Boston QWAFAFEW Meeting: Tuesday, 19 Jan 2016 FLEXIBLE INDETERMINATE FACTOR-BASED ASSET ALLOCATION – Mark C. Szigety

Next Boston QWAFAFEW Meeting: Tuesday, 19 Jan 2016

 

Time: 6:15 PM sharpe

3rd Floor of the Tennis & Racquet Club, 939 Boylston Street

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FLEXIBLE INDETERMINATE FACTOR-BASED ASSET ALLOCATION

 

 

A QWAFAFEW discussion led by:

Mark C. Szigety

 

Abstract

 

Asset allocation represents a fundamental strategic decision for every institutional investor. Though many asset allocation approaches have been recommended and implemented in various forms, each has its own strengths and weakness. A careful review of current asset allocation frameworks provided motivation to design a hybrid approach that addresses many of these perceived individual shortcomings. Our guiding principle was to use several familiar elements to create a flexible process that incorporates less-quantifiable investment ideas around a rigorous foundation. The result, which we term Flexible Indeterminate Factor-based Asset Allocation (FIFAA), is an adaptive four-step asset allocation synthesis that remains quantitatively and theoretically well grounded. To achieve this goal, FIFAA overlays informed judgment about investment opportunities onto an objectively derived set of core factor exposures.

To obtain the presentation, please email szigetym@gmail.com.

 

ACKNOWLEDGEMENTS: The authors would like to thank the following people for valuable input and feedback: John Campbell, Edwin Cass, Tham Chiew Kit, Martin Leibowitz, Jay Light, Kevin Pan, Edward Qian, Luis Viceira, and Barbara Zvan.

 

 

Bio

 

Mark Szigety was previously Senior Vice President of Asset Allocation and Risk Analytics at Harvard Management Company.  During his five years at HMC, Mark was responsible for developing the endowment’s approach to asset allocation and risk modeling, and co-designer of HMC’s new FIFAA asset allocation framework.  A published author on asset allocation and risk topics, Mark holds a doctorate from HBS and degrees in Physics from MIT and Harvard.

 

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Guests who do not RSVP may have to wait to enter the meeting, due to space constraints (capacity=100, BFD).

 

Guest fees ($30) can be paid through EMA (check or PayPal, bring receipt) or bitcoin (at address above). We still allow walk-ins (space permitting). The $30 guest fee can be paid by bitcoin, cash or check at the door, no credit cards at the meeting. Please bring exact change (two twenties = $40 Guest Fee).

 

As always, if you have names or discussion topics, please forward them to any member of the Steerage Committee

 

Questions, comments:

 

 

Steerage Committee

Hugh Crowther (Treasurer)

Dan diBartolomeo

Mike Dunn

Steve Gaudette

Sri Krishnamurthy

Mark Kritzman

John Minahan

Donna Cool Murphy (Dinners)

Larry Pohlman

Dan Potter

Dan Rie

Evan Schulman

Michael Wilcox

 

The members of the Steerage Committee are responsible for coordinating the program content.

Program suggestions from members are always welcome.

 

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