Next Boston QWAFAFEW Meeting:
Tuesday, 17 Oct 2017
Time: 6:15 PM sharpe
3rd Floor of the Tennis & Racquet Club, 939 Boylston Street
RSVP to hugh@QWAFAFEW.org
Risk Systems That Read®, A Live Application of Text Analytics
QWAFAFEW discussion led by:
This month Northfield introduced the first commercially available factor risk models that incorporate computerized analysis of news text directly into volatility risk forecasts for individual stocks, corporate bonds, industry groups and ETFs based on market indices. We believe this is the most significant innovation in factor risk models in more than three decades. Each day the content of thousands of news articles are now part of the input for our risk assessments. The line of research that led to this innovation stretches back to 1997 and includes three papers: diBartolomeo and Warrick (2005), diBartolomeo, Mitra, Mitra (2009) and Shah (2015). In this presentation, we will cover the text analytics that are now part of model inputs, the framework of how the text analysis is used to condition factor models for both equities and corporate bonds. The latter half of the presentation will focus on this model enhancement will contribute to improved portfolio returns by providing a positive definition of security specific risk, as opposed to being the dispersion of the residuals of the factor modeling. To the extent that security specific risk is widely used to represent the opportunity set for active management to add value, improved assessment of security specific risk should add effectiveness to quantitative strategies.
Mr. diBartolomeo is President and founder of Northfield Information Services, Inc. Based in Boston since 1986, Northfield develops quantitative models of financial markets. He sits on boards of numerous industry organizations include IAQF and CQA, and is a director and past president of the Boston Economic Club. His publication record includes more than thirty books, book chapters and research journal articles. In addition, Dan is has been a Visiting Professor at Brunel University, and has been admitted as an expert witness in litigation matters regarding investment management practices and derivatives in both US federal and state courts.
Please RSVP hugh@QWAFAFEW.org
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Executive Management Associates
12 Academy Avenue
Atkinson, NH 03811
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
Donna Cool Murphy (Dinners)
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