Q Group President's Report

Christmas Dinner, 17 December, 1999

Introduction

With the retirement of Robert Blackwell at the end of last year, as the new president I have the privilege of presenting the Report for 1999.

The topics pertaining to the Q Group that I would like to touch on tonight are:

Where we have come from
Where we are at today
What we have done in 1999
New initiatives in 1999
Where we might go in 2000 and beyond
Important acknowledgements

Where We Have Come From

As we approach our 10th anniversary, I thought it would be interesting for those of you not very familiar with our history to provide a quick summary. The Institute of Quantitative Research in Finance Inc., better known by its shorter name "Q Group", was founded in July 1990 under the guidance of our first President, Dr. Peter Vann. There were just 35 members, more than half of whom held PhDs, and membership conditions were comparatively restrictive. The mix of industry versus academics was not too dissimilar to what we have today. However, the mix of derivatives based quants to portfolio management quants was higher. A quick glance of current members names suggests a veritable United Nations style background.

The first seminar meeting was quite a coup for the time—Prof. Robert Jarrow as the key speaker presenting his working paper on the HJM model of options on interest rates using a term structure model. Discussants were Profs. Frank Milne and Stuart Turnbull.

The Statement of Objectives and the Principal Activities—which Chris Condon quoted in last year's address—were developed at the inauguration of the Q Group.

The name "Q Group" is identical to that of a somewhat similar USA organization. I say "somewhat", because the latter is a corporate membership group, whereas we are an individual membership group. Historically we have no formal ties with the USA group, and only very loose informal connections.

Subsequent presidents to Dr. Vann have been Drs. Les Balzer, Robert Blackwell and Garry de Jager.

Where We Are Today

Today, the Q Group has 142 members. Membership requirements, whilst still strict, have been opened up somewhat, especially to encourage younger quants to become members. We have a thriving Melbourne chapter which has a slightly more academic flavour with 25 members.

The Q Group has an Executive Committee consisting of the President, Vice-President, Treasurer and Secretary, and the heads of the sub-committees for Membership, Website, Sydney Events, and Melbourne based Events.

The previously referred to Statement of Objectives and the Principal Activities have in fact remained unchanged since 1990, and this may generate some discussion for one of the later items on the Agenda for this AGM.

Today, we have formal links with only one external group, that being the Securities Institute of Australia. They have performed various administrative tasks for us, and in both 1997 and 1998 we sponsored a joint conference.

What We Have Done in 1999

Turning now to the Q Group events for this year.

The traditional highlight on our Calendar is the full-day annual Colloquium. It was again organized this year by Chris Condon, and held at the Manly Pacific in September with 49 attendees. Keynote speakers were Profs. Terry Marsh and Paul Pfliederer from Berkeley. Also presenting were 9 of our members. A list of speakers and their papers' titles is included in the handout you will have received tonight.
The group's backbone is effectively our monthly seminars which this year were organized by Silvana Lau. We held 8 seminars in Sydney and 6 in Melbourne. Again, a list of the speakers and their papers' titles is in your handout.
Another highlight of the year is of course this combined Christmas Dinner with a guest speaker. This year we have the privilege of hearing Prof. Hayne Leland, who follows previous well-known speakers at this event such as Fisher Black, Michael Brennan and Eduardo Schwarz.
We introduced our new logo which was the result of a Logo Competition launched last year. Eddie Chow produced the winning submission, and I hope you agree it is quite smart. This Logo not only appears on our stationery, but also adorns the mouse pads which were distributed to the membership.
1999 also saw us moving forward in our use of the Internet. Increasingly, correspondence to the membership is via email which makes reminders of meetings and announcements of late changes much easier. Rob Trevor, the head of the Web Sub-Committee has overseen the upgrading of the Q Group's website, and indeed, has personally performed most of the work. We look forward to continual upgrading and establishment of further links to help the membership.
This year we did not sponsor a joint conference with the SIA, and we held no competitions. We aim to re-establish some sort of competition in the year 2000 and look forward to suggestions from the membership.

New Initiatives in 1999

During the year several new initiatives were launched:

Two lunchtime seminars were held in Sydney—to the best of my knowledge these were the first in our nearly 10 years history. Several members who had difficulty making a 5:45pm time had requested these and some speakers find this time more convenient. We anticipate continuing with these in 2000.
The Committee agreed to invite a limited number of post-graduate students to our monthly seminars in the year 2000. This will be done via our academic members and selected other university staff who are supervising post-graduate students in quantitative finance.
Silvana Lau instituted the "lucky door" prize as a small incentive for members to attend the monthly seminars.
A quantity of T-shirts with the aforementioned logo have been produced and are given to outside seminar speakers and Q Group members who present papers or perform other services to the group.

One initiative the Committee decided to forego was an idea floated by a Melbourne member which was mentioned in last year's President's Report, namely that the Q Group create a type of hedge fund using the current bank balance as working capital.

A second idea noted in that Report was to use the current bank balance to sponsor research. Indeed, within the statement on "principal activities" there is provision to use surplus monies to fund specific research projects. This will reviewed with an eye on the trends of our bank balance, the worthiness of floated ideas for research, and the cost thereof.

Where We Might Go in 2000 & Beyond

I mentioned earlier in this Report that the Charter has remained unchanged since the foundation of the group. Some years ago two past presidents conducted a strategic review of the Q Group, investigating among other things the possibility of turning the Q Group into a more formal professional body (like the Australian Computer Society or the Institute of Engineers). After consultation with the membership, it was decided this was beyond the current resources of the group, and there was little support to fund extra resources.

In a similar vein, on a number of occasions the issue of individual membership versus corporate membership has been reviewed. On each occasion the membership has voted strongly to maintain the current system. Reinforcing this view, last year's formal Survey generated some suggestions, but indicated members wished the group to continue operating as it is now.

Given this background, the Committee is proceeding on the premise that the current Charter and mix of events is the most suitable and has the support of the membership. However, this in no way means the Committee or the Q Group as a whole is not open to suggestions for change. This applies not only to the use of surplus funds (if any), but to other opportunities, and indeed to the Charter itself should members so wish.

For my own part, I would like the Q Group to achieve a few objectives next year:

A greater involvement by members in the running of the Q Group and its activities, be it volunteering to stand on sub-committees or assistance in finding speakers for seminars.
On a similar vein, an increase in the number of members who offer to speak at either a weekly seminar or the annual colloquium.
Support for Rob Trevor to make the Q Group web-site a worthy flagship for the group.
A feasibility study for the creation of a chapter in Brisbane.
A major function of some kind to replace the jointly sponsored SIA conference in previous years.
That each Q Group member take it upon him or herself to get to know 50% more of the members than they currently know.

Important Acknowledgements

Firstly, I would like to thank all the members who have contributed in anyway this year, be it by presenting a paper, some other service, or simply attending the seminars.
I would especially like to thank Joy Adams, the Q Group Secretary, for her hard work and devotion to duty, and her efficiency and counsel on general issues.
Silvana Lau is standing down as our Sydney seminar convenor as she is being transferred to Singapore, and I would like to publicly acknowledge her efforts in securing speakers this year.
Special thanks to Chris Condon for again organizing the annual Colloquium. He now has it down to a fine art, and I'm sure you'll agree it all worked very well this year.
To hold monthly seminars, we need an attractive venue, and the group's thanks go to Peter Vann for organizing this on a regular basis.
Finally, to Rob Trevor for his Web efforts, to John Jarratt for keeping us financial, and to the other committee members for their help—thank you.

GARY DEJAGER 17 December, 1999