Loading Events

« All Events

  • This event has passed.

Next Boston QWAFAFEW Meeting:  Tuesday, 17 Apr 2018

April 17 @ 6:00 pm - 8:00 pm

| $30

Next Boston QWAFAFEW Meeting: Tuesday, 17 Apr 2018

Time: 6:15 PM sharpe
3rd Floor of the Tennis & Racquet Club, 939 Boylston Street
RSVP to hugh@QWAFAFEW.org
Mailing List and Payment Link: http://boston.qwafafew.org/

Asset Allocation: 
Fallacies, Challenges, and Solutions

A QWAFAFEW discussion led by:

 

MARK KRITZMAN

Abstract

Academics and practitioners have made great strides in applying modern portfolio theory to structure efficient, real-world portfolios. Yet many crucial challenges still remain. Mark Kritzman will share insights from his new book with Will Kinlaw and David Turkington, A Practitioner’s Guide to Asset Allocation. First, he will discuss a collection of stubbornly persistent fallacies including  the notion that asset allocation explains more than 90 percent of performance, that time diversifies risk, that optimization is hypersensitive to estimation error, and that factors provide greater diversification than assets. Second, he will show how to construct palatable portfolios without resorting to arbitrary constraints, how to convert liquidity into return and risk, and how to use regime forecasts to dynamically adjust allocations.

Bio
MARK KRITZMAN is CEO of Windham Capital Management, LLC and the Chairman of Windham’s investment committee. He is responsible for managing research activities and investment advisory services. He is also a Founding Partner of State Street Associates, and he teaches a graduate finance course at the Massachusetts Institute of Technology.

Mark served as a Founding Director of the International Securities Exchange and has served on several boards, including the Institute for Quantitative Research in Finance, The Investment Fund for Foundations, and State Street Associates. He is also a member of several advisory and editorial boards, including the Advisory Board of GIC, the Advisory Board of the MIT Sloan Finance Group, the Advisory Board of the Tobin School of Business, the Emerging Markets Review, the Financial Analysts Journal, the Journal of Alternative Investments, the Journal of Derivatives, the Journal of Investment Management, where he is Book Review Editor, and The Journal of Portfolio Management. He has written numerous articles for academic and professional journals and is the author or co-author of seven books including A Practitioner’s Guide to Asset Allocation, Puzzles of Finance, and The Portable Financial Analyst.

Mark won Graham and Dodd scrolls in 1993 and 2002, the Research Prize from the Institute for Quantitative Investment Research in 1997, the Bernstein Fabozzi/Jacobs Levy Award nine times, the Roger F. Murray Prize from the Q-Group in 2012, and the Peter L. Bernstein Award in 2013 for Best Paper in an Institutional Investor Journal. In 2004, Mark was elected a Batten Fellow at the Darden Graduate School of Business Administration, University of Virginia.

Mark has a BS in economics from St. John’s University, an MBA with distinction from New York University, and a CFA designation.

Please RSVP hugh@QWAFAFEW.org
Mailing List and Payment Link: http://boston.qwafafew.org/

All annual dues ($150) should be paid to Boston QWAFAFEW by credit card, Bitcoin or check.

By credit card (PayPal)
http://qwafafew.org/BostonPayDues.html

By Bitcoin
Send us Bitcoin, our address is:
153GtwqHHxdHaTh8i1SC1UmZUuFpXN6wye
Please send a separate email identifying your anonymous payment.

By check:
Executive Management Associates
12 Academy Avenue
Atkinson, NH  03811
bostonqwafafewbilling@gmail.com

Please RSVP for all meetings you plan to attend: hugh@QWAFAFEW.org
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).  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 (eg: 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:
* bostonqwafafewbilling@gmail.com
* hugh@QWAFAFEW.org

Steerage Committee
Hugh Crowther
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.

RSVP to: hugh@QWAFAFEW.org

Mailing List and Payment Link: http://boston.qwafafew.org/

Details

Date:
April 17
Time:
6:00 pm - 8:00 pm
Cost:
$30

Organizer

Hugh
Email:
hugh@QWAFAFEW.org