Past Meetings and Presentations (ppt & pdf files)
Links to past meetings' announcements and presentations in reverse order (most recent on top).
Note that not all lectors can provide their slides as files.
Announcements - MS Word files. Naming convention - date followed by place (nyc = New York
City, ct = Connecticut (Hartford), sf = San Francisco, boston, chicago, vancouver, washington,
etc.).
Presentations - pdf, ppt, pptx, etc. files (file names also start with the date).
You can open files by clicking on the links - or you can download them by right-clicking - and
saving to your hard drive.
Announcements Where
Descriptions
June 28, 2011
"Regimes and Long Memory in Realized Volatility" - Elena
Goldman, PhD, Pace University Lubin School of Business
New York,
NY
In this presentation, we model regimes derived from non-linearities in the
dynamics of realized volatilities of daily stock returns of 30 companies in the Dow
Jones index and selected ETFs.—Next, we introduce and show how to estimate a
threshold fractionally integrated model (TARFIMA) using Bayesian MCMC with
efficient jump. Finally, a new test based on posterior distributions of the mean
squared forecast errors (MSE) is used for model selection.
"Women In Quantitative Finance: Challenges, Opportunities,
and Experiences" - A Panel Discussion with Interaction from
the Audience Encouraged
Moderator: Susan Hume PhD, Associate Professor, The College of New
Jersey School of Business
Panelists:
Elena Goldman PhD, Associate Professor, Pace University Lubin School of
Business
Sara Grillo CFA, Founder, Grillo Investment Management LLC
Merav Ozair PhD, Investment Research Analyst and Financial Consultant
Dr. Hume will lead the panel in discussing perspectives on challenges and
opportunities for women in the field of quantitative finance. The panelists will
share their own experiences and discuss the importance of mentoring. After the
opening volley of questions directed toward exchanges with the panel, audience
members will be enouraged to ask questions and to share pertinent experiences.
Elena Goldman is an Associate Professor in the Department of Finance and
Economics at the Lubin School of Business, Pace University. She holds a
Ph.D. in Economics (2002) from Rutgers University and a Masters in Physics
(1996) from Moscow Institute of Physics and Technology. Elena Goldman’s area
of research is in the field of time series econometrics, international finance and
financial history. She developed several new Bayesian Markov Chain Monte
Carlo (MCMC) algorithms for estimation of non-linear time series models, which
are popular in many financial and economic time series applications. She
published papers in academic journals and books including Communications in
Statistics, Studies in Nonlinear Dynamics and Econometrics, Empirical
Economics, Economics Letters, Bayesian Statistics and its Applications. She also
presented her findings at numerous international and domestic conferences,
university seminars and for private companies. Elena Goldman teaches graduate
and undergraduate courses in empirical methods for business, international
finance, corporate finance, business economics and courses in the multidiscipline
cohort program in graduate business. She received a number of academic
research grants and prizes, such as Sidney Brown Prize in Economics from
Rutgers University and Eugene Lang Student-Faculty Fellowship from Pace
University. Visit her at http://webpage.pace.edu/egoldman/
Sara Grillo is Founder of Grillo Investment Management LLC. Before
founding Grillo Investment Management, Ms. Grillo worked at Fidelity
Investments, JPMorgan, Lehman Brothers, and Rochdale
Investment Management. She is a CFA® charterholder. Ms. Grillo graduated
from Harvard College in 2000. In 2007 she earned a graduate degree in
business administration from New York University Stern School of Business. Ms.
Grillo is an Adjunct Professor of Economics and a mentor to younger women and
minorities. Sara is also a member of the Steering Committee of the NYC Chapter
of QWAFAFEW. Visit her at www.saragrilloinvestments.com
Susan Hume is Associate Professor of Finance and International Business
at The College of New Jersey (TCNJ) School of Business. Dr. Hume has
teaching, research and professional experience in the areas of International
Finance and Capital Markets, Banking, and Derivatives Securities. She
collaborates with students on research, most recently on domestic microfinance
and social responsibility. She is currently teaching courses in corporate finance,
international finance and capital markets, currency crises and finance capstone in
research at TCNJ. She has also taught similar courses at Baruch College and for
their Executive Business program in Taiwan. She earned her doctorate in
Finance and Economics at Baruch College, Zicklin School of Business, grad
degree in advanced business from Rutgers School of Management and BA in
American Studies from Douglass College, Rutgers University. She has worked
extensively in hedging and derivatives securities, bank lending and bank
regulations. Susan is also a member of the Steering Committee of the Princeton
Chapter of QWAFAFEW. Visit her at
http://www.tcnj.edu/~business/faculty/hume.html
Merav Ozair PhD, CPA, is an Independent Investment Research Analyst and
Financial Consultant. Dr. Ozair has teaching, research and professional
experience. As an adjunct overseas professor, she has taught courses in finance
and accounting at the Pace University Lubin School of Business. She has more
than 11 years of experience in research and product development, including
expertise in programming large datasets, fundamental financial analysis and
equity valuation, macroeconomics, econometrics and investment theory. She
earned her doctorate in Accounting and Finance at the NYU Stern School of
Business. Her graduate degree in Economics and undergraduate degrees in a
Accounting and Economics are from Tel Aviv University in Israel. Merav is a
member of the SQA, PRMIA, the American Accounting Association, and the NYC
Chapter of QWAFAFEW. She also has been honored as a member of Beta
Gamma Sigma. Dr. Ozair may be contacted via e-mail at
[email protected].
June 21, 2011 –
Tuesday
Boston,
MA
Intraday Alphas in the Intraday Trade Execution of Portfolios –
Thorsten Schmidt, Thor Advisors LLC
June 13, 2011 Monday
Hartford,
CT
Options for Managing Volatility and Improving Portfolio
Return/Risk Ratios – Matthew Moran, CBOE - As investors
have struggled to cope with bear markets over the past
decade, more attention has been focused on alternative
investments and tools that can be used to achieve the goals of
managing portfolio risk, increasing income, and enhancing
long-term risk-adjusted returns. This presentation discusses a
number of risk-management strategies and related benchmark
indices, including the protective put, the buy-write, the
collateralized put-write, the protective collar, and the use of
futures and options on the CBOE Volatility Index (VIX) that
measures implied volatility. Twenty-two years of historical data
show that certain options-based benchmark indices have
generated attractive risk-adjusted returns, with stock-like
returns and bond-like volatility. A key source of return for
options writers has been a persistence of "overpricing" for
index options.
The presentation will also review past studies by Duke
University, EnnisKnupp, Ibbotson Associates, and Callan
Associates, and it will explore the benefits and disadvantages
of key options strategies. Mr. Moran will also discuss the
newly released Oil Volatility Index Options (OIL) along with
projected uses by investment professionals.
Bio:
Matthew Moran is vice president of business development for the
Chicago Board Options Exchange (CBOE), where he is responsible for
many of the exchange's educational efforts for pension funds, mutual
funds, and other institutional investors. Previously, he was trust counsel at
Harris Bank and vice president at Chicago Mercantile Exchange. He is an
associate editor of The Journal of Trading and is on the advisory boards of
the Chartered Alternative Investments Analyst Association and Journal of
Indexes. Mr. Moran holds JD and advanced business degrees from the
University of Illinois..
Thanks to SNL Financial, www.snl.com,for underwriting a substantial
portion of this event.
SNL Financial is the premier provider of breaking news, financial data and
expert analysis on business sectors critical to the global economy:
Banking, Insurance, Financial Services, Real Estate, Energy and Media &
Communications. SNL's information service provides investment
professionals, from leading Wall Street institutions to top corporate
management, with access to an in-depth electronic database, available
online and updated 24/7.
We hope to see you on Monday June 13th. Please invite friends.
Feedback and ideas for what you would like to see in other meetings
(speakers, time changes, venue changes, topics) is always most welcome.
Please e-mail [email protected] with your suggestions at any
time. Have a last minute question or need directions? Call Herb Blank at
917-992-7852.
June 8, 2011 Wednesday
New York,
NY
"An Innovative Look at Credit Risk" and "Fed Interest
Rate Target Announcements"
6:20 - 7:00 "An
Innovative Look at Credit Risk" - George Bonne,
PhD, PRM
The importance of unbiased, timely and predictive models of credit risk was
highlighted in the recent financial crisis and continues to be on investor's
minds today. This discussion will focus on how additional data, such as
analyst estimates and textual data from news, conference call transcripts,
and filings, can provide additional perspectives and improve upon
traditional methods of estimating corporate credit risk that rely on equity
prices and reported financial information. In addition to providing better
estimates of default risk, the outputs of these models can be used to add
alpha to equity and other investment strategies.
7:00 - 7:15 Break - Drinks & Refreshments
7:15 – 7:55 The Impact of the Federal Reserve's Interest Rate
Target Announcement on Stock Prices - Stephen Figlewski
PhD, Professor of Finance, New York University - This discussion
focuses on the "informational microstructure" of the stock market around
Fed Funds target announcements. The market's risk-neutral probability
density function for future stock prices is extracted deom real-time option
prices using a non-model dependent procedure. Results demonstrate that
the market's adjustment to news continues well beyond the information
release.
Thanks to Thomson Reuters for sponsoring this event.
Bios
George Bonne, PhD, PRM, is Director of Quantitative Research at Thomson
Reuters StarMine where one of his primary research areas is leading a team
to create a new credit risk model that incorporates data and analytical
approaches from both novel and traditional sources. Additional current
research interests include predicting deals – IPOs and M&As – and creating
more accurate macroeconomic forecasts. Previously he was a Senior
Quantitative Research Analyst at StarMine where he helped create equity
selection models involving valuation, analyst revisions and momentum. He
came to StarMine from KLA-Tencor and Applied Materials, where he
analyzed large data sets to develop mathematical models of the
performance of semiconductor equipment. George holds a Ph.D. and M.S.
in Physical Chemistry from Harvard University and a B.S. in Chemistry from
UC Irvine.
Stephen Figlewski PhD, New York University is a Professor of
Finance at the New York University Leonard N. Stern School of Business,
where he has been since 1976. He holds a B.A. in Economics from
Princeton University and a Ph.D in Economics from the Massachusetts
Institute of Technology. He has published extensively in academic journals,
especially in the area of financial futures and options. He is the founding
Editor of The Journal of Derivatives and he also edits the Financial
Economics Network's two "Derivatives" series published over the Internet.
He is the director of the NASDAQ OMX Derivatives Research Project, which
is a research initiative at the Stern School that supports applied and
theoretical research on derivatives and promotes intellectual interchange
between academics and practitioners in derivatives, risk management, and
financial engineering. Professor Figlewski has also worked on Wall Street.
Recently he took a leave of absence to work on margin setting for creditsensitive securities at Citigroup. Previously, he spent a year at the First
Boston Corporation, in charge of research on equity derivative products,
and was at one time a member of the New York Futures Exchange and a
Competitive Options Trader at the New York Stock Exchange
May 24, 2011 Tuesday
New York,
NY
May 19, 2011
Thursday
Chicago, IL Chicago QWAFAFEW along with the IIT Stuart Center for Financial
Markets and Chicago PRMIA co-sponsor a meeting on
Thursday, May 19th, from 5:00 to 7:00 p.m. at the IIT Stuart Center
for Financial Markets, 565 W. Adams Street, Room 270. The
meeting's theme is:
Strategy Night, Savita Subramanian, BA Merrill Lynch & Vinny
Catalano, Blue Marble Capital
“High-Frequency Trading: An Evolving Art and a Regulatory
Conundrum”
The Speakers are:
• Ms. Elizabeth King, Head of Regulatory Affairs, GETCO
• Mr. John McPartland, Senior Policy Advisor, Federal Reserve Bank
of Chicago
• Ms. Diane Saucier, Vice President Global Market Development,
Trading Technologies
• Mr. Jared Vegosen, Managing Director, DV Trading Chicago (a
division of RCG)
The meeting will be moderated by Michael Gorham, Industry
Professor and Director, IIT Stuart Center for Financial Markets.The
shift from floors to screens has brought many benefits, such as lower
costs, tighter markets, greater transparency and quicker execution.
Few of us, however, saw ahead to co-location, naked access, and
jockeying for microsecond advantages. All evolving technologies will
face unanticipated problems. The May 6, 2010 “Flash Crash,” for
example, would not have occurred in a floor-based environment.In
this discussion, organized by Professor Gorham, market participants
will explore the current state of high-frequency trading, including the
competitive and regulatory challenges faced by the trading firms as
well as the policy issues faced by their regulators (the SEC and
CFTC).. Admision is $10. Past Chicago QWAFAFEW presentations
can be found here:
http://www.qwafafew.org/index.php/chapters/chicago
Tuesday, May
17, 2011
Boston,
MA
Boston- Is Investment Management a Profession? - Dr. John Minahan
John Minahan is a Senior Lecturer in Finance at the MIT Sloan School of
Management. Previously, he had a career in pension and investment
consulting. He is a past president of the Boston Security Analysts Society,
and is currently a member of the Steerage Committee of Boston
QWAFAFEW. He holds a Ph.D. from MIT, a BS from Boston College,
and is a CFA Charterholder
Speaker Bio:
Wednesday,
May 11, 2011
Princeton,
NJ
Wednesday May 11th in Princeton NJ “Use of Intraday Alphas in Algorithmic Trading" with Thorsten
Schmidt
"FIXatdl" with Robert Golan
JThorsten Schmidt is Managing Director at Thor Advisors LLC - A wellknown expert in development and implementation of trading systems,
Thorsten currently serves as Managing Director of Thor Advisors. Prior
stops include being a quantitative trader at HAP Capital Group and serving
as FIrst Vice President of Algorithmic Trading for Instinet for six
years. His Economics degree is from Columbia University. Robert
Golan is Information Rules Architect, Developer, and Scientist at DBMind
Technologies, Inc. Robert Golan's current research and consulting
endeavors focus on the design and implementation of Web Services (SOA)
based Financial & Pharmaceutical Data Warehouses(with OLAP/ETL)
while integrating Data Mining techniques in a BI theme. Robert is an
expert in Financial Engineering specific to Credit/Operational Risk,
Mortgage Finance, and Capital Markets on the Middle Office interconnects
to the Front(Bloomberg/TradeWeb/Fidessa/Agora) and
Backoffice(ADP/ICI/Rolfe&Nolan) operations. Robert's research abilities
(M.Sc.) coupled with his work experience, give him an outstanding ability
to evaluate and apply new technologies and products. Robert's research
focus since the early 90's has been Advanced Algo Trading with AI/CI
integrations. Robert has over twenty years of experience designing,
developing, and maintaining information technology systems. Project
management and team leadership has been an integral part of Robert's
accomplishments and duties which includes offshoring and onshoring with
teams from India/China. Robert is an expert on SOA/Web Services with
Data Warehousing and AI based Advanced Algo Trading platforms.
Tuesday, April
26, 2011
San
Francisco,
CA
San Francisco QWAFAFEW - Event Driven Trading and the “New
News”: The Other Information Revolution in Markets - David Leinweber
Speaker: David Leinweber, Leinweber & Co.
Where: L'Olivier French Restaurant 465 Davis Ct San Francisco, CA
94111 (415) 981-7824
Topic: Event Driven Trading and the “New News”: The Other Information
Revolution in Markets
Abstract: There are two information revolutions underway in trading and
investing. Most of the headlines focus on structured quantitative market
information at ever higher frequencies. The other technology revolution in
trading and investing is driven by qualitative, textual and relationship
information. This is important for people who make their living in finance
on scales longer microseconds, even days.
What constitutes “news” is a moving target, as vendors and investors
expand and automate collection from primary and proprietary sources,
including social media. This is increasingly used for event driven alpha
signals. Demonstrations of this using commercial “state of the practice”
news systems from Thomson Reuters are a part of this talk. A model
sequestered for nearly a year and tested on unseen price and news
produced an alpha exceeding 10% over its unseen test period, the first
three quarters of 2010.
The ideas of extracting and analyzing complex language and relationships
is a broader topic, beyond news, with application in risk measurement, as
well as an alpha source. One of the lessons of the recent financial crisis
was that relationships between firms can amplify for risk. Computers are
getting quite adept at understanding both language and relationships. We
saw an impressive demonstration of this in the IBM Watson computer’s
blowout win over human Jeopardy champs. The concluding portion of this
talk describes MIDAS, another IBM developed system, which
demonstrates impressive advanced capabilities in this sphere.
Speaker Bio:
Dr. Leinweber, author of "Nerds on Wall Street: Math, Machines and
Wired Markets" (Wiley 2009), is Principal of Leinweber & Co. His
professional interests focus on how modern information technologies are
best applied in trading and investing, and how technology affects global
financial markets. Clients at his consulting and software business include
some of the world's largest investment managers, hedge funds, brokers and
exchanges.
Recent, in a part-time public service role, he co-founded the nascent
Center for Innovative Financial Technology at Lawrence Berkeley
National Lab to build a bridge between the world of high performance
“supercomputing” and finance.
http://www.lbl.gov/CS/CIFT.html
Tuesday, April
26
New York,
NY
Factor Risk Models & Optimization Presentation followed by Panel Discussion with 4 founding
experts in the field
Panelists:
Sebastian Ceria, PhD, CEO and Founder, Axioma
Tery Marsh, PhD, President and CEO, Quantal
Frank Nielsen, CFA, Executive Director and Head of Index Research,
MSCI Barra
Moderator: Ed Matluck, PhD, co-Founder, HedgeMetrics
All are welcome to attend. You need not be a member to attend this
meeting. Please come as early as you can as we have a lot of ground to
cover and 3 great panelists.
Time: 5:30 PM – 8:30 PM
Venue: Patrick Conway's Pub & Restaurant (downstairs), 40 E 43rd
St (between Madison & Vanderbilt), NY, NY – ½-block from Grand
Central Station. www.patrickconways.com
RSVP to [email protected] and March 29th in Subject Line. In
text body, please provide the names, phone numbers, company name,
emails, and membership status for each attendee.
Admission Fees accepted at door:
$30 for Paid-up Members of any QWAFAFEW Chapter;
$40 for members of CAIA, CQA, PRMIA, SQA, GARP, SPA, or any
CFAs, unemployed students and/or members of this Linked-In group;
$50 for all other RSVPs
Special Offer: Pay 2011 NYC-Chapter Membership dues of $100 at
door and attend this meeting for free.
If you wish to become a member by mail, please visit www.quaffers.org
and follow membership link in top left tab. If you are not now on this
mailing list, sign up at www.quaffers.org to receive these email
announcements directly.
AGENDA
5:20- 6:05 Registration, Networking, and Refreshments
6:05 - 6:10 Chapter Business - C. Michael Carty, Chapter President
6:10 - 6:15 Introduction of Panelists, Ed Matluck Moderator - Please hold
questions except requests for definition of terms until Q & A period at
7:15
6:15 - 6:35 "Optimization and Factor RIsk Models" - Dr. Sebatian
Ceria, Axioma
6:35- 6:55 "Calculated “Bets” and the Risk Model to Support Them" Dr. Terry Marsh, Quantal Investors want to take calculated bets on
“known unknowns.” A risk model that best supports these bets combines
two features: (i) it optimally adapts to knowable shifts in factor structure
over time; and (ii) it is flexible in attributing the shifts to the manager’s
strategy. Risk model failures in the crisis were blamed on fat-tailed events,
“unknowable unknowns,” 25 standard deviation events. I discuss that for
models that perform (i) well, the glass is half-full in terms of such model
failures.
6:55- 7:15 "Innovations in Factor Risk Modeling"- Frank Nielsen
CFA, MSCI Barra
7:15 – 7:30 Q & A 7:30 - 7:45 Break - Drinks & Refreshments 7:45 –
8:30 Panel Discussion (All of the Above) Moderated by Dr. Ed Matluck,
HedgeMetrics
Bios
Dr. Sebastián Ceria is the Chief Executive Officer of Axioma. Before
founding Axioma, Ceria was an Associate Professor of Decision, Risk and
Operations at Columbia Business School from 1993 to 1998. Ceria has
worked extensively in the area of optimization and its application to
portfolio management. He is the author of many articles in publications
including Management Science, Mathematical Programming, Optima and
Operations Research. Most recently, Ceria's work has focused on the area
of robust optimization in portfolio management. He has co-authored
numerous papers on the topic, including, "Incorporating Estimation Errors
into Portfolio Selection: Robust Portfolio Construction," which was
published in The Journal of Asset Management. He is a recipient of the
Career Award for Operations Research from the National Science
Foundation. Ceria completed his PhD in Operations Research at Carnegie
Mellon University's Graduate School of Industrial Administration.
Dr. Terry Marsh is President and CEO of Quantal International. He
received his MBA and Ph.D. degrees from the University of Chicago.
Terry served on the finance faculty at the Haas School of Business, U.C.
Berkeley until 2005, and is a former chairman of the Haas Finance Group.
He is presently an Emeritus Professor of Finance at Haas. Before joining
Berkeley, Terry was an Associate Professor of Finance at MIT. He is a
recipient of the Batterymarch Fellowship, was a National Fellow at
Stanford's Hoover Institution, and is a CPA Fellow of the Australian
Society of Accountants. He has consulted for the New York Stock
Exchange, the Options Clearing Corporation, the Industrial Bank of Japan,
New Japan Securities, and Banamex, and was a member of the Presidential
Task Force on Market Mechanisms which investigated the 1987 stock
market crash. Terry was a Yamaichi Fellow and Visiting Professor of
Economics at the University of Tokyo in 1993.
Frank Nielsen CFA is the Executive Director and Head of Index and
Applied Research at MSCI Barra Americas. He is responsible for
managing and enhancing developed and emerging market equity indices
for the Americas region and conducting applied research on clients'
investment and risk management processes.He has written various research
papers on asset allocation and asset-liability management, investing in
equities and, factor and risk models. Prior to joining MSCI Barra in 1993,
Nielsen worked in roles associated with product management, enterprise
risk management and equity research. Nielsen also worked for HypoVereinsbank in Germany as a security and credit analyst. Frank has an
advanced business degree from University of Hamburg and is a Chartered
Financial Analyst.
Dr. Ed Matluck (moderator) is co-founder of HedgeMetrics. He has been
involved in quantitative analysis of markets since 1985. He has held
various positions at sell side brokerage firms and quantitative research
organizations throughout his career. Ed is trained as an economist and
holds a Ph. D. from New York University. Prior to starting Hedgemetrics,
Inc. he consulted with hedge funds on quantitative risk control systems.
Monsday, April
25
Hartford,
CT
ETFS: Myths and Realities - RSVP Today for QWAFAFEW-Hartford
- Monday April 25
All are welcome. Please feel free to invite others Venue: City Steam
Brewery Cafe, 942 Main Street, Hartford, CT
Agenda
5:15 Registration Opens
5:45 Chapter Business - Krista M. Kennedy, QWAFAFEW-Hartford
Steering Committee
5:50 David Abner, Director of Institutional ETF Sales at WisdomTree
Asset
Management Noted author and speaker David Abner will give the audience a "sneak
preview" of excerpts from a soon-to-be-published paper which he coauthored on the title subject. There have been a number of highly
publicized articles picked up by financial journalists withint the past 18
months warning of potential dangers and market aberrations supposedly
associated with ETFs. David will address these articles and the fallacies
associated with many of them. He will also provide his viewpoint on the
realities of the ETF marketplace and what investors and advisors need to
know to protect their clients adequately.
6:45 Q & A
7:00 Adjournment
Please note new policy at Hartford QWAFAFEW for 2011. All programs
to end by 7:00 PM.
To RSVP: Please send an e-mail to [email protected] along with a
name, phone number, organization (if any), e-mail, and membership status
for each attendee.
Admission (pay at the door please. ONLY cash or check (payable to
QWAFAFEW) can be accepted. NO PLASTIC. Paper receipts are
available at the registration table):
$20 Members of the Hartford CFA Society or any QWAFAFEW Chapter;
$30 for members of the CAIA, CQA, PRMIA, SQA, Students/alumni of
any University, and those currently between positions; $40 for all others;
12-month chapter Membership: $50. If you decide to join at this meeting,
pay $50 and attend this meeting for free. Hartford membership good for
reduced rates at other QWAFAFEW meetings.
To be added to our mailing list: please visit www.quaffers.org and fill out
information in top right-hand section on registering to receive our
newsletter.You will receive an e-mail asking you to click on a link to
confirm; please do so.
Hot and cold hors d’oeuvres are complimentary; cash bar
Bio:
David Abner is a well-known figure in the ETF markets, having spoken at
many conferences and been quoted in the Wall Street Journal, Traders
Magazine and Risk Magazine. Abner is currently the Director of
Institutional ETF Sales and Trading at WisdomTree Asset Management
where his primary responsibilities include managing several channels of
the institutional client base, focusing on trading firms, broker dealers, asset
managers and hedge funds. He spends much of his time educating traders
and investors on best practices for Exchange Traded Funds and
implementation of the WisdomTree product suite. He gives graduate level
seminars and has produced a Webinar on valuing and trading ETFs.
Prior to joining WisdomTree, Abner was a Managing Director and the
head of ETF Trading Americas at BNP Paribas in New York. While at
BNP he ran proprietary strategies trading discounts and premiums on
Closed End Funds and ETFs and built an ETF market making business.
Abner started his career at Bear Stearns in 1992, where he ran the closedend fund trading group, traded Japanese convertible bond arbitrage and
Asian equities, and, in 2000, was tasked with building the ETF trading
business, which he ran until his departure from the firm in 2006.
Abner holds a Master of Science in Management and Policy Analysis and
a Bachelor of Arts in Economics from the State University of New York at
Stony Brook. He is New York State certified in Labor Management
Relations and is a member of the ETF committee of STANY (Security
Traders Association of New York). He is also a member of the Economic
Club of New York.
Thanks to WisdomTree, www.wisdomtree.com for underwriting a
substantial portion of this event.
I hope to see you there.
Tuesday, April
19
Boston, Ma
Xi Li, Managing Partner XL Partners,
Assessing Alternative Global Equity Investment
Frameworks - Research Paper Link:
http://papers.ssrn.com/sol3/papers.cfm?abstract_id=174971
5
Abstract: In establishing the foundation of their investment process,
global equity investors typically adopt a framework along
geographic and/or industry dimensions. The chosen framework is
then applied to the whole investment process including alpha
generation, portfolio construction, and risk management, thus
having fundamental implications for investment results. Our paper
provides the first comprehensive study of the feasibility and
optimality of alternative frameworks. We draw on the intuitions and
methodology from the prior debate on whether country-specific or
industry-specific sources of return variations dominate in the
diversification benefits of global equity investing. We find that
region-sector and region-industry frameworks are the optimal
frameworks among the feasible ones. Our results are of importance
to both stock selection and asset allocation investors in global
equities
Tuesday, April
5, 2011
San
Francisco,
CA
San Francisco QWAFAFEW - Modeling Sovereign Correlations
Tuesday April 5:30 PM - 8:30 PM Venue: L'Olivier French Restaurant 465 Davis Ct San Francisco, CA
94111 (415) 981-7824
Speaker: Vojislav Sesum, Ph.D., Moody's Analytics, KMV Portfolio
Research - Abstract: The recent financial crisis has led to considerable
concerns about the impact of sovereign credit risk on credit portfolios. This
talk describes methodology for calculating the asset correlations between
various sovereign credit exposures as well as the correlations between
sovereign credit exposures and other asset classes, such as publicly traded
firms. The methodology and estimation approach rely on the sovereign
CDS market data and on GCorr, Moody's Analytics global multifactor
asset correlation model. Once calculated, the sovereign correlations can
serve as inputs to a portfolio optimizer or a risk estimation system.
Vojislav Sesum is an Assistant Director in the KMV Portfolio Research
group at Moody's Analytics.
Use the acteva link below to register for the meeting or to purchase annual
membership. QWAFAFEW members who have already paid their 2011
dues do not need to register.
http://www.acteva.com/booking.cfm?bevaid=%20217887. The link is
valid only before the meeting. Annual membership fee is a $60. Members
will enjoy free attendance at meetings. One time registration is $20 and
covers refreshments.
To be added/removed to the SF QWAFAFEW mailing list please send
email to [email protected]. For general inquiries, please send
email to [email protected]
Tuesday, March
29
New York,
NY
Evolution of Quantitative Equity Investment Methodologies
and Processes - a Panel Discussion
Panelists:
Indrani De, PhD, Director of Quantitative Research, New Amsterdam
Partners
Jaime Fitzgerald, President and Founder, Fitzgerald Analytics
Margaret Stumpp, PhD, Chief Investment Officer, Quantitative
Management Associates (QM Associates, a Prudential company)
Moderator: Herbert Blank, SVP-Quantitative Products, Rapid
Ratings International
All are welcome to attend. You need not be a member to attend this
meeting. Please come as early as you can as we have a lot of ground to
cover and 3 great panelists.
Time: 5:30 PM – 8:30 PM
Venue: Patrick Conway's Pub & Restaurant (downstairs), 40 E 43rd
St (between Madison & Vanderbilt), NY, NY – ½-block from Grand
Central Station. www.patrickconways.com
RSVP to [email protected] and March 29th in Subject Line. In
text body, please provide the names, phone numbers, company name,
emails, and membership status for each attendee.
Admission Fees accepted at door:
$30 for Paid-up Members of any QWAFAFEW Chapter;
$40 for members of CAIA, CQA, PRMIA, SQA, GARP, SPA, or any
CFAs, unemployed students and/or members of this Linked-In group;
$50 for all other RSVPs
Special Offer: Pay 2011 NYC-Chapter Membership dues of $100 at
door and attend this meeting for free.
If you wish to become a member by mail, please visit www.quaffers.org
and follow membership link in top left tab. If you are not now on this
mailing list, sign up at www.quaffers.org to receive these email
announcements directly.
AGENDA
5:20- 6:10 Registration, Networking, and Refreshments
6:10 - 6:15 Chapter Business
6:15 - 6:20 Introduction of Panelists, C. Michael Carty, Chapter President
6:20 - 6:35 Importance of Disciplined Investment Processes and the
Role of Quantitative Methodologies - My Perspective - Indrani De,
Director of Quantitative Research, New Amsterdam Partners
6:35- 6:50 Importance of Disciplined Investment Processes and the
Role of Quantitative Methodologies - My Perspective - Margaret
Stumpp, Chief Investment Officer, QM Associates
6:50- 7:05 Importance of Disciplined Investment Processes and the
Role of Quantitative Methodologies - My Perspective - Jaime
Fitzgerald, President and Founder, Fitzgerald Analytics
7:05 – 7:20 Break
7:20 – 8:15 Panel Discussion (All of the Above) - Evolution of
quantitative investment methods over time - what have we learned?
Bios
Indrani De, CFA, Director of Quantitative Research, received an
undergraduate degree in Economics (Honors) from the University of Delhi,
and a graduate business degree from the Indian Institute of Management.
Ms. De completed coursework for a PhD (Business-Major in Finance) at
the City University of New York. Prior to her doctoral studies, Ms. De
worked as an Investment Analyst for GE Capital Services. Ms. De has also
worked in equity investment positions at Birla Global Finance and 20th
Century Venture Capital. In addition, she has been published in the
Journal of Investing and NYSSA Financial Professionals' Post.
Jaime Fitzgerald is the Founder and President of Fitzgerald Analytics,
a “next generation” consulting firm which uses quantitative methods,
technology, and process innovation to convert "Data to Dollars™." Jaime
is a frequent speaker at national conferences on the subject of innovation in
data, technology, and analytics. The morning after joining our panel,
Jaime will give the keynote presentation and facilitate a panel discussion
on “Analytics in Financial Services,” at an event co-sponsored by The
Data Warehousing Institute and the New York Technology Council. He is
the co-author of several published articles, including two articles in the
Journal of Management Development. Previously, Jaime worked for First
Manhattan Consulting Group and Novantas LLC. He received his BA in
economics, with honors, from Harvard University.
Margaret Stumpp, PhD is the Chief Investment Officer of
Quantitative Management Associates (QMA). She is portfolio manager
for equity portfolios for institutional investors and mutual fund clients and
is extensively involved in quantitative research in asset allocation, security
selection and portfolio construction. Maggie has published articles on
finance and economics in numerous publications, including The Financial
Analysts Journal, The Journal of Portfolio Management, The Journal of
Investment Management and Award Papers in Public Utility Economics.
Maggie earned a BA cum laude with distinction in Economics from
Boston University and holds an AM and PhD in Economics from Brown
University.
Herbert Blank (moderator) is Senior Vice President of Rapid Ratings
International and Head of its Quantitative Products group. Among his
responsibilities are business development and product develoment.
Working with QED International, the consulting firm he founded in 1997,
Herb had been a consultant to Rapid Ratings for more than three years.
Among the more noteworthy ETF launches on which Herb consulted were
iShares and Van Eck Market Vectors. He has also written articles and
book chapters on ETFs and index issues. Prior to this, Herb managed the
CountryBaskets Index Fund ETF Portfolios for Deutsche Bank; these were
the first ETFs to trade on the NYSE. Prior stops included Value Line and
Fidelity Bank. Herb is Vice President and Steering Committee Chair man
of QWAFAFEW-NYC. He holds a graduate degree from the Stern School
of Business of NYC and a BA in Mathematics from the University of
Pennsylvania.
Wednesday,
March 16
New York,
NY
"Minimum Volatility Portfolios" - WEDNESDAY March 16, 2011
Ruben Falk, Senior Manager, Capital IQ
"Leveraging Minimum Variance to Enhance Portfolio Returns"
Yin Luo, Managing Director and Head of Global Quantitative Strategy, Deutsche Bank
Securities
"The Puzzling Relationship between Risk and Return - Defensive and Offensive strategies"
All are welcome to attend. You need not be a member to attend this
meeting.
Time: 5:30 PM – 8:30 PM
Venue: Patrick Conway's Pub & Restaurant (downstairs), 40 E 43rd St
(between Madison & Vanderbilt), NY, NY – ½-block from Grand Central
Station.
AGENDA
5:30 - 6:15 Registration, Networking, and Refreshments
6:15 - 6:20 Chapter Business
6:20 – 7:10 Ruben Falk, Senior Manager, Capital IQ, "Leveraging
Minimum Variance to Enhance Portfolio Returns" Analysis shows that
the performance of certain minimum variance portfolios can provide an
after-transaction-costs annual return as much as twice that of the S&P 500
with half the realized volatility. Leveraging our proprietary US
Fundamental Risk Model and Alphaworks factor library, we demonstrate
how the minimum variance portfolio can be used in combination with tilts
to other factors. We discuss the difficultly in beating the minimum
variance portfolio, and how style tilts can be implemented to achieve a
similar level of return with lower turnover, but higher realized risk. By
extension, our research suggests that for many active strategies the
inclusion of the minimum variance objective, while maintaining strong tilts
to the original strategy is likely to enhance manager performance.
7:15 – 7:25 Break
7:25 – 8:15 Yin Luo, Managing Director and Head of Global
Quantitative Strategy, Deutsche Bank Securities,"The Puzzling
Relationship between Risk and Return - Defensive and Offensive
strategies" - lMinimum volatility portfolios are not new. Although they
have some intriguing properties, low risk is not necessarily one of them.
This presentation explores this puzzling relationship and examines some
defensive and offensive applications of the construct.
Bios
Ruben Falk has been with Standard & Poor's Capital IQ and Clarifi in
Europe and the US since 2006. Prior to that he was Founder and CEO of
marketscalpel.com. From 1999-2002, Ruben was a DIrector for UBS
Investment Bank after having served 3 years with LEK Consulting. Ruben
has his masters degree in business from the Walter Haas School of
University of California at Berkeley.
Yin Luo iis Managing Director and Head of Global Quantitative
Strategy for Deutsche Bank Securities. In the prior decade he held
similar positions with CIBC World Markets and MAcquarie Capital
Markets. Earlier stops included KPMG and TD Canada Trust. His Masters
in Accounting is from University of Toronto and his undergraduate degree
is from Renmin University in China.
Thanks to Capital IQ for helping to underwrite the cost of this event
Wednesday, Mar Denver, CO Forecast Bias Risk in Optimized Portfolios - Jennifer Bender PhD, VP
16, 2011
- Applied Research, MSCI, Inc.
“Forecast Risk Bias in Optimized Portfolios”: When there is noise in a
covariance matrix, portfolio optimization tends to produce portfolios for
which the risk forecasts are underestimates of the true risk. In this paper,
we take a closer look at the connection between estimation error and the
underestimation of the risk of optimized portfolios. We pay special
attention to the case in which returns have a known factor structure. There,
the bias in optimization can be reduced dramatically by using a covariance
matrix based on a factor model, rather than one computed from historical
asset covariances. Moreover, our analysis reveals that for many active
portfolios, the bias in factor-model forecasts is less than previously
thought. Lastly, we discuss the role of constraints in mitigating risk
forecasting bias.
Jennifer Bender is a Vice President in Applied Research at MSCI Inc., a
publicly traded company (NYSE: MSCI) and a leading global provider of
investment decision support tools, including indices and portfolio risk and
performance analytics. MSCI has clients in over 60 countries, and more
than 2,000 employees located around the world. Jennifer works on
portfolio management and risk related research for asset owners and
investment managers. Previously Ms. Bender was a quantitative analyst at
State Street Associates. Ms. Bender’s research areas in addition to risk
management and portfolio theory include investor behavior, market
microstructure, market efficiency and asset pricing. Ms. Bender has held
research assistantships at Harvard Business School and MIT, and spent
four years as an economist for Standard & Poor's DRI. Ms. Bender holds a
PhD and MS from Brandeis University in International Economics and
Finance.
Date/Time: Wednesday, March 16th, 2011, at 5:30PM. Networking,
hors d'oeuvres (including vegetarian options), 6:15 PM: Presentation
Location:
Marco's Coal Fired Pizza, 2129 Larimer St., Denver
Admission:
Free for Members; $45 for Guests
RSVP:
Secure your seat by emailing your registration and
sending your check to the following address prior to the event. Please
make checks payable to QWAFAFEW Denver.
Address:
80120
Secretarial Solutions, 6057 S. Lakeview St., Littleton CO
Questions:
Website:
Email [email protected]
www.qwafafew.org
See our website http://www.qwafafew.org/index.php/chapters/denver for
information about upcoming events. You'll also find copies of
presentations and background material from past meetings.
Tuesday, Mar
15, 2011
Boston,
MA
Variations on Minimum Variance - Ruben Falk, Senior
Manager, Capital IQ
RSVP: e-mail Hugh Crowther at [email protected]
Abstract: Analysis shows that the performance of certain minimum
variance portfolios can provide an after-transaction-costs annual return
significantly higher than the S&P 500 with much less volatility.
Leveraging our style based US Fundamental Risk Model, we demonstrate
how the minimum variance portfolio can be used in combination with style
tilts. We discuss the difficultly in beating the unconstrained minimum
variance portfolio, and how style tilts can be implemented to achieve
higher levels of return without commensurately higher risk. By extension,
our research suggests that for many active strategies the inclusion of a
minimum variance objective, while maintaining strong tilts to the original
strategy, is likely to enhance manager performance.
Ruben Falk, Senior Product Manager, Capital IQ, has been with Standard
& Poor's Capital IQ and ClariFI in Europe and the US since 2006. Prior to
that he was Founder and CEO of marketscalpel.com. From 1995-2002,
Ruben was a Director with UBS Investment Bank after having served 3
years with LEK Consulting. Ruben has his masters degree in finance from
the Walter Haas School of University of California at Berkeley.
Time: 6:15 sharpe. Venue: 3rd Floor of Tennis & Racquet Club, 939
Boylston Street. Guest fee for attendance is $30. Members attend at no
charge. If you are not yet a member or have not paid your dues lately, you
may pay your annual dues of $150 (your membership year starts on the
day you pay). We will be raising annual dues soon, and turning over
record-keeping to a professional service, so it would behoove you to pay
now in order to delay your own dues increase! You may bring cash or
check for either amount ($150 or $30) made out to "QWAFAFEW" and
give it to our Treasurer, Hugh Crowther. Please let us know if you intend
to come to the meeting. Walk-ins are always welcome; still, we greatly
appreciate all RSVPs so that we can have adequate food and drink on hand
Thursday, Mar
10, 2011
Chicago, IL Thursday March 10, Chicago IL - A Joint Meeting with
Chicago QWAFAFEW (http://www.qwafafew.org)
and Chicago PRMIA (www.prmia.org).
"The Future of Exchanges: Technology, Risk, Regulation, CDS
Clearing and Competition."
The Speakers for the March meeting are:
[1] Mr. Chris Edmonds, ICE Clearing; [2] Dr. Michael Gorham, IIT; [3]
Mr. Richard Heckinger, Federal Reserve Bank of Chicago; Moderator:
Dr. Barry Feldman, Russell Investments
Please RSVP via
Acteva http://www.acteva.com/go/ChicagoQWAFAFEW by March 3.
Alternatively, please RSVP to [email protected] and pay $15 at the
door. Please note that due to security policies in the building, we
cannot accomodate walk-ins. Thank you to Mr. Sanjay Arya, Director of
Morningstar Indexes at Morningstar Inc., for hosting this meeting.
Tuesday, Mar 8,
San
SF QWAFAFEW - Tuesday March 8th Speakers: Andrew
2011
Francisco,
CA
Rudd, CEO & S Raj Rajagopal, Associate Portfolio Manager
Advisor Software Topic: Goal-driven Investing -- LDI for
Retail Investors
Venue: L'Olivier French Restaurant. L'Olivier is located at 465 Davis Ct,
San Francisco, 94111, about 4 1/2 blocks north of Market Street from the
Embarcadero BART station.
Start time: 5:30 PM; End time: 7:30 PM
Registration and more info:
http://www.acteva.com/booking.cfm?bevaid=+216084
Payment Options through Acteva.com only
Pay for the March 8th meeting only. Price: $20.00
Annual Membership includes attendance at all 2011 events. Price: $60.00
(better deal)
Speakers: Andrew Rudd, CEO & S Raj Rajagopal, Associate Portfolio
Manager
Advisor Software
Topic: Goal-driven Investing -- LDI for Retail Investors
Abstract:
This talk will stress that a holistic view of investors' resources and goals is
essential for a more reliable portfolio construction and asset allocation.
Rather than an asset-only approach aiming to beat some arbitrary
benchmark, we identify a balance-sheet approach to identify client goals
and inventory client resources, then develop a strategy that is optimized to
most efficiently fund the client goals. It is superior because the resulting
asset-allocation is more resilient to the vagaries of future asset class
returns. This approach rests on the fundamental premise that the amount of
surplus or 'cushion' that an investor has between his/her resources and
his/her commitments should influence how much risk he/she is willing to
tolerate in the portfolio asset allocation. It differs from the traditional
method in that it uses a quantitative balance-sheet approach to measure this
cushion and so identify the client's risk capacity, rather than a
psychological risk questionnaire to measure clients' risk tolerance.
Speaker Bios:
Dr. Andrew Rudd is the Chairman and CEO of Advisor Software. He is an
expert in asset allocation, modern portfolio theory, risk management, and
performance measurement. Andrew is also a co-founder and former
chairman and CEO of Barra, Inc., where he served as CEO from 1984 to
1999. He is the co-author of two industry-leading books on institutional
investing: "Modern Portfolio Theory: The Principles of Investment
Management" and "Option Pricing".
S. Raj Rajagopal is an Associate Portfolio Manager at Advisor Partners.
Previously, he was a portfolio manager at the Cayuga Fund, LLC. He has
also worked for JP Morgan Chase and Capital One. He is a Chartered
Alternative Investment Analyst (CAIA) He holds a B.Tech and a M.Tech
from the Indian Institute of Technology Bombay, India, a MS from the
University of Maryland, College Park and a MBA from Cornell
University.
Tuesday, Mar
15, 2011
Boston,
MA
Variations on Minimum Variance - Ruben Falk, Senior
Manager, Capital IQ
RSVP: e-mail Hugh Crowther at [email protected]
Abstract: Analysis shows that the performance of certain minimum
variance portfolios can provide an after-transaction-costs annual return
significantly higher than the S&P 500 with much less volatility.
Leveraging our style based US Fundamental Risk Model, we demonstrate
how the minimum variance portfolio can be used in combination with style
tilts. We discuss the difficultly in beating the unconstrained minimum
variance portfolio, and how style tilts can be implemented to achieve
higher levels of return without commensurately higher risk. By extension,
our research suggests that for many active strategies the inclusion of a
minimum variance objective, while maintaining strong tilts to the original
strategy, is likely to enhance manager performance.
Ruben Falk, Senior Product Manager, Capital IQ, has been with Standard
& Poor's Capital IQ and ClariFI in Europe and the US since 2006. Prior to
that he was Founder and CEO of marketscalpel.com. From 1995-2002,
Ruben was a Director with UBS Investment Bank after having served 3
years with LEK Consulting. Ruben has his masters degree in finance from
the Walter Haas School of University of California at Berkeley.
Time: 6:15 sharpe. Venue: 3rd Floor of Tennis & Racquet Club, 939
Boylston Street. Guest fee for attendance is $30. Members attend at no
charge. If you are not yet a member or have not paid your dues lately, you
may pay your annual dues of $150 (your membership year starts on the
day you pay). We will be raising annual dues soon, and turning over
record-keeping to a professional service, so it would behoove you to pay
now in order to delay your own dues increase! You may bring cash or
check for either amount ($150 or $30) made out to "QWAFAFEW" and
give it to our Treasurer, Hugh Crowther. Please let us know if you intend
to come to the meeting. Walk-ins are always welcome; still, we greatly
appreciate all RSVPs so that we can have adequate food and drink on hand
Tuesday, Feb 22, New York,
2011
NY
Jim K. Liew, PhD, NYU Stern "FX Optimal Pairs for Hedge
Funds" Davi Valledao and Astrid Prajogo, Princeton U- "The
Value of Cash in a Corporate Setting"
New York Chapter - papers available on www.quaffers.org in center
section
ACADEMIC RESEARCH NIGHT featuring two breakthrough studies
AGENDA
5:30 - 6:15 Registration, Networking, and Refreshments
6:15 - 6:20 Chapter Business
6:20 – 7:10 Jimmy Liew, PhD, Adjunct Assistant Professor, New York
University Stern School of Business - "Optimal FX Pairs for Hedge
Funds"
7:10 – 7:25 Break
7:25 – 8:10 Doctoral Candidates Astrid Prajogo and Davi Valladao Princeton University "The Corporate Cash Holdings Anomaly" - Classical economic theory
views cash holding as costly to shareholders. The agency cost theory also
argues that excess cash holding allows managers to more easily invest in
value-decreasing projects, which are in conflict with shareholders' interest.
However, corporations hold cash to maintain the ability to finance
investments when the current cash flow is insufficient to meet investment
demands. We start our discussion with some empirical evidence on
corporate cash holding behavior and its impact on the firm’s stock returns.
Then, we present a multi-period model of a firm facing stochastic
investment opportunities and cost of external financing. Our model
suggests that under a regime-switching framework, the optimal policy is to
save cash during times of economic expansion and employ that cash
savings when external financing is most costly.
Bios
Jim K. Liew, Ph.D., CEO at Alpha Quant Club - Dr. Liew obtained his
Ph.D. in Finance from Columbia Business School. He enjoys teaching
Statistical Arbitrage at Columbia, Baruch, and Johns Hopkins, and Topics
in Hedge Fund Strategies at NYU Stern School of Business, as an Adjunct
Professor. Dr. Liew has previously worked at a large macro quant fund and
an ultra-high frequency stat arb fund, where he built, back-tested, and
implemented systematic investment strategies. Dr. Liew has published
numerous papers with regards to hedge fund investing and quantitative
investment strategies
Astrid Prajogo is a PhD Candidate in Operations Research and Financial
Engineering at Princeton University. Prior to her studies at Princeton
University, Astrid was a derivative valuation consultant at Duff & Phelps.
She also holds a Master’s degree in Financial Mathematics from Stanford
University and Bachelor’s degrees in Mathematics and Economics from
the University of California-Irvine.
Davi Valladão is PhD candidate at the Electrical Engineering Department
at Pontifical Catholic University of Rio de Janeiro (PUC-Rio), Brazil. He
is also a visiting student research collaborator in Operations Research and
Financial Engineering at Princeton University and his concentration area is
decision support systems applied to finance. Davi participated in Asset and
Liability Management (ALM)research and development projectsfor the
largest Brazilian oil company and for the public pension fund of Angola.
He has also a Master's degree in Actuarial Science and Finance (2008) and
a Bachelor’s degree in Electrical and Industrial Engineering (2006) at
PUC-Rio..
Wednesday, Feb Princeton,
16, 2011
NJ
Quantifying Sustainability
Dan diBartolomeo, Founder and Principal, Northfield Information
Systems
"Equity Risk, Credit Risk, and Sustainability"
John Prestbo, Senior Editor, Dow Jones Indexes
"The Quantitative Side of Sustainable Investing"
Nassau Club, 6 Mercer Street, Princeton, NJ 08540 - Free parking in back
AGENDA
5:15 – 5:50 PM Registration, Refreshments, and Networking
5:50 – 6:00 PM Welcome to QWAFAFEW – H. Blank
6:00 – 7:25 PM – Dan DiBartolomeo
7:25 - 8:15 PM - John Prestbo
Wednesday, Feb Denver, CO Modern Microstructure - From the Flash Crash to High
16, 2011
Frequency Trading - Alison Crosthwait, Instinet
Marco's Coal Fired Pizza, 2129 Larimer Street
Presentation available by going to www.qwafafew.org and going to the
Denver page. Alison Crosthwait is Instinet’s Director of Global Trading
Research. In this role, she leads the firm’s global market microstructure
research publishing efforts. Ms. Crosthwait was previously Head of
Research at ITG Canada. Prior to that, she was a program trader at ITG,
primarily covering quantitative investment firms. Ms. Crosthwait also held
various roles in Goldman Sachs’ high frequency trading group and on
Credit Suisse’s program trading desk. She is a CFA charter holder and
holds a Masters degree in Computational Finance from Carnegie Mellon
University.
Questions: Please e-mail [email protected]
RSVP: Secure your seat by emailing your registration and sending your
check to the following address prior to the event. Please make checks
payable to QWAFAFEW Denver.
Address: Secretarial Solutions, 6057 S. Lakeview St., Littleton CO 80120
Questions: Email [email protected]
Website: www.qwafafew.org
See our website http://www.qwafafew.org/index.php/chapters/denver for
information about upcoming events. You'll also find copies of
presentations and background material from past meetings.
Tuesday, Feb 15, Boston,
2011
MA
Motivational Performance Analysis - Jarrod Wilcox, Wilcox
Investment
Time: 6:15 PM sharpe
3rd Floor of the Tennis & Racquet Club, 939 Boylston Street
RSVP to [email protected]
Investment performance measurement that does not lead to improvements
in investor welfare seems beside the point. Yet that appears typical in
practice, not only for the individual investor but also for enterprise risk
management. The financial service industry needs to add more value to
avoid commoditization and over-regulation. This presentation shows how
to better design motivational performance measures negotiated among
investors, fiduciaries and investment managers. Five examples are
provided to:
1) integrate risk and return objectives to be congruent with best portfolio
optimization,
2) take more comprehensive account of the goals of after-tax optimization,
3) use leveraged log returns to account for tail risks,
4) motivate managers responsible for small portions of the portfolio or
balance sheet
5) simulate Bayesian probability to provide perspective
Jarrod Wilcox has worked as portfolio manager, director of research, and
chief investment officer, investing in US stocks, international stocks,
bonds, and currencies, working closely in many cases with clients with
special needs, both taxable and tax exempt. He is a a former business
school teacher, management consultant, and investment manager.
Wednesday
San
January 26, 2011 Francisco,
CA
Dynamic and Defensive Equity Strategies
Barry Feldman, Ph.D., CFA, Senior Research Analyst, Russell
Investments
This presentation asserts that expansion of the equity style model is long
overdue. Recent research (by Baker, Bradley and Wurgler) implies the lack
of variety in equity style benchmarks is a drag on market efficiency and a
cause of the low volatility anomaly. What directions are promising for the
development of new equity styles and what do manager histories tell us
about these directions? Learn more about SF QWAFAFEW at
http://sites.google.com/site/sfqwafafew/Home
Tuesday,
New York,
January 25, 2011 NY
"Pension Year in Review and Portfolio Risk Mitigation"
TUESDAY January 25, 2011
Ron Ryan, CEO and Chief Financial Risk Officer, Ryan ALM
Jim Pritchard, CFO, Swan Consulting
AGENDA
5:30 - 6:15 Registration, Networking, and Refreshments
6:15 - 6:20 Chapter Business
6:20 – 7:00 Ron Ryan, “Pension Crisis 2011"
How did pension assets and liabilities perform? How realistic are plan
actuarial assumptions now? A deeper dive into decision-making processes.
Process improvements that can help fiduciaries achieve their goals
7:00 – 7:15 Break
7:15 – 8:10 Jim Pritchard, "Portfolio Risk Mitigation: Traditional Methods
vs. New Techniques"
The intent of this presentation is to look at asset allocation to determine if
it does indeed help investors protect against significant losses or even help
in down markets. Asset allocation, market timing and other previously
accepted risk mitigation techniques will be broken down and analyzed as
to their effectiveness. In addition, more recent developments in portfolio
protection and portfolio management will be reviewed and analyzed.
Research will be presented from industry and academic sources that
examine market timing, strategy/dynamic/tactical allocation, de-risking,
hedging and various income strategies. This research review will bring
some surprising “out-of-the box” conclusions on how portfolios are being
managed today and should be managed going forward.
January 19, 2011 Denver, CO Behavioral Finance: Are the Disciples Profiting from the
Wednesday
Doctrine? Presented by Dr. Vaneesha Boney
Where: Marco's Coal Fired Pizza, 2129 Larimer St., Denver
Start time: Wed, January 19, 2011 - 5:30 PM
Ending time: Wed, January 19, 2011 - 7:30 PM
Description:
Behavioral finance has received a great deal of attention in academia over
the past 15 years or so. But attention in academia does not always
correspond with real-world acceptance or success. We analyze 16 mutual
funds that are self-proclaimed or media-identified disciples of behavioral
finance to determine whether 1) they successfully attract investment
dollars and 2) their strategies earn abnormal returns for their investors. We
find these funds are successfully attracting investment dollars, outperform
S&P 500 index funds, load especially heavily on Fama and French’s HML
factor, but fail to earn risk-adjusted abnormal returns. Our results suggest
using behavioral finance in a mutual fund's investing strategy may be of
more benefit as a marketing tool than as a means of earning abnormal
returns.
Speaker: Vaneesha Boney, Reiman School of Finance, University of
Denver
January 19, 2011 Boston,
Wednesday
MA
Chasing Bernie Madoff - Behind the Scenes Perspectives by
Four Boston QWAFAFEW Members
Where: 3rd Floor of the Tennis & Racquet Club, 939 Boylston Street
Start time: Wed, January 19, 2011 - 6:15 PM Sharpe
Description:
Harry Markopolos, co-author of the NY Times Best-seller "No One Would
Listen: A True Financial Thriller" (Wiley 2010) will be presenting on
several of the glaring capital markets and accounting red flags that should
have been obvious to the numerous MBA's, CFA's, Ph.D.'s and other socalled investment professionals that all was not right with Bernard L.
Madoff's hedge fund operation. Mr. Markopolos will take you behind the
scenes into his four-man Madoff team's eight-and-a-half year investigation
across two continents. As a special treat, we have three Boston
QWAFAFEW members serving as discussants who were intimately
involved with investigating Madoff. "No One Would Listen" co-Author
and investigative team member Frank Casey, Dan DiBartolomeo, and
Dave Henry. Members-only. RSVP to: [email protected].
December 21,
2010 Tuesday
Boston,
MA
Time: 6:15 PM sharpe
3rd Floor of the Tennis & Racquet Club, 939 Boylston Street
RSVP to [email protected]
A Holiday QWAFAFEW discussion led by
LAWRENCE POHLMAN, Ph.D.
RETURN FORECASTING BY QUANTILE REGRESSION
Abstract
A typical quantitative approach for analyzing and forecasting equity
returns is to build a model based upon a set of factors and then estimate the
model based upon a set of data and some type of least squares procedure.
However, as the data in equity markets is usually far from well behaved
and some standard statistical assumptions do not hold, this procedure can
miss significant relationships. This paper uses the quantile regression
technique to reveal effects that are missed by OLS. The empirical results
using S&P500 data show dramatic improvement in performance using QR
forecasts.
LARRY POHLMAN is the Chief Investment Officer of the BNP
PARIBAS INVESTMENT PARTNERS Quant Equity
Strategies.Previously, Larry was a partner at Panagora Asset Management
where he directed research for active global equities, fixed income,
currencies and asset allocation products totalling USD18 billion. He also
worked at Independence Investment Associates where he was in charge of
fixed income and currency research. Larry was one of the first members of
Blackrock Financial Management where he was Vice President within the
Fixed Income Portfolio Engineering group. He started his financial career
at Goldman Sachs in Mortgage Securities research. Larry has five degrees
from Columbia University: Ph.D. in Finance, Masters in Finance, MBA,
MS in Operations Research, and BS in Nuclear Engineering.
December 9,
2010 Thursday
Princeton,
NJ
“Leveraging Minimum Variance to Enhance Portfolio
Returns" in Princeton, NJ
Speaker:
Ruben Falk, Senior Manager, S & P Capital IQ/ClariFI
Discussants:
Susan Hume PhD, The College of New Jersey
William Rafter PhD, MathInvest
Nassau Club, 6 Mercer Street, Princeton, NJ 08540 - Free parking in back
$20 Members of any QWAFAFEW Chapter;
$30 Members of any CFA Society, CQA, SQA, PRMIA, GARP, holders
of CAIA, CMT, or CFP Charter,Students/alumni of any NJ University, and
those currently between positions;
$40 all others
12-month Membership $50 (first meeting free with Membership fee)
Hot and cold hors d’oeuvres are FREE; Wine, beer, and soft drinks also
FREE until 6:30 PM
To RSVP: Send an e-mail to [email protected] along with
name, phone number, organization (if any), e-mail, and membership
status.
ONLY cash or check (payable to QWAFAFEW) can be accepted. NO
PLASTIC. Paper receipts are available at the registration table upon
request.
To be added to our mailing list: please go to www.quaffers.org and sign up
on the form in the top right-hand corner. You will need to verify your
address. You will find past presentations and other area events also listed
on the sites. To post an event, job, or relevant link on www.quaffers.org
please e-mail [email protected]. Finally, Princeton now has its own
page on www.qwafafew.org.
AGENDA
5:30 – 6:10 PM Registration, Refreshments, and Networking
6:10 - 6:15 PM Chapter Business & Introductions of Speakers –
Herbert Blank
6:15 Ruben Falk, Senior Manager, CapitalIQ
Leveraging Minimum Variance to Enhance Portfolio Returns
In this presentation, we review Capital IQ’s recent analysis in constructing
style neutral minimum variance portfolios. Our analysis suggests that the
performance of certain minimum variance portfolios can provide an after
transaction costs annual return as much as twice that of the S&P 500 with
half its realized volatility.
Leveraging our proprietary US Fundamental Risk Model and Alphaworks
factor library, we demonstrate how the minimum variance portfolio can be
used in combination with tilts to other factors, such as Growth, Value,
Price Momentum, Analyst Expectations, Capital Efficiency, and Earnings
Quality.
We discuss the difficultly in beating the minimum variance portfolio, and
how style tilts can be implemented to achieve a similar level of return with
lower turnover, but higher realized risk. By extension, our research
suggests that for many active strategies the inclusion of the minimum
variance objective, while maintaining strong tilts to the original strategy is
likely to enhance manager performance.
7:00 Discussants Forum with Susan Hume and Bill Rafter
7:30 Q & A
7:45 Adjournment
Thanks to Capital IQ for underwriting a substantial portion of this
event.
OUR SPEAKERS
Ruben Falk, Senior Product Manager, Capital IQ, has been with Capital IQ
and Capital IQ’s ClariFI in Europe and the US since 2006. Prior to that he
was Founder and CEO of marketscalpel.com. From 1996-2002, Ruben was
a Director with UBS Investment Bank after having served three years with
LEK Consulting. Ruben has his Master’s degree in finance from the
Walter Haas School at the University of California at Berkeley
Susan Hume, PhD,Associate Professor of Finance and International
Business School of Business, The College of New Jersey (TCNJ), has
teaching, research and professional experience in the areas of International
Finance and Capital Markets, Banking, and Derivatives Securities. She
collaborates with students on research, most recently on domestic
microfinance and social responsibility. She is currently teaching courses in
corporate finance, international finance and capital markets, currency
crises and finance capstone in research at TCNJ. She has also taught
similar courses at Baruch College and for their Executive business
program in Taiwan. She earned her doctorate in Finance and Economics at
Baruch College, Zicklin School of Business, masters' degree from Rutgers
School of Management and BA in American Studies from Douglass
College, Rutgers University. She has worked extensively in hedging and
derivatives securities, bank lending and bank regulations. Visit her at
http://www.tcnj.edu/~business/faculty/hume.html
William Rafter, PhD, President of Mathematical Investment
Decisions, Inc., presides over a money management firm that also licenses
its research to outside advisors. He has managed hedge funds for over 20
years, and has been fully licensed as a securities and financial principal. As
an adjunct professor of finance at Rutgers University, Bill is reported to
have been rather outspoken in his criticism of the Modern Portfolio Theory
and the Efficient Markets Hypothesis. Mr. Rafter was educated at the
Wharton School of the University of Pennsylvania, and the Haas Graduate
School of Business Administration of the University of California,
Berkeley. He spoke at Princeton QWAFAFEW in May and moderated a
panel at QWAFAFEW-NYC in June 2010.
December 8,
2010
Wednesday
New York,
NY
"Quantifying Sustainability" - WEDNESDAY December 8, 2010
Dan diBartolomeo, Founder and Principal, Northfield Information Systems
"Equity Risk, Credit Risk, and Sustainability"
Gail Doolin, SVP-Global Content, Thomson Reuters - "Components of Sustainability"
All are welcome to attend. You need not be a member to attend this
meeting.
Time: 5:30 PM – 8:30 PM
Venue: Patrick Conway's Pub & Restaurant (downstairs), 40 E 43rd St
(between Madison & Vanderbilt), NY, NY – ½-block from Grand Central
Station.
Admission Fees (You need not be a member to attend – but there ARE
benefits to membership):
$30 for Paid-up Members of any QWAFAFEW Chapter;
$40 for members of CAIA, CQA, PRMIA, SQA, GARP, SPA, or any
CFAs, unemployed students and/or members of this Linked-In group;
$50 for all other RSVPs
RSVP to [email protected] and put date of event you wish to attend in
Subject Line. In text body, please provide the names, phone numbers,
organizations (if any), emails, and membership status for each attendee.
ONLY cash or check (to QWAFAFEW) can be accepted. NO PLASTIC paper receipts available.
SPECIAL OFFER for NEW (non-2010) Members ONLY - Pay 2011 dues
of $100 and attend this meeting for free. SPECIAL OFFER for EXISTING
Members: Renew your membership for 2011 at the grandfathered rate of
$90 and attend this meeting for free.
AGENDA
5:30 - 6:15 Registration, Networking, and Refreshments
6:15 - 6:20 Chapter Business - President Mike Carty
6:20 – 7:10 Dan diBartolomeo, “Equity Risk, Credit Risk and
Sustainability”"
Linking credit risk structural models with multifactor equity risk models
provide consistent measures of equity risk, credit risk, and default
correlation. This analysis allows for the development of a quantitative
construct measuring the "sustainability" of firms. An empirical analysis of
all US listed equities from 1992 to present confirms the validity of the
more commonly held constructs of sustainable investing. QWAFAFEW
veteran Dan diBartolomeo also demonstrates how this method may also be
applied to quantify the level of systemic risk to developed economies.
7:10 – 7:25 Break
7:25 – 8:10 Gail Doolin, "Components of Sustainability" Environmental, social, and corporate governance (ESG) issues are
increasingly gaining attention from all types of stakeholders, ranging from
government to media to investors and asset managers. As more asset
managers assess ESG exposure, and even use it as a basis for investing, it
becomes important to understand and evaluate the degree to which ESG
efforts can be maintained, creating long-term value, while reducing risk.
Gail Doolin provides us with expertise on sustainability data content and
strategy while QWAFAFEW veteran Danielle Lawson provides insights
on how quants can backtest these data and integrate them into their
models.
Recommended Pre-Meeting Reading by Dan diBartolomeo
http://www.northinfo.com/documents/374.pdf
For background info containing underpinnings behind the second
presentation, please visit www.asset4.com
Bios
Dan diBartolemeo is President and founder of Northfield Information
Services, Inc. Based in Boston since 1986, Northfield develops
quantitative models of financial markets. The firm’s clients include nearly
three hundred financial institutions in twenty countries. Before starting
Northfield, Dan held the position of Director of Research at a New York
investment firm, where he was responsible for investment strategy and
securities research. Dan was interviewed for a FactSet podcast about his
role in providing key statistical analysis that fellow QWAFAFEW member
Harry Markopolos submitted to the SEC in connection to the Bernard
Madoff Investigation. In addition to being an active member of
QWAFAFEW, Dan serves on the Board of Directors of the CQA and the
advisory board of the IAFE. Dan writes and lectures extensively and
frequently presents papers at academic and industry meetings, in addition
to teaching a course in Advanced Quantitative Techniques for the Boston
Security Analysts Society. He is also a Visiting Professor at the
CARISMA research center of Brunel University in London. Mr.
diBartolomeo has written extensively for the CFA Research Foundation.
Dan’s degree in applied physics is from Cornell University.
Gail Doolin, CFA is on the Content Strategy team for Investment &
Advisory Division within Thomson Reuters. In this role, she was actively
involved in Thomson Reuters’ acquisition of Asset4, a leading provider of
ESG content, in 2009. The ESG content strategy is currently focused on
integrating this content into Thomson Reuters strategic products while
continuing to expand coverage. Prior to joining Thomson Financial in
2005, Gail worked at Bloomberg where she focused on fixed income
derivatives and portfolio risk management. She previously managed fixed
income portfolios and traded both taxable and tax-exempt bonds.
November 17,
2010
Wednesday
Denver, CO Denver QWAFAFEW
Speaker: Garland Durham, PhD, Professor of Finance at the Leeds School
of Business, University of Colorado, Boulder
Topic: Beyond Stochastic Volatilty
Venue: Marco's Coal Fired Pizza, 2129 Larimer Street
Please contact <a href="[email protected]"
target="_blank">[email protected]</a>for more details
This talk examines the relationship between real-world
distributions of S&P 500 index returns and option-implied
return distributions. While a great deal of attention has been
focused on stochastic volatility in stock returns, there is strong
evidence suggesting that return distributions have timevarying skewness and kurtosis as well. This presentation
investigates several models with features that enable them to
generate return distributions with these characteristics. Timevariation in the strength of the "leverage effect" and volatility
of volatility both turn out to be important. We then test to see
whether changes in these features of the physical measure also
have explanatory power for changes in the shape of the optionimplied volatility surface. We find that the models do have
strong explanatory power, suggesting that variation in the
shape of the volatility surface is not just due to risk premia,
but is linked to variation in the underlying physical process.
November 17,
2010
Wednesday
San
Francisco,
CA
San Francisco QWAFAFEW
Speaker: Jose Menchero, Executive Director and Global Head of
Equity Factor Model Research at MSCI Barra
Topic: "Global Cross-Sectional Volatility Analysis"
Cross-sectional volatility (CSV) is critical because it represents the
opportunity to outperform a benchmark. In this presentation, we present
an exact methodology for decomposing CSV into contributions from
individual factors. Our approach treats countries, industries, and style
factors on an equal basis. We employ our framework to investigate several
relevant questions in the global equity markets, such as the importance of
industries versus countries, emerging markets versus developed markets,
or the strength of style factors relative to industries or countries. We also
extend our methodology to decompose and analyze the root mean squared
(RMS) return, which is of greater relevance to absolute return managers
San Francisco QWAFAFEW Steering Committee
Jim Quinn, Quantal International - SF chapter chairman
Members (Alphabetical Order)
Anna Coppola, Flagship Global, Inc.
Ralph Goldsticker, Mellon Capital Management
John Lederle, Bank of the West
Rosy Macedo, Thomas J Watson Fellowship Program
Robert Maxim, Duff & Phelps
Irene Rusman, Oracle
Seth Stafford, Oracle
Tjisana Lewis, TBD
Annual membership fee is a $60. Members will enjoy free attendance at
meetings. One time registration is $20 and covers refreshments. To be
added/removed to the SF QWAFAFEW mailing list please send email
to [email protected].
For general inquiries, please send email to [email protected]
November 17,
2010
Wednesday
New York,
NY
QWAFAFEW-NYC Martin Fridson CFA, BNP Paribas , "Running the Numbers on HighYield Bonds" Max Golts, Bay Hill Capital, "Diversification, Optimization and Liquidity"
All are welcome to attend.
Time: 5:30 PM – 8:30 PM
Venue: Patrick Conway's Pub & Restaurant (downstairs), 40 E 43rd St
(between Madison & Vanderbilt), NY, NY – ½-block from Grand Central
Station. All are welcome.
Admission Fees (You need not be a member to attend – but there ARE
benefits to membership):
$30 for Paid-up Members of any QWAFAFEW Chapter;
$40 for members of CAIA, CQA, PRMIA, SQA, GARP, SPA, or any
CFAs, unemployed students and/or members of this Linked-In group;
$50 for all other RSVPs
RSVP to [email protected] and put date of event you wish to attend in
Subject Line. In text body, please provide the names, phone numbers,
organizations (if any), emails, and membership status for each attendee.
ONLY cash or check (to QWAFAFEW) can be accepted. NO PLASTIC paper receipts available. 2010 Chapter Membership still $90 but this
meeting free if you purchase at the door. Dress is casual. Normal rules of
etiquette are not observed - just shout out your comments & questions.
SPECIAL OFFER for NEW (non-2010) Members ONLY - Pay 2011 dues
of $100 and attend this meeting for free.
SPECIAL OFFER for EXISTING Members: Renew your membershio for
2011 at the grandfathered rate of $90 and attend this meeting for free.
AGENDA
5:30 - 6:15 Registration, Networking, and Refreshments
6:15 - 6:20 Chapter Business
6:20 – 7:00 Martin Fridson, Fridson Investment Advisors, "Running the
Numbers on High-Yield Bonds"
Sophisticated quantitative methods have not historically dominated the
analysis of high yield bonds, which are prone to idiosyncratic credit risk at
and imprecise pricing at the individual issue level. Quantitative approaches
can be productive, however, at the level of sectors and the market a a
whole. Martin will present cutting-edge methods for forecasting default
rates, determining when the high yield sector is under- or overvalued,
quantifying the risk of a double-dip recession, and estimating future
returns of the high yield index's rating subdivisions.
7:00 – 7:15 Break
7:15 – 8:10 Max Golts, Bay Hill Capital Management, "Diversification,
Optimization and Liquidity"
Diversification is arguably the oldest and the best way to manage risk. We
review the diversification measures appearing in the literature and suggest
two new statistics playing natural roles in the Grinold-Kahn Fundamental
Law of Active Management framework: the effective number of assets and
the effective dimension of the asset space. In general, we find the the
markets are much less diversified now than they were in the past. For
related papers, use these links:
http://ssrn.com/abstract=1607722
http://ssrn.com/abstract=1483412
http://www.iijournals.com/doi/abs/10.3905/jod.2010.18.1.080
Bios
Martin Fridson is “perhaps the most well-known figure in the high yield
world,” according to Investment Dealers’ Digest. Over a 25-year span with
brokerage firms including Salomon Brothers, Morgan Stanley, and Merrill
Lynch, he became known for his innovative work in credit analysis and
investment strategy. Fridson received his B.A. cum laude in history from
Harvard College and his M.B.A. from Harvard Business School.
Max Golts PhD is a senior research analyst at Bay Hill Capital
Management. Previously, he was a senior research analyst in the Global
Fixed Income Group at GMO. Prior to GMO, Max worked on fixed
income strategies at State Street Global Markets. Max spent several years
as an academic researcher in mathematics, at MIT and elsewhere. He holds
a Ph.D. degree in mathematics from Yale University
November 16,
2010 Tuesday
Boston,
MA
Boston QWAFAFEW
Speaker: James Moore, PhD
Topic: "Using Factors to Dynamically Manage Pension Fund Risk"
Pension Funds are complex systems with many moving parts. A sponsor
needs to be concerned about the behavior of the assets, the behavior of the
liabilities, and how the two interact. We look at representative Canadian
plan and its sensitivities on both the asset and liability side and how they
interact and then suggest some asset allocation strategies that can be used
to better manage the return dynamics and funding stability of the plan.
Venue: 3rd Floor of the Tennis & Racquet Club, 939 Boylston Street,
Boston, MA
[call 617-536-4630 for directions]; e-mail Hugh Crowther at
[email protected] for more info
November 9,
2010 Tuesday
New York,
NY
CHASING BERNIE MADOFF-A Members-Only Event in NYC
Tuesday November 9, 2010
A Presentation by Harry Markopolos, CFA, CFE, Whistleblower Specialist
Discussants:
Frank Casey, Alternative Investment Specialist
Michael Ocrant, Institutional Investor
Erin Arvedlund, Barrons
Venue: Patrick Conway's Pub & Restaurant (downstairs), 40 E 43rd St
(between Madison & Vanderbilt), NY, NY – ½-block from Grand Central
Station.
AGENDA
Doors Open for Registration, Networking, and Refreshments: 5:15
PM
Chapter Business: 6:00 PM
Presentation: 6:10 PM - 7:20 PM
Harry Markopolos, co-author of the NY Times Best-seller "No One
Would Listen: A True Financial Thriller" (Wiley 2010) will be
presenting on several of the glaring capital markets and accounting red
flags that should have been obvious to the numerous MBA's, CFA's,
Ph.D.'s and other so-called investment professionals that all was not
right with Bernard L. Madoff's hedge fund operation. Mr. Markopolos
will take you behind the scenes into his four-man Madoff team's eightand-a-half year investigation across two continents.
Break: 7:20 - 7:35 PM
Discussants Forum: 7:35 PM - 8:10 PM
We are fortunate enough to welcome three discussants who were
intimately involved with investigating Madoff. Frank Casey and Michael
Ocrant were two members of four members of Markopolos's Madoff
investigative team (Neil Chelo was the fourth). Erin Arvedlund, a
financial journalist and published author will also be on the panel. They
will be on hand to field questions and bring up points from their
perspective. Michael Ocrant (MAR/Hedge) and Erin Arvedlund
(Barron's) published articles on Madoff indicating that there were
reasons to be skeptical of his reported investment returns on May 1st and
May 7th, 2001 respectively. However, these warning signs were also
ignored by investment professionals, regulators, and investors
Open Forum: 8:10 PM - 8:30 PM
Bios:
Harry Markopolos, Chartered Financial Analyst, Certified Fraud
Examiner, and Whistleblower Specialist
•6 years as a Full-time fraud investigator (2004 – Present)
•4 years as a Part-time fraud investigator (2000-2004)
•Former NASDAQ O-T-C Market-Maker & Registered Options Principal)
•Former Portfolio manager, then Chief Investment Officer for a $ multibillion equity derivatives asset manager in Boston (1991 – 2004)
•Certified Fraud Examiner
•Chartered Financial Analyst
•Former Steering Committee Member of QWAFAFEW Boston
•Profiled on 60 Minutes about Madoff affair and failure of SEC to act upon
his submissions
•M.S. in Finance; Boston College
•B.A. in Business Administration; Loyola College of Maryland
•17 Years of Army Reserve Component Service; Infantry, Logistics, Civil
Affairs (1978-1995)
Erin E. Arvedlund is an author and financial writer specializing in Wall
Street, capital markets and investigative reporting. She got her start
working for Dow Jones News Wires in 1993, then moved to The Moscow
Times in the former Soviet Union in 1996, where she wrote about the
emerging markets and oil and gas industries. In 1998 she joined
TheStreet.com, one of the first real-time online news blogs covering Wall
Street, and then to Barron’s magazine in 2000 where she covered options,
mutual and hedge funds and public companies. From 2003 to 2005 she
worked again in Moscow, this time for The New York Times as a business
correspondent and contract writer out of the Moscow bureau. She also
worked on Wall Street from 2006 to 2008 at Sanford C. Bernstein, a unit
of AllianceBernstein, before authoring a book on Ponzi-schemer Bernie
Madoff (“Too Good to Be True: The Rise and Fall of Bernie Madoff),
published by Penguin in 2009. She has graced QWAFAFEW-NYC
meetings by her presence on a number of prior occasions. She lives in
Philadelphia with her husband, an attorney, and two grey tabby cats,
Fenster and McManus. She can be reached at: [email protected].
You can follow her blog on http://erinarvedlund.wordpress.com.
Frank Casey is a renowned alternative investments specialist with more
than 35-years of experience. He has garnered broad capital and derivative
markets knowledge over his long career. Upon leaving the US Army as an
Airborne-Ranger Qualified Infantry Captain in 1974, he joined Merrill
Lynch to serve corporations as risk-manager specializing in equity, oil and
metals derivatives hedging until 1982. He joined Prudential Securities to
innovate bank risk management in the nascent mortgage-origination/MBSpipeline arena until 1992. He formed his own investment management
firms and served with Smith Barney before joining Rampart Investments,
an equity options specialist manager, in early 1998. There he met portfolio
managers Harry Markopolos and Neil Chelo. The three formed the core
team that began blowing the whistle to the SEC on Bernard Madoff’s
Ponzi scheme for 9-y ears starting May 2000 to no avail. He left Rampart
late 2001 to help build Benchmark Plus, a hedge fund of funds, growing
assets tenfold to over $2-billion through 2007. He joined Fortune Group as
President-USA in March 2008 to establish N. American strategic joint
ventures offering customized hedge fund portfolio management solutions
for private wealth management groups, family offices and institutions.
Frank’s 35-years in alternatives investment management help him to
differentiate the feasible and probable from the potentially fraudulent
investment outcomes when searching for alpha talent. During the past two
years, Frank has been interviewed regarding the Madoff scandal by
AC360; CNBC’s Scam of The Century, Frontline’s The Madoff Affair,
CBS The History Channel, and PBS radio.
Michael Ocrant is Director, Alternative Investments for Euromoney
Institutional Investor. He is a longtime renowned specialist in Alternative
Investments and investigative reporting since starting his Wall Street beat
in 1987. As a pre-eminent expert in hedge funds and other alternative
investments, Michael has produced many of the industry's best
conferences. In May 2001, when he was Managing Editor of MARHedge,
Michael was the first reporter to write about Madoff's inexplicable returns
in that publication's article, "“Madoff tops charts; skeptics ask how.” At
MARHedge, Ocrant also took the lead in compiling what was then
regarded by most experts as the only serious hedge-fund database in the
industry. His investigative abilities also distinguished his prior expository
articles including breaking the story on Hillary Clinton's apparent prowess
as a futures trader.
Mr. Markopolos has made his redacted submission to the SEC available
to those who wish to read it. Click here
November 8,
2010 Monday
Hartford,
CT
“Data Preparation, Testing, and Implementation - Doing It Right and
Making It Actionable"
Speakers:
Marcus Bogue, President, Charter Oak Investment Systems
Richard Brown, Global Business Manager for Machine Readable
News, Thomson Reuters
Kevin Means, Managing Partner, Alpha Equity LLC
AGENDA
5:10 – 5:40 PM Registration, Refreshments, and Networking
5:40 Chapter Business & Introductions of Speakers – Herbert Blank
5:45 Marcus Bogue, “All About Global Data: Cleaning, Aligning, and
Preparing Data for Disparate User Objectives"
6:15 Kevin Means, "It's a Process: Backtesting Market-Neutral Hedge
Fund Strategies"
6:45 Richard Brown, "Incorporating News and Sentiment Analysis
Into Investing and Trading Strategies"
7:15 Cross-Questioning and Q & A with Audience
7:45 Adjournment
Thanks to Thomson Reuters for underwriting a substantial portion of
this event.
OUR SPEAKERS
Marcus C. Bogue III, PhD is President of Charter Oak Investment
Systems, Inc., a creator of unique detail-oriented financial databases which
are built and delivered through its unequalled analytic proprietary Venues®
Data Engine and research-ready Investment Workstation software which he
founded in the late 1980’s. He also serves as President and founder of
Cook, Croft & Co., Inc. Prior to Charter Oak, Dr. Bogue founded and
became President of Marnick Associates, Inc. where he led the team
responsible for designing, creating and implementing the Compustat PCPlus product for Standard & Poor's Compustat after having served as
President of Braxton Financial Group and an Assistant Professor of
Finance at Carnegie-Mellon University. Marcus holds a B.S. from
Stanford, a M.S. in Electrical Engineering from M.I.T., and a Ph.D. in
Finance from Stanford. He is a frequently published author and soughtafter speaker including prior appearances at QWAFAFEW.
Richard Brown is Global Business Manager at Thomson Reuters for the
machine readable news program. He is responsible for the product portfolio
that includes its archive product, real-time feeds, and news analysis
solutions. Prior to his current assignment, Mr. Brown co-founded and was
the Chief Operating Officer at Foresight Research Solutions, LLC, a New
York-based independent research firm and member of the NASD and
SIPC. Prior to Foresight, Mr. Brown was a senior client manager for
International Business Machines in New York. He holds a Bachelor’s
degree in Management and International Business from the Pennsylvania
State University and an MBA from New York University’s Stern School of
Business.
Kevin Means, CFA is the Founder, Managing Partner, and Chief
Investment Officer of Alpha Equity Management. He is the lead portfolio
manager in real estate securities, and the developer of a number of the
quantitative models and disciplines that guide daily portfolio trading in all
asset classes. Mr. Means establishes the strategic investment policies and
guidelines and supervises their tactical implementation. Previously, Mr.
Means had been Chief Investment Officer – Equities at Aeltus Investment
Management (an Aetna subsidiary) in Hartford, where he led that firm’s 55
member equity investment staff. Prior to that, Mr. Means was the Chief
Investment Officer at Invesco Management and Research in Boston, where
he was responsible for $2 billion of assets under management. From June
1987 until February 1992, he was the Director of Quantitative Research
and an Equity Portfolio Manager at Invesco Capital Management, in
Atlanta. Mr. Means has a BA in Economics from The College of William
and Mary and an MBA from the University of Virginia Business School.
He is a Chartered Financial Analyst and a member of the Hartford Society
of Financial Analysts.
October 26,
2010 Tuesday
New York,
NY
QWAFAFEW-NYC
Matthew Rothman, Barclays Capital - "Imputed Correlation:
Understanding it Sources"
Donald Alexander, RSD Solutions & NYU - The Cost of the Perfect
Financial Storm and New Regulatory Environment
5:30 - 6:15 Registration, Networking, and Refreshments
6:15 - 6:20 Chapter Business
6:20 – 7:00 Matthew Rothman, "Imputed Correlation: Understanding it
Sources"
7:00 – 7:15 Break
7:15 – 8:10 Donald Alexander - The Cost of the Perfect Financial Storm
and New Regulatory Environment
There is a strong historical link established across countries that experience
a severe recession combined with financial crises, and rising sovereign
default risk. Private debt often surges before banking crises as government
policies often contribute to this borrowing binge. Public debt levels
accelerate as governments increase spending to maintain social services,
act as lender of last resort and socialize private sector losses. The actual
government debt levels may be understated as most advanced countries
face an aging population, questionable accounting assumptions and under
funded future spending obligations. The surge in public debt levels can
have a significant economic and financial impact as investors demand
higher interest rates to offset rising sovereign default risk. The higher rates
can reduce investment spending and long-term economic growth potential.
The combination of fi nancial innovation, increased linkages between
financial centers and a smaller number of counterparties leave the financial
markets more vulnerable to systemic risk. The severity and duration of any
crises can add further costs as countries are more vulnerable to a prolonged
period of stagnant growth.
8:10 – 8:30 Q & A and Adjournment
About our speakers:
Matthew Rothman, Managing Director, Head of Quantitative Equity
Strategies Barclays Capital
Matthew Rothman, PhD, joined Barclays Capital in September 2008 and is
currently a managing director and the global head of the firm's Quantitative
Equities Strategies team. In his current capacity, he is responsible for U.S.,
Europe and Asia stock selection models, as well as sector selection and
country selection models. Matthew is also a member of Barclays Capital
Investment Policy Committee, which is committed to maintaining the
quality and accuracy of the firm's research.Prior to joining Barclays
Capital, he was at Lehman Brothers since 2006. Before that, Matthew was
the senior quantitative analyst at Sanford C. Bernstein from 2003 to 2006.
During that time, the team achieved First Team status in Institutional
Investor's "All-America Research Team" poll in 2005 and was ranked No.
1 in the Greenwich Associates poll for 2003 to 2006. In addition, Matthew
was a senior research analyst/portfolio manager in the Quantitative Equities
group at Goldman Sachs Asset Management. He earned a Bachelor's
degree from Brown University, a MA in Statistics from Columbia
University, and a PhD in Finance from the University of Chicago. He is
also an Adjunct Professor of Economics at Brown University.
Don Alexander, RSD Solutions & New York University
Don Alexander is a principal at RSD Solutions, an international risk
management advisory and training firm with more than 20 years
experience in international financial markets. He also is an adjunct
professor at NYU, teaching courses in risk management at New York
University in their Risk Management Certificate Program. Prior experience
at Citigroup includes serving as a member of their investment management
committee 1995 to 2007. Don’s specialties there included fixed income,
foreign exchange, and model development. He is a prolifically published
writer on many subjects from financial markets prospects and foreign
exchange forecasting. More recently, his work has focused on the
performance of fixed income and other asset models during periods of
distressed market conditions, the impact Basle II, and other issues of
financial stability. Don has a BS in Accounting is from Findlay College. In
addition, he completed two years of additional Ph.D. coursework in
International Finance and Economics at Ohio State.
October 12,
2010 Tuesday
San
Francisco,
CA
San Francisco QWAFAFEW
Speaker: Stephen Malinak, PhD, Global Head of Quantitative
Research, Thomson Reuters
Topic: How smart is it to follow the smart money?
Venue: L'Olivier Restaurant, 465 Davis Ct, San Francisco, CA
Click SF QWAFAFEW for more info
October 6, 2010
Nassau
Quantitative Equity Strategies and Signals
Wednesday
Club, 6
Mercer
Street,
Princeton,
NJ
Wednesday October 6, 2010: 5:15 PM – 7:45 PM in Princeton, NJ
$20 Members of any QWAFAFEW Chapter;
$30 Members of any CFA Society, CQA, SQA, PRMIA, GARP, holders of
CAIA, CMT, or CFP Charter, anyone associated with any college
including unemployed alumni; $40 all others
Hot and cold hors d’oeuvres are FREE; Wine, beer, and soft drinks also
FREE until 6:30 PM
QWAFAFEW-PRINCETON is now actively looking for Steering
Committee Members to help out at registration and drive the future
direction of the chapter. Please e-mail [email protected] ASAP to
volunteer.
AGENDA
5:15 – 5:50 PM Registration, Refreshments, and Networking
5:50 – 6:00 PM Welcome to QWAFAFEW – J. Barringer & H. Blank
6:00 – 6:45 PM "Quant Investment Strategies and the Correlation
Conundrum" – Joseph Mezrich
What are major categories of quantitative investment strategies? How have
such strategies performed lately?Why have quantitative investment
managers found themselves increasingly on the defensive? What is meant
by “The Correlation Dilemma? ”What has caused it and is there any way
out? For the answers to these and other burning questions, please come see
what Joe has to say.
6:45 – 7:30 PM “Quantifying Market Sentiment and Making the Data
Actionable” - Dave Allen
Market Sentiment is defined in different ways by different firms. This
presentation delves into the manner in which First Coverage has defined
market sentiment and derived its data and its signals based upon its
research. Signal effectiveness in disparate contexts is also discussed. This
has been a hot topic at many of our regional meetings of late and
QWAFAFEW is delighted to have both Dave and Todd here to explore it
with us.
7:30 - 7:45 PM - Q & A and Adjournment
OUR SPEAKERS
Dave Allen is Director of Buy-Side Sales for First Coverage.
Joseph Mezrich has been Managing Director, Head of Quantitative
Research, at Nomura Securities International since January 2006.
September 28,
2010 Tuesday
New York,
NY
QWAFAFEW-NYC
Quantitative Risk Management and Modeling
Boryana Racheva-Iotova, President FinAnalytica, "Telling Tails –
Views from the Left and the Right"
Modeling tail events is not just about risk management. Understanding the
right side of the distribution can provide guidance in your search for alpha.
Adding to that point, the fact is that not all fat-tailed models are created
equal. Differentiating between real tail capture and pseudo-capture models,
Boryana will demonstrate how accurate measurement of both the left and
right tails, not only reduces risk but enhances alpha.
Steven Greiner, Research Director, FactSet, "Beta is not Sharpe
Enough - a proposed better measure of risk – Tests of the "g-factor"
Volatility has been the proxy for risk for many years now. While we’ll
accept as fact these days that combining stocks together in a portfolio by
minimizing the variance of this measure creates a less risky portfolio, it’s
not clear necessarily how to measure across portfolios their relative
volatility to a benchmark. In this presentation we will review relative vol
measures, tracking error, Beta and introduce a novel and easy to compute
measure called the g-Factor which is a “better” measure of volatility, after
separating out the volatility from association to a benchmark.
Boryana Racheva-Iotova is President of FinAnalytica. She leads
FinAnalytica's R&D team.
Steven Greiner is a Research Director for FactSet.
September 21,
2010 Tuesday
Boston,
MA
QWAFAFEW-Boston
Stefano Giglio
Information Content of Bond and Credit Default Swap Prices
Venue: 3rd Floor of the Tennis & Racquet Club, 939 Boylston Street,
Boston, MA
[call 617-536-4630 for directions]; e-mail Hugh Crowther at
[email protected] for more info
September 20,
2010 Monday
Hartford,
CT
QWAFAFEW-Hartford
"Evaluating ETFs for Investor Suitability and Deployment"
Speakers: David Nadig, Director of Research, IndexUniverse.com
William Miller, Director iShares Institutional Sales, BlackRock
3rd speaker (asset manager who uses ETFs) to be announced soon
Moderator: Herb Blank, SVP, Rapid Ratings International
Venue: City Steam Brewey Cafe, 942 Main Street, Hartford, CT
Admission (pay at the door please. ONLY cash or check (payable to
QWAFAFEW) can be accepted. NO PLASTIC. Paper receipts are
available at the registration table ):
$20 Members of the Hartford CFA Society or any QWAFAFEW
Chapter; $30 for members of the CAIA, CQA, PRMIA, SQA,
Students/alumni of any CT University, and those currently between
positions; $40 for all others;
Hot and cold hors d’oeuvres are complimentary; cash bar
To RSVP: Please send an e-mail to [email protected] along with
a name, phone number, organization (if any), e-mail, and membership
status for each attendee.
12-month chapter Membership: $30. If you decide to join at this
meeting, pay $50 and get two receipts, one for $30 membership and the
other for the $20 meeting fee.
To be added to our mailing list: please visit www.quaffers.org and fill
out information in top right-hand section on registering to receive our
newsletter. You will receive an e-mail asking you to click on a link to
confirm; please do so.
Thanks to BlackRock for underwriting a substantial portion of this
event
September 15,
2010
Wednesday
Denver, CO QWAFAFEW-Denver
"Following the Smart Money: When Does It Add Value?"
Venue: Marco's Coal Fired Pizza, 2129 Larimer St., Denver, CO
Tim Gaumer, CFA, Thomson Reuters StarMine, "Following the Smart
Money: When Does It Add Value?"
For more details and information how to attend, please e-mail
[email protected]
August 24, 2010 New York,
Tuesday
NY
"Actionable
Data"
Richard Brown, Global Business Manager for Machine Readable
News - ThomsonReuters, "Incorporating News and Sentiment Analysis
into Trading and Investment Strategies"
Robert Gay, Owner and Founder, GEARS (Global Equity Analytic &
Research Services), "Evaluating ETFs for Investment Using Quantified
Fundamentals“
Time: 5:30 PM – 8:30 PM
Venue: Patrick Conway's Pub & Restaurant (downstairs), 40 E 43rd St
(between Madison & Vanderbilt), NY, NY – ½-block from Grand Central
Station. All are welcome.
AGENDA
5:30 - 6:15 Registration, Networking, and Refreshments
6:15 - 6:20 Chapter Business
6:20 – 7:00 Richard Brown, "Incorporating News and Sentiment Analysis
Into Investing and Trading Strategies" News is and always has been a
major force in driving financial markets. Moreover, its impact is growing
more immediate. It now is possible to work with breaking news using
sentiment and other news analytics which make it possible to better exploit
market inefficiencies and more effectively manage event risk.Machine
readable news and sentiment analysis has often been categorized by use
only by those most sophisticated firms operating secretive high frequency
black box trading strategies. In this session, we will explore some practical
uses applicable across all trading frequencies and short to mid-term
investment horizons.
7:00 – 7:15 Break
7:15 – 8:10 Robert Gay, "Evaluating ETFs for Investment Using
Quantified Fundamentals “
8:10 – 8:30 Q & A and Adjournment
Presentations - 2010-08-24-ny-Gay.pdf. For Richard Brown's,
presentation, please click here
About our speakers: Richard Brown is is the global business manager
for the machine readable news program at Thomson Reuters, responsible
for the product portfolio that includes its archive product, real-time feeds,
and news analysis solutions. Prior to his current assignment, Mr. Brown
co-founded and was the Chief Operating Officer at Foresight Research
Solutions, LLC, a New York-based independent research firm and member
of the NASD and SIPC. Prior to Foresight, Mr. Brown was a senior client
manager for International Business Machines in New York. He holds a
Bachelor’s degree in Management and International Business from the
Pennsylvania State University and an MBA from New York University’s
Stern School of Business. Robert Gay is the Owner and Founder of
GEARS, Global Equity Analytic and Research Services (www.thegears.com) since 1997. GEARS incorporates the latest technology using
pattern recognition, high speed computing and internet resources to
develop, then deliver targeted investment decisions. Prior to becoming an
entrepreneur, he worked as a quantitative analyst with Loewen Ondaatje
McCutcheon for almost four years after having completed eight years as a
quantitative analyst with Donaldson Lefkin Jenrette. At DLJ, Robert served
on the Stock Selection Committee. He holds an MA in Economics from the
University of Western Ontario.
August 17, 2010 Boston,
Tuesday
MA
David Kane, Kane Capital Management, "Matching Portfolios" - an
alternative approach to benchmarking. Inspired by the Rubin Causal
Model, we propose a portfolio performance measure which compares the
return of a target portfolio against the return of a matching portfolio
sharing the same exposures but holding different stocks. Treated as a
benchmark, a matched portfolio provides a more precise estimate of alpha,
or stock-picking ability, because it shares the same characteristics as the
target portfolio, but with no overlap in stocks. It is also more flexible than
other benchmarks (i.e., Daniel et al. (1997)) because it can be matched on
any number of characteristics and can mimic the weighting structure (e.g.,
long-short, 130/30) of the target portfolio. Compared to existing
benchmarks, our matching portfolios have over 20% less bias, defined as
the total absolute difference between the benchmark and target portfolios.
Boston Tennis & Racket at 919 Boylston commencing at 6:15 Sharpe
- RSVP to [email protected]
July 22, 2010
Thursday
Chicago, IL PRMIA-Chicago, in cooperation with Chicago QWAFAFEW
New Financial Regulations and Their Impact
Speakers: Till, Salzman, Western and Chookaszi
July 20, 2010
Tuesday
New York,
NY
"Leadership Trends and ETP Suitability for Clients"
Mary Ann Bartels, MD-U.S. Technical and Market Analysis, B of A
Merrill Lynch Global Research, “Leadership Trends: Where Do We Go
From Here?”
Mike Carty, Principal and Founder, New Millennium Advisors, “Suitability
of ETPs for Deployment in Taxable Client Accounts”
Presentations - 2010-07-20-ny-Bartels.pdf, also 2010-07-20-ny-Carty.ppt
July 20, 2010
Tuesday
Boston,
MA
Carol Osler, PhD, Brandeis International Business School
"What Triggers Market Crashes?"
Boston Tennis & Racket at 919 Boylston commencing at 6:15 Sharpe
- RSVP to [email protected]
June 29, 2010
Tuesday
New York,
NY
"ETF Strategies"
Joanne M. Hill, PhD, Head of Investment Strategy, ProShares and ProFund
Advisors, “Leveraged and Inverse ETFs: Trends, Strategies, and Return
Dynamics”
Marvin Appel, PhD, President, Appel Asset Management, “Active Asset
Allocation Strategies for ETFs”
William M. Funk, Esq., Law Office of William M. Funk, “What Taxable
Investors Should Know About ETFs – A Brief Overview”
Presentations - 2010-06-29-qw-ny-Hill.pdf, also 2010-06-29-qw-nyAppel.ppt
June 21, 2010
Monday
Hartford,
CT
"The Growing Crisis in Funding Pension Liabilities - Two Proposed
Remedies". John Minahan, New England Pension Consultants, Ron Ryan,
Ryan Asset Liability Management, Moderator: Jay DiNunzio, Prudential.
Location: City Steam Brewery Cafe╘, 942 Main St., Hartford
More info - www.qwafafew-hartford.com, also 2010-06-21-ct.doc.doc
Thanks to Northfield Information Systems for underwriting a portion of
this event
June 16, 2010
Wednesday
New York,
NY
"Data Cleanliness, Test Design, and Applied Data Analysis"
Panelists:
Marcus Bogue, Charter Oak Systems;
Ed Matluck, HedgeMetrics;
Dirk Renick, ThomsonReuters Starmine
Moderator: Bill Rafter, MathInvest
Presentations - 2010-06-16-ny-Bartels.ppt, also 2010-06-16-ny-Renick.ppt
Thanks to Thomson Reuters for underwriting a portion of this event
June 15, 2010
Tuesday
Boston,
MA
Topic: "Equity Risk, Credit Risk, Default Correlation and Corporate
Sustainability" with Dan DiBartolomeo, Northfield Info Systems at Boston
Tennis & Racket at 919 Boylston commencing at 6:15 Sharpe
- RSVP to [email protected]
May 25, 2010
Tuesday
San
Francisco,
CA
QWAFAFEW-SF Meeting ( 2010-05-25-sf.doc )
Topic: Incorporation of Quantified News into Portfolio Risk Assessments
Speaker: Mr. diBartolomeo, President and founder of Northfield
Information Services, Inc.
When: 5.30 pm
Venue: L'Olivier French Restaurant, 465 Davis Ct, San Francisco, CA
94111
(415) 981-7824
May 25, 2010
Tuesday
New York,
NY
QWAFAFEW NYC - 2010-05-25-nyc.doc
Focus on Analysts’ Estimates
Joseph Mezrich, Nomura Securities
Carson Boneck, SystematIQ - Click for Presentation
May 20, 2010
Thursday
Denver, CO QWAFAFEW Denver ( 2010-05-20-denver.doc )
Presentation: Alpha Signals From Fundamental and Statistical Risk
Speaker: Anthony Renshaw, PhD
When: at 5:30PM. Networking, hors d’oeuvres (including vegetarian
options), and complimentary wine; 6:15 PM: Presentation
Venue: Marco’s Coal Fired Pizza, 2129 Larimer St., Denver
Admission: $10 Members; $35 Guests
RSVP: Secure your seat by emailing your registration and sending your
check to the following address prior to the event. Please make checks
payable to QWAFAFEW Denver.
Address: Secretarial Solutions, 6057 S. Lakeview St., Littleton CO 80120
Questions: Email [email protected]
May 19, 2010
Wednesday
Chicago
Joint Chicago QWAFAFEW and Chicago PRMIA Meeting: “Innovations
in the Commodity Arena”
Where: Morningstar, 22 W. Washington Street, 7th Floor, Chicago, IL
When: 5:00 – 7:00 p.m.
Presentation 1: Scott Burns, head of ETF Research at Morningstar “Exchange-listed Commodity Product -- Different Structures and Their
Pros and Cons”
Presentation 2: Ryan Abrams, AlphaMetrix - “Innovations in Commodity
Investing: Alpha and Beta in Institutional Portfolios”
Presentation 3: Keith Black, Ennis Knupp & Associates - “Multiple
Methodologies for Earning Alpha in the Commodity Markets”
Moderator: Paul Kaplan, Ph.D., CFA, Quantitative Research Director,
Morningstar Europe; and contributor to Intelligent Commodity Investing
Please RSVP via Acteva:
http://www.acteva.com/go/ChicagoQWAFAFEW by May 14.
May 18, 2010
Tuesday
Boston,
MA
speaker and topic to be announced
May 12, 2010
Wednesday
Princeton,
NJ
QWAFAFEW Princeton, NJ - click here for full details: 2010-05-12-nj.doc
Topic: Data Mining: The Good, the Bad, and the Ugly
Panelists:
Kushal Kshirsagar, Ph.D., Markov Proc.
William Rafter, Mathematical investment Decisions
Richard Suttmeier, ValuEngine
Moderator: Herbert Blank, Rapid Ratings International
5:15 PM – 7:45 PM at Nassau Club, 6 Mercer Street, Princeton, NJ
Thanks to ValuEngine for underwriting a portion of this event
April 29, 2010
New York
6th Annual ETF Global Awards Dinner and half day conference - Grand
Hyatt NY.Topics include: ETP product developments, trading strategies,
regulatory issues affecting these products in the international marketplace,
the continued growth of the Emerging Markets, and commodities, among
others. A certain amount of complimentary passes are available for
Financial Advisors. For further information and sponsorship opportunities,
contact: [email protected]
Wed April 28
2010
New York
9th Annual Capital Link NY Forum for Global ETFs & Closed-End Funds
http://www.capitallinkforum.com/cef/2010/signup.html
Metropolitan Club of New York City - One E. 60th Street
2010-04-27nyc.doc
New York
Presentation 1 – Matt Moran, VP, Chicago Board Options Exchange "Diversification And Risk Management Strategies In Times When
Volatility And Correlations Hit Record Highs"
Presentation 2 - David Abner, VP-Institutional Sales, Wisdom Tree “ETF & ETP Trading Strategies”
2010-04-26ct.doc
Hartford,
CT
Sustainable Investing - A Quantitative Perspective
- Dan diBartolomeo, President and Founder, Northfield Information
Systems
- Cary Krosinsky, Vice President, TruCost
- Jon Quigley, Managing Director, Advanced Investment Partners
Moderator: Krista Kennedy
Location: City Steam Brewery Café, 942 Main St., Hartford, CT 06103.
Please RSVP to: [email protected]
2010-04-22chicagoprmia.doc
Chicago
Topic - Trading, Liquidity, and ETFs.
- Paul Daley, Fox River Execution - ETF Liquidity
- Doug Yones, Vanguard - ETF Trends and Trading
- 3rd speaker from Quantitative Services Group, LLC
- Moderator - Patrick Daugherty, Foley & Lardner, LLP - email
[email protected] for more info
2010-04-21denver.doc
Denver
Topic - Impatient Trading, Liquidity Provision, and Stock Selection by
Mutual Funds
Speaker - Ravi Jagannathan, Chicago Mercantile Exchange/John F.
Sandner Professor of Finance and a Co-Director of the Financial
Institutions and Markets Research Center, Kellogg School of Management,
Northwestern University.
2010-04-20
Boston
BOSTON QWAFAFEW – Tuesday April 20 @ 6:15 PM
Mark Kritzman - Principal Components as a Measure of Systemic Risk.
Full details - 2010-04-20-boston.doc
RSVP via email to: [email protected]
2010-04-20
Chicago
Chicago QWAFAFEW Partner Event - Distinguished Speaker Series from
CFA Society of Chicago
Tuesday April 20 2010, Noon – 1:00 PM
VENUE: The Mid-America Club, 200 E. Randolph Street, 80th Floor,
Chicago, IL
Harry Markopolos, CFA - Independent Certified Fraud Examiner and a
former board member of the Boston chapter of QWAFAFEW
Reflecting on Chasing Madoff and his $65 Billion Ponzi Scheme
Signed copies of his newly released book, No One Would Listen: A True
Financial Thriller will be available for sale at the event.
2010-04-13sf.doc
San
Francisco
Sanjiv Das - "Optimal Modification of Home Loans"
The talk is based on the speaker's research paper available at:
http://algo.scu.edu/~sanjivdas/loanmod.pdf
Learn more about SF QWAFAFEW at
http://sites.google.com/site/sfqwafafew/Home
2010-04-13
New York
Forum on High Frequency Trading Across Multiple Asset Classes
- Ultra Low Latency, High Frequency Strategies and Multi Asset Trading:
What Does the Trader Need to Know?
- Moving Beyond Equities: Successful Tools to Obtain Liquidity Across
Asset Classes
Information: [email protected]
2010-03-25denver.doc
Denver
Dan DiBartolomeo, Northfield Information Systems - "Incorporation of
Quantified News into Portfolio Risk Assessments". [email protected]
2010-03-23-nyc- New York
prmia.doc
Joint Meeting with PRMIA.
Presentation 1 - Bill Margrabe, President, William Margrabe Group -"He
Fell Hard for a Beautiful Model, but Ended Up Jobless, Broke, Hurt, and
Confused" - Failures and successes of financial risk models and those who
use them, with applications to financial disasters of the last two decades.
Presentation 2 - Jennifer Bender – Vice President of Applied Research,
MSCI BARRA -"Optimization Analytics".
2010-03-16boston.doc
Boston
Randolph B. Cohen, Ph. D., Visiting Associate Professor of Finance at
MIT Sloan School of Management, Co-founder of Vision Capital Advisors.
Title: Identifying Investment Managers Who Will Outperform in Difficult
Times
2010-03-16-sf
San
Francisco
Dr. Max Golts, “A Sharper Angle on Optimization”
2010-02-25denver.doc
Denver
Speaker: Jeremy Siegel, WisdomTree’s Senior Investment Strategy
Advisor
2010-02-24nj.doc
Princeton,
NJ
Topic - "ETF Research Challenges and Trading Strategies"
- Intro to the ETF Marketplace and Introductions – J. Prestbo
- “ETF Research Challenges” - D. McDonald
- “Behind ETF Fixed Income Indexes” – N. Wardley
- “ETF Trading Strategies” – D. Abner
Venue: Nassau Club, 6 Mercer Street
Thanks to ValuEngine for underwriting a portion of this event
2010-02-23nyc.doc
New York
Presentation 1 – James P. O'Shaughnessy, O'Shaughnessy Asset
Management - "The Same Old Bear" - about recent bear market.
Presentation 2 – Raphael Douady - Riskdata - "The StressVaR: a New
Risk Concept for Superior Fund Allocation".
2010-02-03vancouver.doc
Vancouver
Speaker: George Platt, Head of Global Quantitative Research
Topic: ”Global Factor Timing Using Macroeconomic Inputs”
2010-01-27sf.doc
San
Francisco
Speaker: Sébastien Page, Senior Managing Director, State Street
Associates
Topic: The Myth of Diversification
2010-01-26nyc.doc
New York
Presentation 1 – Ron Ryan, Ryan ALM “What Happened in 2009 –
What’s In Store for 2010?”
How did pension assets and liabilities perform? How realistic are plan
actuarial assumptions now? A deeper dive into decision-making processes.
Process improvements that can help fiduciaries achieve their goals
Presentation 2 – Mark Sladkus, Red Light House Investment Management,
“The Importance of Asset Allocation in Achieving Investment Goals”
2010-01-25ct.doc
Hartford,
CT
Presentation I – Leadership Trends: Where Do We Go From Here? Bartels
Presentation II – Is That Light at the End of the Tunnel Actually an
Onrushing Train? - White
Presentation III – Adverse Selection and Implementation Shortfall - Mittal
Thanks to ITG Inc. for underwriting a portion of this event
2010-01-21vancouver.doc
Vancouver
Speaker: Kelly Chang, Vice President in MSCI Barra Applied Research
group - ”The Future of Market Risk Management”.
2010-01-20denver.doc
Denver
Matt Moran, CBOE - "Diversification and Risk Management Strategies in
Times When Volatility and Correlations Hit"
2009-12-16denver.doc
Denver
Jack Zwingli, CEO – Audit Integrity - "Audit Integrity" - Integrity as
measured by accounting & governance risk metrics;Integrity metrics that
best measure fraud risk: methodology and validation;Building a taxonomy
to predict fraudulent behavior; The link between fraud risk and equity
returns
2009-12-09nyc.doc
New York
Presentation 1 - Diane Garnick, Invesco - "Board Room Careers Begin
with a Board of Mentors".
The monogamous mentorship era is over. Using company assigned
mentors is akin to an arranged marriage. What responsibilites do you have
to your own Board of Mentors?
Presentation 2 - Herb Blank, Rapid Ratings - "Were There Any Financial
Risk Models That Held Up During the Meltdown?". The Altman z-score.
The Rapid Ratings FHR. Implications for Quants.
2009-12-03chicago.doc
Chicago
- Dennis Chookaszian, Former CEO of CNA Insurance - "Future of the
Financial Industry, including mergers & acquisitions, the insurance
industry, and financial jobs in Chicago".
- Mr. Michael Herbst, Associate Director of Fund Analysis, Morningstar,
Inc. - "Asset Management Industry"
- Ms. Hilary Till, Principal, Premia Capital Management, LLC, and
Research Associate, EDHEC Risk and Asset Management Research Centre
- "Commodities".
- Mr. Keith Black, Associate, Ennis Knupp + Associates - "Green
Investing".
- Ms. Susan Barreto, Deputy Editor, InvestHedge - "Current and Future
Issues for Global Hedge Fund Investors".
2009-11-17nyc.doc
New York
Presentation 1 - Matthew Rothman, Head-Quantitative Strategies,
Barclays Capital - "The State of Quantitative Asset Management: What
Have We Learned from the Financial Crisis?".
Presentation 2 - Don Alexander, RSD Solutions & NYU - " The Perfect
Financial Storm: A Post Mortem".
2009-11-10sf.doc
San
Francisco
Leigh Sneddon, Director of Proprietary Analytics, BGI - "The Dynamics of
Active Portfolios".
2009-10-27nyc.doc
New York
Presentation 1 – Dan diBartolomeo and Christopher Kantos, Northfield
Information Systems - "Direct Incorporation of Liquidity Risks Arising
from Expected Trading Costs into Equity Factor Risk Models".
Presentation 2 – Jason MacQueen, R-Squared Risk Management Ltd. -
"Versatile Applications of Multifactor Equity Risk Models".
2009-10-21denver.doc
Denver
Michael Stutzer, Professor, Burridge Center for Securities Analysis and
Valuation, Leeds School of Business, University of Colorado - "How
Delegated Fund Management Creates Co-movements and Priced Factor".
2009-10-20nj.doc
Princeton,
NJ
"Algorithmic Trading: New Directions and Measuring Efficacy"
Moderator: Brooke Allen, Head of Quantitative Trading Group, Maple
Securities USA.
Panelists:
- William Adiletta, President, TekFinancial Solutions
- Robert Golan, Information Rules Architect, DB Mind Technologies
- James Wong, Manager- Algorithmic Analytics, ITG
Venue: Nassau Club, 6 Mercer Street
Thanks to TekFinancial Solutions for underwriting a portion of this event
2009-10-13sf.doc
San
Francisco
Lisa Borland, Director of Derivatives Strategies, Evnine and Associates "Capturing the Smile and the Skew: A theory of non-Gaussian options
pricing".
2009-09-22nyc.doc
New York
Presentation 1 - Ian Domowitz, ITG - Transaction Costs and Equity
Portfolio Capacity Analysis
Presentation 2 - Jennifer Bender, MSCI Barra - Best Practices for
Investment Risk Management
2009-09-21ct.doc
Hartford,
CT
"Retirement Investing in Tough Economic Times: A Panel Discussion".
Panelists/speakers:
- Cynthia Steer, Head of Beta Research at Rogerscasey (Moderator)
- Roger Ibbotson, CEO of Zebra Capital (Professor Emeritus, Yale
University)
- Andrew Rudd, CEO of Advisor Software (former CEO of BARRA).
- Charles Van Vleet, Director-Pension Investments at UTC
Host: Dan diBartolomeo, President, Northfield Information Services, Inc.
(NIS)
2009-09-15sf.doc
San
Francisco
David Leinweber, Author of "Nerds on Wall Street", Haas Fellow in
Finance, UC Berkeley - "Technology and the Great Mess of '08.".
2009-08-19nyc.doc
New York
Presentation 1 - David Merrill, CEO, FinAnalytica and Joel Nadelman,
Manager of Client Solutions, FinAnalytica - "Fat-Tails for Dummies (by
Dummies)" - an overview of the fat-tailed risk management paradigm that
we should all be operating within while facing current challenges; time
varying volatility, fat-tails, skewness, kurtosis and asymmetric tail
dependence.
Presentation 2 - Dr. Liuren Wu, Professor Zicklin School of Business,
Baruch College - "From Variance Risk Premia to Stock Returns".
2009-08-18boston.doc
Boston
Paul Bolster, Northeastern University - "Cramer portfolio analysis."
2009-07-21nyc.doc
New York
Presentation 1 – Mary Bartels, Lynch US Equity Strategist- "The equity
markets: past, present and future. A technical/structural review and
explanation of what happened to the equity markets in 2008".
What will be the role of Hedge Funds; How will they impact the equity
market - if at all?; Will quant models regain their appeal? ; What hedge
funds own versus what they don't Outlook for the equity, bond and
commodity markets for 2009 and beyond.
Presentation 2 – C. Michael Carty, New Millennium Advisors - "Taking
Out the Trash - Which ETFs Don’t Work and Why?".
2009-07-21boston.doc
Boston
Mark Kritzman, Windham Capital - "Investing During Times of
Turbulence.".
2009-06-23nyc.doc
New York
Presentation 1 – Dr. Seddik Meziani, Montclair State University "A CoreSatellite Strategy with Micro-Cap Holdings"
Presentation 2 - Ms, Ronit Walny, Kellogg Specialist - " Qualities of an
Effective Market Place"
2009-06-16boston.doc
Boston
Evan Schulman - " Sales Certificates: Approaching the Moment of Truth."
2009-05-26nyc.doc
New York
Presentation 1 - Joseph Mezrich, Nomura Securities - "How macro is
priced in equity factors; A brief tour of the crisis and its aftermath"
Presentation 2 – Sriketan Mahanti, Orissa Group, Inc - "Liquidity Risk:
Estimation and Applications"
2009-05-19boston.doc
Boston
Jarrod W. Wilcox, Wilcox Investment - "Discretionary Wealth Meets
Bayesian Logic."
2009-05-18washington.doc
Washington "The Challenges of Retirement Investing" - Hosted by NASDAQ OMX.
DC
Speaker: John W. O'Brien, Faculty Director, Master of Financial
Engineering Program, University of California, Berkeley.
Discussion Leader: Joanne Hill, Head of Investment Strategy, ProShares
ETFs & ProFunds.
2009-05-07ct.doc
Hartford,
CT
"Rapidly Incorporating New Information into Quantitative Models"
Speakers: Dan diBartolomeo, President, Northfield Information Systems &
Michael Wilcox, President, Alford Associates. Host: William Adiletta,
President, Tek Financial Solutions.
2009-04-28nyc.doc
New York
Presentations by Brooke Allen, Maple Securities USA – Head, Quantitative
Strategies
Presentation I - The Economics of Hard Times
Presentation II – Finding Work, Jobs, and Opportunity in Hard Times.
2009-04-21boston.doc
Boston
Dan diBartolomeo, Northfield Information Services, Inc. - "Incorporating
New and Investor Sentiment into Portfolio Risk Estimation".
2009-03-24sf.doc
San
Francisco
LaVaughn Henry, Director of U.S. Economic Analysis, PMI Group "House Price Appreciation: Forecasts and Probabilities".
2009-03-24nyc.doc
New York
Presentation 1 - Laurence B. Siegel, Director of research in the investment
division of The Ford Foundation and research director of the Research
Foundation of CFA Institute - "The Lost Decade".
Presentation 2 - Todd Petzel, Investment Officer, Offit Capital Advisors "Modeling Liquidity and Income in the Modern Endowment".
2009-03-17boston.doc
Boston
The state of Our Industry amidst the World Financial Crisis (discussion).
2009-02-25chicagoprmia.doc
Chicago
"Diversification, Portfolio Management and Use of New Volatility-based
Index Products"
Panelists:
- Srikant Dash, Global Head of Research and Design at Standard & Poor's
Index Services in New York. S&P recently launched indexes based on VIX
futures prices to provide benchmarks for volatility trading strategies.
- Mark Krommenhoek, Principal at Barclays Global Investors in San
Francisco. Barclays recently launched trading in two new iPath Exchange
Traded Notes (ETNs) that are designed to provide access to equity market
volatility through VIX futures.
- Mr. Keith H. Black, CFA at Ennis Knupp + Associates, a consulting firm
based in Chicago. Keith is the primary author of a new paper on
"Evaluating the Performance Characteristics of the CBOE S&P 500
PutWrite Index."
- Jamie Tyrell of Group One Trading in Chicago, a firm that serves as
designated primary marketmaker (DPM) for options on volatility indexes.
- Mr. Brett Estell, Director at Chicago Trading Company (CTC), a trading
firm that serves as the designated primary marketmaker (DPM) for various
products, including futures contracts based on variance and volatility
indexes.
2009-02-24nyc.doc
New York
Presentation 1 - Jim O'Shaughnessy, O'Shaughnessy Asset Management "Opportunity Knocks"
(opportunities in Equities and recessions).
Presentation 2 - Savita Subramanian, Merrill Lynch Quantitative
Strategies - "A Review of Quantitative Strategies"
2009-02-17boston.doc
Boston
Sriketan Mahanti - "Trading Agents and Liquidity Risk".
2009-02-04nyc.doc
New York
John W. O’Brien, Faculty Director, Master of Financial Engineering
Program, University of California, Berkeley - "The Retirement Investing
Challenge".
2009-01-27nyc.doc
New York
Presentation 1 - Ron Ryan, Ryan ALM - "What happened in 2008 and
What Lies Ahead for Pension Liabilities?".
Presentation 2 - Michael Wilcox, Alford Associates - "What happened in
2008 and What Lies Ahead for Global Economies and Currencies?".
2009-01-12-
San
Jason Morton, Stanford University - "Tools for higher-order portfolio
sf.doc
Francisco
optimization".
2008-12-01sf.doc
San
Francisco
John O’Brien, Faculty Director, Master of Financial Engineering Program,
Haas School of Business, University of California, Berkeley - "The
Retirement Investing Challenge".
2008-01-21vancouver.doc
Vancouver
Kelly Chang, Vice President in MSCI Barra - "The Future of Market Risk
Management".
.
Other Past Meetings:
May 21,
2010
Friday
New York
Society of Quantitative Analysts (www.sqa-us.org)
Fuzzy Day 2010: Institutional Decision Making & Group Behavior.
8:15am - 6pm - at Goldman Sachs Conference Center, 200 West
Street (near Battery Park), NYC
Cost: $350 SQA Member; $550 Non member (includes one year
free membership); $475 PRMIA Sustaining Member
Registration Deadline: Friday, May 14th (go to www.sqa-us.org
today!)
More details: http://www.sqa-us.org/cde.cfm?event=303891
May 21,
2010
Friday
Boston, MA PRIMIA Event: Risk Education: What You Need & How to Get It.
Presenters:
- Daniel Tu, Advisory Manager, CFA, FRM, PRM,
PricewaterhouseCoopers
- Jim Haught, SVP Director ICAAP/Global Treasury Mgmt, CFA,
FRM, PRM, State Street Corporation
- Edward Dumas, Regional Director PRMIA Boston Chapter &
Head of Risk Solutions North America, DST Global Solutions
11:00 AM - SunGard, 3 Post Office Square, 11th Floor, Boston,
MA.
(Note: Entrance is between CVS and Dunkin Donuts)
For a full description and registration information, please click here
or visit
http://www.prmia.org/events/view_events.php?eventID=4037
May 24,
2010
Monday
Washington, PRIMIA Event: Revitalizing the U.S. Mortgage Market: GSE
D.C.
Reform.
Presenters:
- Mark Zandi, PhD, Chief Economist, Moody's
- G. "Anand" Anandalingam, Dean, Robert H. Smith School of
Business
- John Dalton, President, Housing Policy Council for Financial
Services Roundtable
- Greg Hawkins, Managing Director, Product Chief Risk Officer,
Global Real Estate and Mortgages, Citigroup
- William Longbrake, Executive-in-Residence, Center for Financial
Policy; Chairman Emeritus, Financial Services RoundtableБ─≥s
Housing Policy Council
- Clifford Rossi, Tyser Teaching Fellow and Managing Director,
Center For Financial Policy; Former Managing Director and Chief
Risk Officer, Citigroup Consumer Lending Group
- Lemma Senbet, The William E. Mayer Chair Professor of Finance
and Director, Center for Financial Poli! cy
- Haluk Unal, Professor of Finance and Financial Institutions and
Consumer Finance Academic Track Leader, Center for Financial
Policy
- Robert Van Order, Professor of Finance and Oliver T. Carr
Professor of Real Estate, George Washington University
- Peter Wallison, Arthur F. Burns Fellow in Financial Policy
Studies, American Enterprise Institute for Public Policy Research
8:30 AM - at Ronald Reagan Building & International Trade Center,
1300 Pennsylvania Avenue, NW, Washington, D.C.
More info and registration http://www.prmia.org/events/view_events.php?eventID=4002
Tuesday,
May 25,
2010
New York
Exploiting The Latest Opportunities In High Frequency Trading:
Equities, Fx, Fixed Income, Futures And Options
TIME: 5:00pm – 8:00pm (including a cocktail reception)
VENUE: Thomson Reuters Building - 3 Times Square, 7th Avenue
between 42nd & 43rd Street, New York, NY 10036
Topics: HFT: Past, present and future | Opportunities in multimarket cross-asset trading | Understanding and managing transaction
costs | Insourcing vs. outsourcing: How best to spend your time and
money | Regulatory changes and their impact on HFT strategies |
PANELISTS:
Rich Brown, Global Business Manager, Machine Readable News,
Thomson Reuters (Moderator)
Juny Sridhara, President, Archimedes Finance
Alex Dziejma, Principal; Chief Architect, Dymaxion Capital
Management
Dariush Nazem, Vice President, Goldman Sachs Execution &
Clearing, L.P.
Matt Cushman, Managing Director, Head of Quantitative Strategies,
Knight Equity Markets
Erik Lehtis, Head of FX Trading, Wolverine Trading LLC
Registration http://online.thomsonreuters.com/forms/2010qedforumnewyork/
May 26,
2010
Wednesday
Topic: De-cloaking Fat-tailed Approaches: Why all risk models are
not created equal
Time: 8:00AM New York, 1:00PM London, 2:00PM Central
Europe
Duration: 60 Minutes
To register, visit
http://www.finanalytica.com/en/page/83/newsid/51/wid/256/from/83
Accepting the reality that asset returns are fat-tailed, the race is on
for risk managers, quantitative analysts and software vendors to
adopt new methods that satisfy investor demands for greater risk
transparency. It can be very hard, if not totally confusing, to evaluate
and compare how these various approaches will work in practice.
The fact is that not all fat-tailed models are created equal. This
webinar will help to demystify what it takes to build a real world fattailed model. The world's leading authorities on modeling extreme
market events, FinAnalytica’s President, Boryana Racheva-Iotova,
and Chief Scientist, Svetlozar (Zari) Rachev, will cover:
- What penalty or elevated view of risk might be associated with
using a particular fat-tailed approach
- Why skew is only part of the challenge
- What differentiates “predictive” models from "stressed" and
“you’re in it now” models
- How the more widely discussed approaches perform in different
market conditions
- Who should attend? The webinar is geared towards risk managers,
quantitative analysts and portfolio managers.
QUANT QUIZ 2011
Send an e-mail to [email protected] with your responses. The first to get all 10 correct may
attend the January 25 2011 meeting free of charge
1. The first ETF to trade in North America in 1991 was known by the acronym (not the ticker
symbol):
a) SPDR b) SPX c) SUPR d) TIPS (Toronto Index Participation Shares) e) None of the
preceding
2. Jack and Bill return from fishing to their campsite to find Muriel there lost in the woods with
her cellphone battery dead. They call Muriel's friend with coordinates to retrieve her but she
won't be able to get there for 3 hours. They ask Muriel if she'd like to join them for dinner as
they have more fish and bread than they can eat and she thanks them and agrees. Jack caught 5
fish and has 5 loaves of bread. Bill caught 3 fish and has 3 loaves of bread. They all share
equally and eat equal amounts of fish and bread. Nothing is left. Muriel thanks them for their
generosity but says she wouldn't feel right if she didn't give them something for their kindness.
She takes 16 half dollars out of her purse. If she were to be quantitatively fair to both Jack and
Bill, how many half dollars should she give Jack?
a) 8 b) 10 c) 11 d) 12 e) none of the preceding (14)
3. Siblings Andrea and Mike leave their mother's house in Great Falls at 11:00 AM with Mike
traveling at 80 miles per hour due south and Andrea traveling 60 miles per hour due east. 90
minutes later while stopping for gas Mike discovers to his horror that he doesn't have his
briefcase and computer and realizes that he left it in Andrea's car. He calls her cell phone. She
pulls over and using an App discovers that the main entrance of Mesa Monte Ranch is the
precise halfway point between where both of them are now so they agree to meet there. They
start heading out at the same speeds and Mike continues to average 80 miles per hour but an
accident stops traffic dead for way too long for Andrea and she winds up averaging 30 miles per
hour. Approximately what time do Andrea and Mike meet at Mesa Monte Ranch?
a) 1:45 PM b) 2:00 PM c) 2:20 PM d) 3:00 PM e) none of the preceding
4. Which man who became a US President also authored a published mathematical proof of the
Pythagorian Theorem?
a) John Quincy Adams b) James Abram Garfield c) Herbert Clark Hoover d) Thomas Woodrow Wilson e) none of
the preceding
5. Calculus is the Latin word for:
a) digit b) idea c) pebble d) scheme e) none of the preceding
6. If quantquiz became such a part of the English language that it was added to the Scrabbleapproved US English Dictionary as a legitimate single word, the following situation could occur
using the current accepted general rules of Scrabble. Player one on the pink starred letter puts in
the word "ant" doubled for six points. Using the letters in his hand, Player two puts two letters in
front of "ant" and continues on the same row after the "t" as he is allowed to do and goes all the
way down putting a "Z" on the triple word score square to complete the word "quantquiz." On
the Scrabble board the square immediatele after the "t" which is three more squares left of the
Triple Word Score is a double letter score square. Given that none of the other squares on which
quantquiz appears have any special bonus designations, that the pink double-word score that the
"a" in ant appears on no longer applies to this turn, that vowels are worth one point, that the one
Q and the one Z in the game are worth 10 points apiece and that either of the two blanks can be
used for any letter but are worth zero points, and that a player who uses up all 7 of his tiles on
one turn gets a 50-point bonus, what is the maximum numbers of points that Player 2 can score
on this turn?
a) 86 b) 108 c) 138 d) 188 e) none of the preceeding
7. Who was a principal player in these two major financial markets innovations: a) management
of the first-ever index fund and b) commercializing Estimated Default Frequencies based upon a
variation of the Merton Structural Model?
a) Fischer Black b) William Fouse c) Steven Kealhofer d) John McQuown e) John O'Brien
8. Which of the following measures is not important in calculating the target price in a Dividend
Discount Model?
a) Book Value Per Share b) Decay Rate c) Dividends Per Share d) Earnings Growth Rate e) All for of the
preceding are important
9. What is the next year of significance in this sequence: 1764, 1849, 1936, ...
a) 1963 b) 1968 c) 2001 d) 2025 (perfect squares) e) 2525
10. The first QWAFAFEW-NYC event of 1997 to take place in a bar and/or restaurant was held
at:
a) Annie Moore's b) Costello's c) Houlihan's d) Maggie's Place e) None of the preceding (John Barleycorn's)
Remember, you must send your 10 responses by e-mail to [email protected] with your
responses. The first e-mailer to get all 10 correct may attend the January 25 2011 meeting free of
charge. If no one gets all 10 correct, the first e-mail received from a chapter member with the
highest number of correct responses gets a 50% discount to the January 25th meeting. Merry
Christmas and Happy New Year to All.