The Art and Science of Quantitative Tools in Investment Management

October 7, 2015

Lecture Summary: Goldman Sachs Chief Investment Officer Offers Perspectives On the Role of Quantitative Methods in Investment Strategies →

ABSTRACT: Over the last decade or so, the financial industry has made much greater use of quantitative tools and technology in investment management and trading. While these tools can be extremely helpful, they also have their limitations. This talk will focus on the art and science of using such tools in investment management and show that we cannot rely exclusively on art or on science; it is the blend of the two that results in a more optimal investment process. Examples will include the use of valuation metrics to overweight or underweight equities, the use of robust optimization to allocate assets given uncertainty and limited data series, and dealing with tail risks in tactical asset allocation as in the case of the European sovereign debt crisis or the recent volatility in local Chinese equities. The talk will also touch upon the role of art and science in the inconclusive debate on active versus passive management.

BIOGRAPHY: Sharmin Mossavar-Rahmani is chief investment officer of the Private Wealth Management Group (PWM). She is responsible for overall strategic asset allocation and tactical investment strategy within PWM. Mossavar-Rahmani joined Goldman Sachs as a partner in 1993. Prior to joining the firm, Mossavar-Rahmani worked at Fidelity Management Trust Company, where she was chief investment officer for all separate and comingled fixed income accounts.

Mossavar-Rahmani is a member of the Board of Trustees and the Investment Committee of New York-Presbyterian Hospital and Harvard University Committee on University Resources. She is also vice president of the Board of Trustees, chair of the Investment Committee and member of the Audit and Finance Committee of Trinity School. Mossavar-Rahmani has published two books, one on bond indexing and the other on OPEC natural gas, as well as numerous articles on portfolio management issues.

Ms. Mossavar-Rahmani's lecture was made possible in part through a gift from Stevens alumnus, Dr. William W. Destler, '68, President, Rochester Institute of Technology.