GALINA KALCHEVA, EDHEC PhD in Finance candidate at the Chicago Quantitative Alliance Fall conference

As part of the EDHEC membership of Inquire Europe, the PhD in Finance candidate (executive track), Galina Kalcheva, had the opportunity to attend the CQA Fall conference that was held in Chicago on 20 & 21 September 2023. She shares her experience with us. 

Reading time :
29 Sep 2023

As part of the EDHEC membership of Inquire Europe, PhD in Finance executive track participant Galina Kalcheva, Portfolio Manager at Aon Investments USA, Inc, had the opportunity to attend the CQA Fall conference that was held in Chicago on 20 & 21 September 2023.  Inquire Europe is affiliated with Chicago Quantitative Alliance (CQA). The primary goal of the CQA is to facilitate the interchange of ideas between leading quantitative professionals. The discussion is focused on practitioner issues and involves active participation by all members.
Galina shares her experience and take aways from this event.


EDHEC PhD in Finance Candidate, and Portfolio Manager at Aon Investments USA

Galina, could you please share on your overall experience of the CQA conference? 

 The CQA conference was a great event, where academics and investment professionals presented and debated recent research. Topics ranged from new approaches to asset pricing and portfolio construction, to a deep dive into ESG. The conference highlighted new frontiers of research, such as using text patterns as a factor, and portfolio construction methods that take into account the non-linearities in the relationship between stock characteristics and return. The CQA celebrated its 30th anniversary, and many members shared what CQA has meant to them over the years: a community of quantitative investment professionals and academics that can network, debate new research, and evolve the techniques used in the profession. The conference was a great mix of thought-provoking research and open, engaging discussions about how quantitative research can improve current practices.  

You are currently working on your PhD research proposal; has this conference brought you interesting insights for your research?


It was great to see the asset pricing topics and methodologies we have covered during the PhD program actively applied and discussed! The conference highlighted for me how relevant the EDHEC PhD program is to the questions that the investment profession grapples with. It also emphasized how complex (and evolving!) the relationships are between asset pricing and fundamental characteristics, economic variables, and emerging factors such as earnings-calls language characteristics. I took away insights about new ways to harness data and quantitative methods to identify drivers of asset prices and economic growth. 

You hold a senior position of portfolio manager, did you find a presentation that was particularly enriching?


All presentations offered insightful ideas. For example, Dr. Niels Gormsen from the University of Chicago presented his paper “Duration Driven Returns”. He and Dr. Eben Lazarus propose a duration-based explanation for the premia on major equity factors, including value, profitability, investment, low-risk, and payout factors. These factors invest in firms that earn most of their cash flows in the near future and could therefore be driven by a premium on near-future cash flows. They find that the expected CAPM alpha on individual cash flows decrease in maturity within a firm, and the alpha is not related to the above characteristics when controlling for maturity. The presentation highlighted for me the importance of transmission links between policy and asset prices, and the relative impact of fundamental and economic factors. 
More broadly, the presentations at the conference (and the lively discussions afterwards) gave me practical ideas about new portfolio construction approaches and asset price drivers. In addition, the speakers provided insights into existing practices and how they can be improved. The conference underscored again the value quantitative finance brings to the investment profession, by allowing investors to systematically harness and analyse large and diverse sets of data for better decision-making.

EDHEC PhD Participants profile

EDHEC PhD experience 

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