Jason MacQueen

London Quant Group

In 1978 Jason built the first risk model for the U.K. equity market, and helped to construct the first

U.K. index fund. In 1980 he founded QUANTEC, which was the first firm to develop risk models for

equity markets outside the USA, and which ultimately built risk models for all of the developed and

most of the emerging markets.

In 1984 QUANTEC launched the first global asset allocation model, including currency hedging

overlays and the first use of reverse optimisation for efficient portfolio rebalancing.

During the 1980s, Jason pioneered the development of multi-factor stock selection models in both

the U.S.A. and Japan, and the investment track records of his clients are exceptional.

In the 1990s QUANTEC developed the first global risk model and a global stock selection model.

In the late 1990s Jason and his colleagues developed a statistical risk model-based technique for the

American Stock Exchange, which enabled them to offer Exchange Traded Funds on Actively Managed

Mutual Funds without knowing the underlying holdings. This technology can also be used to enable pension

funds and other asset owners to manage their overall portfolio risks without having full transparency from their 

external managers.

QUANTEC was sold to Thomson Financial in 2001, and after consulting to them for two years, Jason

co-founded R-Squared Risk Management (R-Squared) in 2003 to develop Custom Hybrid Risk Models

for institutional investors to enable them to manage their portfolios more efficiently.

R-Squared also developed a unique set of XRD (Cross Reference Day) equity risk models covering

different geographies. These risk models are based on four or five overlapping sample sets of data.

Each sample is then used to build an SRD (Single Reference Day) model. While the set of SRD models

will all be very similar, they will each be affected by particular idiosyncrasies in their sample data

set. By combining the SRD models into a single XRD model, some of these idiosyncratic effects are

diversified away, with the result that XRD models are more stable and more robust than any

individual SRD model, and produce more accurate forecasts of portfolio risk characteristics.

Among other custom risk models, R-Squared Risk Management developed the Global Equity risk

model used in FactSet’s Multi-Asset Class (MAC) product.

In December 2014, R-Squared’s business was acquired by Northfield Information Services, where

Jason became the Director of Research. His main focus at Northfield was developing a second generation

Global Equity model for FactSet’s MAC product, including additional style factors, regional sector factors 

and a number of other enhancements.

Smart Portfolio Strategies (SPS) was founded in April 2015 to provide expert portfolio rebalancing

services to fund managers and asset owners. Active fund managers seek to outperform their

benchmarks primarily by having superior stock selection skill, but the value of this skill can easily be

lost if the portfolio is not constructed in a way that maximises its effects while minimising all other

influences on the portfolio’s performance. However, stock selection and portfolio construction

require very different skill sets, and not all managers are comfortable using optimisers and risk

models to rebalance portfolios.

While Markowitz optimisation is still the standard paradigm for portfolio construction, it is very

difficult to use in practice, because it assumes the expected returns and risks are known precisely.

The SPS portfolio rebalancing algorithm makes explicit allowance for the estimation error and

uncertainty in these forecasts, and rebalances portfolios by identifying and trading only the most

inefficient holdings, thereby minimising unnecessary turnover and ensuring that the portfolio is

more efficient after rebalancing than it was beforehand.

Since founding QUANTEC in 1980, Jason has developed the theoretical framework of Markowitz and

his successors into a practical set of tools for institutional fund managers. By his passionate pleas

for a disciplined and logically coherent approach to portfolio management, he has acquired an

international reputation as speaker, consultant and iconoclast. He was educated at Oxford and

London Universities, where he read Mathematics and Theoretical Physics.

He was the founder and first Chairman of the London Quant Group, a not-for-profit organisation

established in 2007 to arrange Seminars on the practical application of quantitative investment

technology; these seminars are the successor to the annual QUANTEC Investment Seminars, first

started in 1986, and still held at Oxford or Cambridge Universities.

Jason has been an Honorary Lecturer at Lancaster University Management School, and a Visiting

Professor at Tokyo University’s Center for Advanced Research in Finance. He is also a Director of the

Society of Quantitative Analysts in New York, and a member of the Q Group.