portfolio Management: An Active Approach to Portfolio Construction and Management, 2012. McGraw-Hill Library of Investment and Finance. Print.