Company Registration No. 2400509

(a company limited by guarantee)
Report and Financial Statements
31 October 2008
                                                      INSTITUTE FOR QUANTITATIVE
                                                            INVESTMENT RESEARCH


CONTENTS                                                          Page

Officers and professional advisers                                   3

Chairman’s report                                                    4

Research committee report                                            5

Programme committee report                                           9

Prize committee report                                              13

Administration committee report                                     14

Directors’ report                                                   15

Statement of directors’ responsibilities                            16

Independent auditors’ report                                        17

Income and expenditure account                                      19

Balance sheet                                                       20

Notes to the accounts                                               21

Council and committee members at 31 October 2008                    25

Inquire UK sponsors for the year to 31 October 2008                 27

                                                                        INSTITUTE FOR QUANTITATIVE
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Richard F Lacaille (chairman)                    representative of a sponsor
Constant (Stan) E M Beckers                      representative of a sponsor
Giovanni M Beliossi                              representative of a sponsor
Paul J Bostock                                   representative of a sponsor
David Bowie                                      representative of a sponsor
Riccardo Curcio (treasurer)                      representative of a sponsor
James P McCaughan                                representative of a sponsor
Emma C Osborne                                   representative of a sponsor
Ian D Paczek                                     representative of a sponsor
Robert K Rice                                    representative of a sponsor
Robert J Schwob                                  representative of a sponsor
Simon Stoye                                      representative of a sponsor
Roger C Urwin                                    representative of a sponsor
D Colin E Wilson                                 representative of a sponsor

Hans Fahlin           chairman, Inquire Europe
Peter F Pope          academic coordinator
Manraj Ahluwalia      co-opted for period from 15 January 2008
Tom Steenkamp         chairman, administrative office of Inquire Europe

Heather Martin                                   to 30 April 2008
Anne Stoye                                       from 1 May 2008

Institute for Quantitative Investment Research
Enmore Castle
Enmore                                                      Telephone     01278 671444
Bridgwater                                                  Website
Somerset                                                    Email

One Wood Street, London EC2V 7WS

Anne Stoye, Enmore Castle, Enmore, Bridgwater, Somerset TA5 2DU

Bank of Scotland

Lindeyer Francis Ferguson
198 High Street

                                                                      INSTITUTE FOR QUANTITATIVE
                                                                            INVESTMENT RESEARCH

                                  CHAIRMAN’S REPORT
As we approach the end of 2008, it is difficult to avoid the hyperbole about markets we are all seeing in the
media when writing a review. The stresses in cash, fixed income and equity markets we were experiencing
this time last year have continued and in some cases accelerated. This has put pressure on sponsors and their
nominated representatives in financial terms and also in their ability to commit their time. A number of
members have found themselves ending the year working for different organisations and we are grateful for
their support in becoming new members under a different sponsor. The activities of Inquire are an
important part of understanding financial markets and performing our role for clients more effectively.
I therefore hope that the commitment of sponsors will continue into 2009. I am very grateful to those who
serve on and chair the various committees that undertake the essential work to carry on Inquire’s mission of
bridging the gap between the academic and financial community; at times like these the gap can look pretty
large as we see attacks on short selling, hedge funds and other alpha generating activity. The work is as
important as ever.

The administration committee under Simon Stoye has met the challenge of tight control of administration
expenses and of finding suitable seminar venues and managing the organisation of seminars with the help of

Inquire continues to fund many important research projects, guided by the research committee chaired by
Manraj Ahluwalia. Our historic accumulated research expenditure has kept the committee members busy in
monitoring existing projects as well as selecting the new ones you will see described below. We were also
able to select some of the completed projects for presentation at our seminars.

The programme committee chaired by Ian Paczek has once again struck a good balance this year in terms of
subject matter and style, and included a good number of Inquire sponsored research projects; the level of
debate between members at seminars has been vigorous as a result of the format. Evening discussions in
partnership with CFA UK and The Actuarial Profession added variety to our range of venues for discussion.
We continue to maintain close links to Inquire Europe, especially in our design of joint programs.

The prize committee continued to make critical assessment of the papers, and their presentations, chosen by
Inquire UK for the two seminars this year. However, the change of timing for the award of prizes has meant
that the announcement of prize winners from amongst the 2008 seminar papers has been deferred until after
the Spring 2009 Edinburgh seminar. Our thanks to Emma Osborne as Chair.

The nominating committee has helped maintain membership numbers, even though this year’s numbers are
slightly lower than the peak of 60 last year. Keeping membership at a level that will support our principal
aims of providing education (seminars) and sponsoring research in this area is vital to the organisation and
we are most grateful to the committee members and their Chairman Rupert Goodwin for their hard work to
achieve this.

Anne Stoye has kindly agreed to take the role of Company Secretary to add to her administrative duties. I am
very grateful for the energy and commitment she has given to both of these roles and thank her on behalf of

Our academic co-ordinator Peter Pope has been very effective for Inquire in ensuring that we have a free
flow of information between us and the academic community and maintained our important relationships in
many institutions.

Richard Lacaille

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                          RESEARCH COMMITTEE REPORT

The year 2007 - 2008 was another busy year for the research committee, although the number and total value of
research grants awarded this year was lower than the exceptionally high level for the previous year.

The committee’s responsibilities continue to be as follows:

    1. To encourage and support academic research in areas of particular interest to Inquire members.

        •    The Inquire academic co-ordinator, Professor Peter Pope of Lancaster University, issued two formal
             calls for research proposals during the year, identifying areas of particular interest to Inquire.

        •    During the financial year to 31 October 2008, the committee reviewed 36 new proposals. Many were
             of a very high standard, and 8 were approved for funding.

    2. Monitoring progress of Inquire-funded research activity and making the results of this research available to
       Inquire members.

        •    The research committee met twice during the year and was in regular email contact to review the
             progress of a total of 23 sponsored research projects sponsored in earlier years and the initial stages
             of the 8 projects sponsored during the last year.

        •    10 projects were successfully completed during the year, and papers are available to Inquire

    3. To encourage an active working association between the academic and business financial


During the financial year to 31 October 2008, the following 8 projects were accepted for Inquire

        Dr Kevin Aretz and Ulf Brüggemann (University of Lancaster)

         Professor Yadeep Yadav, Oklahoma University

         Dr Robert Kosowski (Imperial College, London), Professor Andrea Buraschi (Imperial College, London)
         and Professor Fabio Trojani (University of St Gallen)

         Professor Lucio Sarno (Warwick Business School)

         Professor Miles Gietzmann (Cass Business School)

         Professor Massimo Guidolin (Manchester Business School)

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        Dr Bruno Deschamps and Professor Christos Ioannidis (Bath University)

         Professor Roman Kräussl (VU University of Amsterdam)


In addition to the newly accepted projects discussed above, there were 23 other research projects, approved in
previous years, in progress during the year ended 31 October 2008, of which 10 were completed during this year.
Of the remaining 13 ongoing projects, several are only awaiting final formalities before being signed off:.


        Dr Alex Taylor (University of Manchester)

        Dr Aneel Keswani (Cass Business School) and Dr David Stolin (Toulouse Business School)

        Dr Daniel Giamouridis and Dr Ioannis Vrontos (Athens University)

        Professor Stephen Brown (NYU Stern), Professor William Goetzmann (Yale School of Management),
        Assistant Professor Bing Liang (University of Massachusetts at Amherst)

        Assistant Professor Kewei Hou and Professor G Andrew Karolyi (Ohio State University) and
        Associate Professor Bong-Chan Kho (Seoul University)

        Professor Ashiq Ali (University of Texas), Assistant Professor Xuanjuan Chen
        (University of North Carolina Wilmington), Assistant Professor Tong Yao (University of Arizona) and
        Tong Yu (University of Rhode Island)

        Associate Professor Tom Nohel (Loyola University, Chicago), Assistant Professor Zhi Wang (University of
        Illinois), Assistant Professor Lu Zheng (University of Michigan)

        Professor Giovanni Urga and Dennis Philip (City University)

        Doron Avramov (University of Maryland), Robert Kosowski (Imperial College, London), Narayan Naik
        (London Business School), Assistant Professor Melvyn Teo (Singapore Management University)


        Victor DeMiguel (London Business School), F Javier Nogales (Universidad Carlos III de Madrid),
        Lorenzo Garlappi (University of Texas at Austin), Professor Raman Uppal (London Business School)

   Papers are available via Inquire’s website for each of these completed projects.

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      Professor David Blake (Cass Business School), Professor Alan Timmerman (London School of Economics)
      and Professor Ian Tonks (Exeter University)

      Assistant Professor Söhnke Bartram (Lancaster University) and Assistant Professor Gregory Brown
      (University of North Carolina at Chapel Hill)

      Alistair Byrne (now University of Edinburgh)

      Dr Michela Verardo (London School of Economics)

      Dr Stuart Hyde, Professor Ser-Huang Poon, Professor Denise Osborne and Dr Marianne Sensier
      (University of Manchester)

       Professor Dick van Dijk and Assistant Professor Erik Kole (Erasmus University, Rotterdam)

       Assistant Professor Levent Güntay (Kelley School of Business, Indiana University) and
       Assistant Professor Dirk Hackbarth (Olin School of Business, Washington University)

       This project has been sponsored jointly by Inquire UK and Inquire Europe.

       Professor Mark Salmon (University of Warwick)

      Dr Xiaoquan Liu (University of Essex)

      Dr Chi-Hsiou (Daniel) Hung (Durham University), Devraj Basu (EDHEC Business School),
      Alexander Stremme (University of Warwick)

      Professor David McMillan (University of St Andrews)

      Dr Marco Rummer (Said Business School, Oxford University) and Mr Oliver Schwindler (Bamberg

      Professor Russ Wermers (University of Maryland) and Professor Tong Yao (University of Arizona)

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I am most grateful to the members of the committee: Giovanni Beliossi, David Buckle, Inigo Fraser-Jenkins,
Peter Hopkins, Andrew Patton, Marlies van Boven, Colin Wilson, John Velis (representing Inquire Europe)
and, in particular, Professor Peter Pope, for support and for all the work they have done in encouraging the
flow of proposals, critically assessing each proposal’s potential and monitoring the numerous active projects
throughout the year.

Looking ahead to 2009 and beyond, we hope to be able to maintain a high level of support for relevant research
and to continue our cooperation with Inquire Europe to provide joint sponsorship where appropriate.
Quantitative analysis remains an essential part of toolkit when investing across the full range of asset classes and
we shall actively seek to sponsor leading-edge research directed towards the broad intellectual and business
interests of Inquire members. The rise of new asset classes and new classes of investor has proved a fruitful
field for research, and this has been reflected in the proposals we receive and the projects we sponsor. I am
most grateful to the Inquire sponsors for the financial support they provide for research and for the continuing
commitment and effort of the individual members of the research committee.

Manraj Ahluwalia
Chairman, Research Committee

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                       PROGRAMME COMMITTEE REPORT

Two residential Inquire seminars were held in the course of the 12 months ending on 31 October 2008.

The first was a two-day, two-way seminar held jointly with Inquire Europe (and organised by Inquire Europe) at
the Park Hyatt Hotel, Zurich from 30 March to 1 April. The second was our own 20th annual seminar, held at
the Randolph Hotel, Oxford from 21 to 23 September.

In addition we held an evening discussion meeting as one of a series of three organised jointly by Inquire UK,
CFA UK and The Actuarial Profession.

Inquire’s goal is bridging the gap between theory and practice. I regularly encourage the members of the committee to
keep this at the forefront of their mind when considering papers and preparing the programme. The committee
has tried to assemble a broad selection of current research at the seminars this year. We have also attempted to
include papers that are both topical and relevant to the audience. There is a great deal of recent research on
Hedge Funds and we were able to include some of it at both seminars in 2008. It is my continuing belief that
the committee functions best by selecting appropriate papers and interesting speakers and then by providing an
environment conducive to useful discussion and interaction.

Bearing in mind the difficult market conditions and consequent work pressures on sponsors, the seminars were
well attended and the feedback was generally positive. In addition to the formal programme of presentations at
the seminars, the informal aspects of the seminars are valued, including opportunities for networking and
discussion of matters of common interest and concern with peers from other organisations. For example, at the
Oxford seminar there was an impromptu discussion of the effects on financial markets of the recently
announced UK Government restrictions on short trading. We have also continued to obtain CFA Institute
accreditation for our seminars, which helps members to fulfil their continuing professional education

The committee maintains an awareness of the wider picture, how Inquire spends its money between Research,
Programme and Administration, and what we deliver to our membership in return for their firms’ subscriptions.
With this in mind, we were particularly pleased that the Oxford seminar included six papers based on research
sponsored by Inquire UK. Although completed research papers are available to sponsors of Inquire through our
website, the presentation of research results at seminars has the advantage of making the results more accessible
and also enabling some interchange between practitioners and researchers during the question and answer
session following the formal presentation. In many cases, this exchange of opinions brings to light potentially
fruitful areas for further research that will be of practical interest and benefit to practitioners.

Finally, I would like to record the valuable support and advice of my fellow committee members. During the
year Mikhail Chernov and François Ogliaro joined the committee, whilst Lars Lochstoer, Robert Rice and Jim
McCaughan stepped down from the committee, the last two after many years of much appreciated input. I am
also grateful to Lars for his contribution over the last year and wish him well in his new appointment in the
United States. I am also pleased to report that Giuseppe Tedone and Professor David Hillier have accepted
invitations to join the committee.

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The joint two-way seminar with Inquire Europe was held from 30 March to 1 April 2008 at the Park Hyatt
Hotel, Zurich.

The papers presented and their authors are set out below. In the case of co-authors, an asterisk indicates which
author delivered the paper. Papers based on research sponsored by Inquire UK are denoted † and those
sponsored by Inquire Europe are denoted ‡. Maarten van Ravenswaaij compiled the summary.

         Paul Embrechts (ETH Zurich)

         Frank de Jong (Tilburg University)

     Ÿ                                                                 ‡
         Bas Werker (Tilburg University)

         Bruno Gerard *, (Norwegian School of Management) and Esther Eiling (Rotman School of Manage-
         ment, University of Toronto)

         Kathryn Kaminski* (Swedish Institute for Financial Research, SIFR) and Andrew Lo (MIT Sloan School
         of Management and AlphaSimplex Group)

     Ÿ                                                                    ‡
         Lieven Baele* (Tilburg University), Geert Bekaert, (Graduate School of Business, Columbia University),
         Koen Inghelbrecht, (Ghent University)

         Tom Nohel (Loyola University), Z Jay Wang (University of Illinois) and Lu Zheng (Paul Merage School
         of Business, University of California, Irvine)

         Tarun Ramadorai (University of Oxford)

         Dagfinne Rime* (Central Bank of Norway), Lucio Sarno (University of Warwick)

         Robert Gramacy * (University of Cambridge, Statistical Laboratory) and Joo Hee Lee (Fidelity Invest-

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Our 20th annual seminar was held from 21 to 23 September at the Randolph Hotel in Oxford. The papers
presented and their authors are set out below. In the case of co-authors, an asterisk indicates which author
delivered the paper. Alistair Byrne, of Edinburgh University, compiled the summary.

         Woon Wong (University of Cardiff)

         Raman Uppal* (London Business School), Victor DeMiguel (London Business School),
         Lorenzo Garlappi (University of Texas at Austin), Francisco J. Nogales (University of Carlos III de

         Professor David Hillier (Leeds University Business School)

         Vladimir Zdorovtsov* (State Street Global Advisors), Tarun Chordia (Department of Finance, Emery
         University), Zhan Onayev (Advanced Research Center, State Street Financial Center)

         Alistair Byrne (University of Edinburgh), Richard Shackleton (Hymans Robertson LLP)

         Giovanni Urga* (Cass Business School), Dennis Philip (Cass Business School), Chihwa Kao (Syracuse
         University, NY)

         Daniel Giamouridis and Ioannis Vrontos* (Athens University of Economics and Business)

         Oliver Schwindler* (Department of Finance, Bamberg University) and Marco Rummer (Saïd Business
         School, Oxford University)

         Robert Kosowski* (Imperial College), Doron Avramov (R.H. Smith School of Business, University of
         Maryland), Narayan Y. Naik (London Business School), Melvyn Teo (Singapore Management Univer-

         Dragon Yongjun Tang* (University of Hong Kong) and Hong Yan (University of South Carolina)

     Ÿ                                                               †
         Aneel Keswani* (Cass Business School) and David Stolin (Toulouse Business School)

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Inquire was responsible for the last of a series of three meetings organised in cooperation with CFA UK and The
Actuarial Profession.

This meeting was hosted by Lehman Brothers, with Peter Mennie as chairman. Eoin Murray of Old Mutual
Asset Management and Andrew Patton of Oxford University Department of Economics spoke on The
Implications for Quantitative Investment Management of the events of 2007, each covering a different aspect, and an
interesting discussion followed. Peter also played an important role in the organisation of the evening and I
would like to express the thanks of the Programme Committee both to him personally and also to Lehman
Brothers for providing the venue and the refreshments afterwards.


Another series of evening meetings is planned for 2009 and it is currently intended that Inquire will be responsible
for one of them, although dates and subject have not yet been settled.

The joint spring seminar with Inquire Europe will be held from 15 to 17 March 2009 at the Sheraton Grand Hotel,

The Inquire UK autumn seminar will be held at the Queens Hotel, Leeds from 6 to 8 September 2009.

Our sister organisation in the US – the Q Group – has 2009 seminars planned as follows:
29 March to 1 April 2009 at Breakers, Palm Beach, Florida and 18 to 21 October at St Regis, Dana Point,

Ian Paczek
Chairman, Programme Committee

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                              PRIZE COMMITTEE REPORT

This Prize Committee report comes out at a time when the committee is effectively in a period of “purdah”.
The decision was taken to move the cycle for the award of prizes from a calendar year to an academic year basis,
with the thought that this could allow a greater profile to be given to the award of prizes at Inquire UK’s autumn
seminar. Making this change has meant an initial 18 month/three seminar period. Hence, at the time of writing,
the committee has considered the papers and presentations given at the joint seminar held in Zurich in spring
2008 and the UK seminar held in Oxford in the autumn but is yet to include the joint Edinburgh March 2009
seminar in its deliberations. Whilst it is therefore too early to be able to talk about prizes for 2008/09, we were
encouraged by the range and quality of research presented at Zurich and Oxford and look forward to completing
our assessment and discussion in the spring.

We have previously noted that the emergence of alternative investments into the mainstream has presented a new
set of opportunities for quantitative investment research to address and we have awarded prizes to some very
good work in this area. The recent market turmoil raises a whole new set of issues and challenges and perhaps in
due course research will emerge to address these concerns and areas of interest of the Inquire membership.

The prize committee criteria continue to be:
   · Existence of a paper
   · A “so what” test
   · Innovation
   · Economics/rigour
   · Quality of presentation
The committee met at both the UK and the joint seminars with follow-up made by telephone and email as

Committee members in 2008 were Alistair Byrne, Stuart Doole, Tarun Ramadorai, Robert Rice, Simon Stoye,
Colin Wilson and Laurence Wormald, with Scott Cogswell of Man Investments joining in September.
Alistair Byrne is also the seminar summariser.
Robert Rice has now retired from membership of the committee after a number of years. He has been a very
valuable, committed and lively member of the committee and we will miss his contribution.

Academic Visitors
Academic visitors during 2008 seminar were Dr Stephen Satchell at the Spring seminar and Professor David Hill-
ier at the Autumn seminar. Their contributions to the discussion of the prize committee at the seminars were
much appreciated.

Emma Osborne
Chairman, Prize Committee

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Successful and well-attended seminars were held in Zurich from 30 March to 1 April 2008 and in Oxford
from 21 to 23 September 2008. I would like to thank Monique Sturmans and Liisa Young for all their work
on the administration of the respective seminars.

The total number of sponsors at the end of the financial year was 53, compared with the previous year’s 60.
Of these, 25 were one-seat members, 26 were two-seat members and 2 were three-seat members, compared
with 31 one seat members, 27 two-seaters and two three-seaters in the year ended 31 October 2007. The
total number of seats has therefore decreased from 91 to 83 over the last year.

The subscription levels for the year from 1 November 2008 were held at the 2007 levels, namely £3,000 for
one-seat members, £4,800 for two-seat members and £6,600 for three seat members, bearing in mind the
difficult market conditions and the need of all sponsors to control costs . All the fee figures quoted above
are subject to VAT, both for UK and for overseas members, since the benefits of membership are provided
and mainly received within the UK. We continue to believe that the cost of membership is very reasonable
compared with the cost of commercial conferences, especially when the value of the sponsored research is
also taken into consideration.

It remains the policy of Inquire UK to keep a tight control of administrative expenditure in order to
maximise the funds available for seminars and research projects. Given the decision not to increase
subscription rates in November 2008, in the year ahead Inquire UK will continue to face the challenge of
keeping costs down. As the accounts show, the current year’s expenditure on administration was slightly
reduced relative to last year, However, the cost of seminars was higher than usual and the amount available
for research grants correspondingly reduced.

In the past, the administration committee has been responsible for the website. It is proposed that a new
group, with representatives from each of Inquire’s committees, takes over this responsibility. This year
has also seen some further improvements to the Twiki, intended to facilitate the work of the research and
programme committees in particular, for which thanks are due to Ian Paczek and Matthew Weaver.

Members of the Administration Committee during the year were Riccardo Curcio, Carola Lawton-
Browne, Jim McCaughan, Daryl Roxburgh and Simon Stoye. Rick Lacaille, Inquire’s Chairman, has also
attended the committee meetings and provided valuable input. This year the committee lost two
long-standing members, Carola Lawton-Browne and Jim McCaughan, to whom I would like
to record my thanks.

Simon Stoye
Chairman, Administration Committee

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                                        DIRECTORS’ REPORT

The directors of the Institute for Quantitative Investment Research (“Inquire UK”) present their annual report and
the audited financial statements for the year ended 31 October 2008.

The company promotes research and discussion in the field of quantitative investment. The company is non-profit
making, does not carry on a trade and as such the directors have no intention of recommending a dividend.

The company had an excess of income over expenditure before taxation for the year of £2,177 (2007: surplus of

Deficits and excesses of income over expenditure arise largely as a result of timing differences between recognition
of receipts and subscriptions and the award of research grants. However, council considers that a modest increase
in the level of reserves held by the organisation is desirable and has accordingly chosen to set this year’s research
budget at a level leaving a small surplus of income over expenditure.

The council of Inquire UK would ideally wish to maintain the real value of the amount devoted to research and
therefore decided that, in accordance with its powers under the memorandum and articles, subscriptions will
normally be raised each year approximately by the rate of general inflation in the previous 12 months. This
principle was intended to protect the basic purposes of the organisation, whilst at the same time raise
subscriptions by affordable relatively small amounts. However, given the difficult financial conditions the
majority of sponsors were facing in late 2008, council decided to forgo any increase in subscription levels on this
occasion. Subscriptions for the year starting 1 November 2008 will remain unchanged from the levels applicable
for the year starting 1 November 2007.

The directors, council members and officers who served during the year are shown on page 3.

Lindeyer Francis Ferguson have acted as auditors to the company during the year and are deemed to be
reappointed in accordance with Section 487(2) of the Companies Act 2006.

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The directors are responsible for preparing the financial statements in accordance with applicable law and United
Kingdom Generally Accepted Accounting Practice.
Company law requires the directors to prepare financial statements for each financial year which give a true and
fair view of the state of affairs of the company as at the end of the financial year and of the excess/deficit of the
company for that period. In preparing those financial statements, the directors are required to:

·       select suitable accounting policies and then apply them consistently;
·       make judgements and estimates that are reasonable and prudent;
·       prepare the financial statements on a going concern basis unless it is inappropriate to presume that the
        company will continue in business.

The directors are responsible for keeping proper accounting records which disclose with reasonable accuracy at
any time the financial position of the company and to enable them to ensure that the financial statements comply
with the Companies Act 1985. They are also responsible for safeguarding the assets of the company and hence
for taking reasonable steps for the prevention and detection of fraud and other irregularities.

The directors are also responsible for the maintenance and integrity of the company website. Legislation in the
United Kingdom governing the preparation and dissemination of financial statements may differ from legislation
in other jurisdictions.

(a)    So far as the directors are aware, there is no relevant audit information of which the institute’s auditors are
unaware, and

(b)      they have taken all the steps that they ought to have taken as directors in order to make themselves aware
of any relevant audit information and to establish that the institute’s auditors are aware of that information.

This report has been prepared in accordance with the special provisions of Part VII of the Companies Act 1985,
relating to small companies.

Approved by the board of directors
and signed on behalf of the board

R F Lacaille
26 January 2009

                                                                          INSTITUTE FOR QUANTITATIVE
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We have audited the financial statements of the Institute for Quantitative Investment Research for the year ended
31 October 2008 which comprise the income and expenditure account, the balance sheet and the related notes 1
to 12. These financial statements have been prepared under the historical cost convention and the accounting
policies set out therein.

This report is made solely to the company’s members, as a body, in accordance with section 235 of the Companies
Act 1985. Our audit work has been undertaken so that we might state to the company’s members those matters
we are required to state to them in an auditors’ report and for no other purpose. To the fullest extent permitted
by law, we do not accept or assume responsibility to anyone other than the company and the company’s members
as a body, for our audit work, for this report, or for the opinions we have formed.

The directors’ responsibilities for preparing the annual report and financial statements in accordance with the
applicable law and United Kingdom Accounting Standards (United Kingdom Generally Accepted Accounting
Practice) are described in the statement of directors’ responsibilities on page 16.

Our responsibility is to audit the financial statements in accordance with relevant legal and regulatory
requirements and International Standards on Auditing (UK and Ireland).

We report to you our opinion as to whether the financial statements give a true and fair view and are
properly prepared in accordance with the Companies Act 1985. We also report to you whether, in our
opinion, the information given in the directors’ report is consistent with the financial statements.

In addition, we also report to you if, in our opinion, the company has not kept proper accounting records, if
we have not received all the information and explanations we require for our audit, or if information specified
by law regarding directors’ remuneration and transactions with the company is not disclosed.

We read other information contained in the Annual Report and consider whether it is consistent with the audited
financial statements. This other information comprises only the chairman’s report, the reports of the research
committee, programme committee, prize committee and administration committee, and the directors’ report.
We consider implications for our report if we become aware of any apparent misstatements or material
inconsistencies with the financial statements. Our responsibilities do not extend to any other information.

We conducted our audit in accordance with International Standards on Auditing (UK and Ireland) issued by the
Auditing Practices Board. An audit includes examination, on a test basis, of evidence relevant to the amounts and
disclosures in the financial statements. It also includes an assessment of the significant estimates and judgements
made by the directors in the preparation of the financial statements and of whether the accounting policies are
appropriate to the company’s circumstances, consistently applied and adequately disclosed.

We planned and performed our audit so as to obtain all the information and explanations which we considered
necessary in order to provide us with sufficient evidence to give reasonable assurance that the financial
statements are free from material misstatement, whether caused by fraud or other irregularity or error. In
forming our opinion we also evaluated the overall adequacy of the presentation in the financial statements.
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In our opinion:

    ·     the financial statements give a true and fair view in accordance with the United Kingdom Generally
          Accepted Accounting Practice, of the state of the institute’s affairs as at 31 October 2008 and of its
          excess of income over expenditure for the year then ended;

    Ÿ     the financial statements have been properly prepared in accordance with the provisions of the
          Companies Act 1985;


    ·     the information given in the directors’ report is consistent with the financial statements.

Lindeyer Francis Ferguson                                                                        26 January 2009
Chartered Accountants
Registered Auditor

North House
198 High Street

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Year ended 31 October 2008

                                                                      Note                    2008                 2007
                                                                                                 £                    £
INCOME: continuing operations
Subscriptions                                                           1                  212,100           227,850
Interest receivable                                                                         12,423            11,037
Other income                                                                                 2,713             5,005

                                                                                           227,236           243,892

Expenditure on seminars and workshops                                   3                  109,539            82,212
Research grants and allied expenditure                                  4                   77,309           109,670
Administration, accounting and website services                         5                   34,749            42,520
Insurance                                                                                    1,612             1,582
Legal fees                                                                                     500                47
Audit fees                                                                                   1,350             1,350

                                                                                         (225,059)          (237,381)

ORDINARY ACTIVITIES FROM CONTINUING                                                          2,177                 6,511

Tax charge on excess of income over expenditure                         7                    (448)            (1,275)

                                                                                             1,729                 5,236

The income and expenditure account has been prepared on the basis that all operations are continuing operations.

There are no recognised gains or losses nor movement in guarantors’ funds other than as stated above. Accordingly, no
statement of total recognised gains and losses nor reconciliation of movement in guarantors’ funds has been produced.

                                                                          INSTITUTE FOR QUANTITATIVE
                                                                                INVESTMENT RESEARCH

31 October 2008

                                                       Note                            2008                  2007
                                                                                          £                     £
Current Assets
Debtors                                                   8                           8,629                19,425
Cash at bank and in hand                                                            204,913               208,763

                                                                                    213,542               228,188

Creditors: amounts falling due within one year           9                        (129,250)             (145,625)

Total assets less current liabilities                                                84,292                82,563

Income and expenditure account                           11                          82,348                80,619
Capital reserve                                          11                           1,944                 1,944

                                                                                     84,292                82,563

These financial statements have been prepared in accordance with the special provisions of Part VII of the Companies
Act 1985 relating to small companies.

Approved by the board of directors and authorised for issue on 26 January 2009.
Signed on behalf of the board of directors

R F Lacaille

                                                                                   INSTITUTE FOR QUANTITATIVE
                                                                                         INVESTMENT RESEARCH



     The financial statements are prepared in accordance with applicable accounting standards. The particular accounting policies
     adopted are described below.

     Accounting convention
     The financial statements are prepared under the historical cost convention.

     Compliance with accounting standards
     The financial statements are prepared in accordance with applicable United Kingdom Accounting Standards (United
     Kingdom Generally Accepted Accounting Practice), which have been applied consistently (except as otherwise stated).

     Income from subscriptions
     Income from subscriptions from members is accrued as it becomes due. It is shown net of value added tax.

     Research grants
     Provision is made for research grants as and when they are awarded.

     Other income
     In the year ended 31 October 2008 the company received other income totalling £2,713 (2007: £5,005) in relation to fees
     received from non-members for their attendance at seminars.

     In accordance with Section 226(5) of the Companies Act 1985, the analysis of income and expenditure shown on page 19 of
     the financial statements replaces the profit and loss account per Schedule 4 of that Act. Inquire UK is a non-profit making
     organisation, so to present a profit and loss account would not give a true and fair view.


                                                                                                    2008                    2007
                                                                                                        £                      £
      Autumn 2006 seminar in Bristol                                                                    0                     46
      Spring 2007 seminar in Brighton*                                                                  0                 30,642
      Autumn 2007 seminar in Cambridge                                                                405                 41,209
      Spring 2008 seminar in Zurich*                                                               59,192                      0
      Autumn 2008 seminar in Oxford                                                                37,226         included below
      Unrefundable expenses in respect of future seminars 2009 (2008) and beyond                    2,553                    405
      Joint Inquire/CFA UK or UKSIP/Actuarial Profession workshops                                    130                    298
      Prizes and related prize and programme committee expenses†                                   10,033                  9,612

                                                                                                  109,539                 82,212

     *The spring seminars in both years were jointly funded by Inquire UK and Inquire Europe.
     †Provision was made for £5,000 to be carried forward in respect of prizes for papers presented at the two 2008 seminars.

                                                                                 INSTITUTE FOR QUANTITATIVE
                                                                                       INVESTMENT RESEARCH
      Grants were awarded to fund the following research projects:

                                                                                                2008     2007
                                                                                                   £        £

Forecasting Bankruptcy: international evidence based on several structural models              10,000
(Kevin Aretz and Ulf Brüggemann, both of University of Lancaster)
Naked short selling: good, bad or really ugly?                                                 10,000
(Professor Yadeep Yadav, Oklahoma University)
When there is no place to hide: correlation risk and the cross section of hedge fund returns   10,000
(Dr Robert Kosowski and Professor Andrea Buraschi, both of Imperial College, London,
and Professor Fabio Trojani, University of St Gallen)
The macro-finance of exchange rates: linking global imbalances to currency fluctuations        10,000
(Professor Lucio Sarno, Warwick Business School)
Stock lending and short selling: pricing efficiency or rumour manipulation?                     8,400
(Professor Miles Gietzmann, Cass Business School)
Regime shifts in empirical pricing kernels: a mixture CAPM                                      9,940
(Professor Massimo Guidolin, Manchester Business School)
On the informativeness of economic forecasts for investors                                      9,300
(Dr Bruno Deschamps and Professor Christos Ioannidis, both of Bath University)
Risk and return characteristics of listed private equity funds                                  5,000
(Professor Roman Kräussl, VU University of Amsterdam)

Testing Factor Structure Stability in Yield Curve Factor Models (Giovanni Urga and                      10,000
Dennis Philip, both of City University)
How to Identify and Predict Bull and Bear Markets (Dick van Dijk and Erik Kole, both of                  6,800
Erasmus University, Rotterdam)
Investor Sentiment and the Relative Valuation of Stocks and Corporate Bonds (Levent                      3,125
Güntay, Indiana University, and Dirk Hackbarth, Washington University)
(Note: this project was sponsored jointly with Inquire Europe for a total of £6,250)

The Non-Linear Impact of Sentiment on Asset Prices (Mark Salmon, University of                          10,000

Hedge Fund Selection under Predictability (Robert Kosowski, Imperial College London;                    10,000
Doron Avramov, University of Maryland; Narayan Naik, London Business School, and
Melvyn Tao, Singapore Management University)

Option Pricing Models: An Empirical Investigation (Xiaoquan Liu, University of Essex)                   10,000

Hedge Fund Replication: A Dynamic Non-Linear Factor Model (Devraj Basu, EDHEC                            9,000
Business School; Chi-Hsiou Hung, University of Durham, and Alexander Stremme,
University of Warwick)

A generalised approach to portfolio optimisation: improving performance by constraining                 16,000
portfolio norms (Victor DeMiguel, London Business School, Lorenzo Garlappi, University
of Texas at Austin, Francisco Javier Nogales, Universidad Carlos III de Madrid, and
Raman Uppal, London Business School)
Non-Linear Modelling of Financial Assets - Does it help us? (David McMillan, University                 10,000
of St Andrews)

Selectivity and timing performance of funds of hedge funds: a time-varying approach                     10,000
(Marco Rummer, Said Business School, Oxford University, and Oliver Schwindler,
Bamberg University)

                                                                               INSTITUTE FOR QUANTITATIVE
                                                                                     INVESTMENT RESEARCH


                                                                                                       2008             2007
                                                                                                          £                £
Passive Investing and the Efficiency of Individual Stock Prices (Russ Wermers, University of                           10,000
Maryland and Tong Yao, University of Arizona)
Expenses                                                                                               4,669            4,745

                                                                                                      77,309        109,670


       Certain costs of printing and other expenses are shown under the relevant seminar or under administration, tax and
       accounting, as appropriate.

      Administration costs are shown under seminars and workshops, research grants or administration, tax and accounting
      as appropriate.

      Those shown under administration, tax and accounting include secretariat services; tax and accounting services;
      telephone, postage and courier charges; costs associated with the website; the preparation and printing of the annual
      report and general stationery.


       None of the directors of the company received any remuneration during the year ended 31 October 2008 or
       the preceding year.

      The Administrator, Anne Stoye, received remuneration solely in relation to work carried out in this capacity and not
      by virtue of her being married to one of the directors.

                                                                                   2008                    2007
                                                                                     £                       £
      Current tax charge                                                            448                    1,277
                                                                                   —–                      —––

      The company has estimated losses of £8,390 (2007: losses of £8,390) available for carry forward against future

                                                                                       INSTITUTE FOR QUANTITATIVE
                                                                                             INVESTMENT RESEARCH

8.       DEBTORS                                                                                              2008                    2007
                                                                                                                    £                       £
         Trade debtors                                                                                        1,058                   7,701
         Other debtors                                                                                        5,523                     872
         Prepayments and accrued income                                                                       2,048                  10,852

                                                                                                              8,629                  19,425

9.       CREDITORS: AMOUNTS FALLING DUE WITHIN ONE YEAR                                                       2008                    2007
                                                                                                                    £                       £
         Corporation Tax                                                                                        448                   1,275
         Research grants                                                                                   121,452                 137,000
         Accruals and deferred income                                                                         2,350                   2,350
         Other creditors                                                                                      5,000                   5,000

                                                                                                           129,250                 145,625


       The company is limited by guarantee and has no share capital. Clause 8 of the memorandum of association provides that every
       member as defined by Clause 4 of the articles of association is liable to contribute a sum not exceeding £1 in the event of the
       company being wound up while a member, or within one year of ceasing to be a member. The number of members as at
       31 October 2008 was 53 (2007: 60).

                                                                                                     Income and                   Capital
                                                                                                     expenditure                  reserve
                                                                                                               £                        £

        Balance at 1 November 2007                                                                        80,619                    1,944

        Excess of income over expenditure for the year                                                      1,729                       -

        Balance at 31 October 2008                                                                        82,348                    1,944

        The capital reserve was created upon the transfer of the assets and liabilities of the association of the same name into the company
        on 1 October 1990 for nil consideration. It represents the excess of the fair value of the net assets over the nil consideration.


        A majority of the directors and council members of Inquire UK will normally be representatives of sponsors. The income of
        Inquire UK is contributed by the sponsors and the members of the council will then disperse the amounts in question in
        accordance with the aims of the organisation. In certain cases other transactions may arise between Inquire UK and a sponsor
        represented in the council and any such transactions will be conducted on an arm’s length basis or on a basis more favourable
        to Inquire UK.

                                                      INSTITUTE FOR QUANTITATIVE
                                                            INVESTMENT RESEARCH

                  COUNCIL MEMBERS
                         at 31 October 2008
          Rick Lacaille, Chairman, State Street Global Advisors
             *Manraj Ahluwalia, Research Committee Chairman
                 Stan Beckers, Barclays Global Investors
                     Giovanni Beliossi, FGS Capital
                           Paul Bostock, GMO
                  David Bowie, Hymans Robertson LLP
        Riccardo Curcio, Treasurer, FIL Investment Management
                *Hans Fahlin, representative of Inquire Europe
               Jim McCaughan, Principal Global Investors
  Emma Osborne, Prize Committee Chairman, Chubb Investment Services
Ian Paczek, Programme Committee Chairman, UBS Global Asset Management
         *Peter Pope, Academic Coordinator, Lancaster University
               Robert Rice, OCCAM Financial Technology
                     Robert Schwob, Style Research
              *Tom Steenkamp, representative of Inquire Europe
Simon Stoye, Administration Committee Chairman, UBS Investment Research
                    Roger Urwin, Watson Wyatt LLP
                     Colin Wilson, Barrie & Hibbert
                        *Non-Voting Council Members

               COMMITTEE MEMBERS
                         at 31 October 2008
                    Administration Committee
      Simon Stoye, Committee Chairman, UBS Investment Research
           Riccardo Curcio, FIL Investment Management
               Daryl Roxburgh, BITA Risk Solutions
                Anne Stoye, Administrator, Inquire UK

                       Programme Committee
    Ian Paczek, Committee Chairman, UBS Global Asset Management
                          Paul Bostock, GMO
                 David Bowie, Hymans Robertson LLP
              Mikhail Chernov, London Business School
            Riccardo Curcio, FIL Investment Management
            David Hillier, Leeds University Business School
           Peter Mennie, MFC Global Investment (Europe)
           François Ogliaro, OCCAM Financial Technology
         Peter Pope, Academic Co-ordinator, Lancaster University
               Stephen Satchell, University of Cambridge
             Giuseppe Tedone, Baring Asset Management

                        Research Committee
                 Manraj Ahluwalia, Committee Chairman
                    Giovanni Beliossi, FGS Capital
               David Buckle, Principal Global Investors
            Marlies van Boven, Baring Asset Management
                Inigo Fraser-Jenkins, Lehman Brothers
                    Peter Hopkins, Style Research
                 Andrew Patton, University of Oxford
         Peter Pope, Academic Coordinator, Lancaster University
                John Velis, representative of Inquire Europe
                    Colin Wilson, Barrie & Hibbert

                                                    INSTITUTE FOR QUANTITATIVE
                                                          INVESTMENT RESEARCH

                COMMITTEE MEMBERS
                         at 31 October 2008

                      Nominating Committee
Rupert Goodwin, Committee Chairman, Northfield Information Services (UK)
           John Marsland, Schroder Investment Management
                    Jamie Ridyard, SunGard APT

                             Prize Committee
     Emma Osborne, Committee Chairman, Chubb Investment Services
      Alistair Byrne, UK Seminar Summariser, University of Edinburgh
                      Scott Cogswell, Man Investments
                       Stuart Doole, AXA Rosenberg
                  Tarun Ramadorai, University of Oxford
                  Simon Stoye, UBS Investment Research
                       Colin Wilson, Barrie & Hibbert
                    Laurence Wormald, SunGard APT

                                                            INSTITUTE FOR QUANTITATIVE
                                                                  INVESTMENT RESEARCH

                              INQUIRE UK SPONSORS
                             for the year to 31 October 2008

       Abu Dhabi Investment Authority                       Hymans Robertson LLP
          Aerion Fund Management                               Insight Investment
                Aviva Investors                         Irish Life Investment Managers
       AXA Investment Managers UK                               Lehman Brothers
   AXA Rosenberg Investment Management                         MAN Investments
                Baillie Gifford                        MFC Global Investment (Europe)
             Banque Pictet & Cie                       Morgan Stanley & Co International
          Barclays Global Investors                     MPS Asset Management Ireland
          Baring Asset Management                                  MSCI Barra
               Barrie & Hibbert                       Northfield Information Services UK
             BITA Risk Solutions                         OCCAM Financial Technology
                   Blackrock                           Old Mutual Asset Managers (UK)
                 CFA Institute                         Pioneer Investment Management
         Chubb Investment Services                    Principal Global Investors (Europe)
                    ClariFi                                     Prudential M&G
          Deka Investment GmbH                                Putnam Investments
         Dimensional Fund Advisors                     Schroder Investment Management
               FGS Capital LLP                             SEI Investments (Europe)
        FIL Investment Management                         State Street Global Advisors
        First State Investments (UK)                             Style Research
                     GAM                                         SunGard APT
       Gandhara Advisors Europe LLP                            Thomson Financial
                     GMO                              UBS Global Asset Management (UK)
      Goldman Sachs Asset Management                       UBS Investment Research
Government of Singapore Investment Corporation                   Watson Wyatt
        Henderson Global Investors                        Winton Capital Management
       Hermes Investment Management


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