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Next Boston QWAFAFEW Meeting: Tuesday, 18 Oct 2016

October 18, 2016 @ 6:00 pm - 8:00 pm

| $30

Next Boston QWAFAFEW Meeting: Tuesday, 18 Oct 2016

 

Time: 6:15 PM sharpe

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

RSVP to hugh@QWAFAFEW.org

 

QWAFAFEW Mailing List

The “Fundamental Law of Active Management” Is No Law of Anything

A QWAFAFEW discussion arranged by Steve Gaudette and led by:

Richard O. Michaud

David N. Esch

Robert O. Michaud 

Abstract

Roughly half of all professionally managed funds globally employ optimized portfolio design principles that are applications of Grinold’s “Fundamental Law of Active Management.”  These include:  Invest in many securities, use many factors to forecast return, trade frequently, and optimize with minimal constraints.  We show with simple examples followed by rigorous simulation proofs that these proposals are invalid and self-defeating.  This is because estimation error and required economically valid constraints are ignored in derivations.  These flawed principles have been unchallenged by academics and practitioners for nearly twenty-five years and may adversely impact a trillion dollars or more in current fund management.

 

 

Bios

Dr. Richard Michaud is President and CEO of New Frontier Advisors, LLC.  He earned a PhD in Mathematics from Boston University and has taught investment management at Columbia University.  He is the author of Efficient Asset Management (Harvard 1998, 2nd ed. Oxford 2008 with Robert Michaud), a CFA Research Monograph (1999) on Global Asset Management, and numerous academic and research articles available on www.ssrn.com and www.researchgate.com.  He is co-holder of four U.S. patents in portfolio optimization and asset management, a Graham and Dodd Scroll winner for his work on optimization, a former editorial board member of the Financial Analysts Journal, associate editor of the Journal of Investment Management, and former director of the “Q” Group.

 

Dr. David Esch is currently Managing Director of Research at New Frontier Advisors, having joined the firm in 2008. He completed his PhD in Statistics at Harvard University in 2004. His specialties include mathematical statistics, numerical analysis and computation, Bayesian statistics and econometrics.  He is author of the article “Non Normality Facts and Fallacies,” (Journal of Investment Management 1st Quarter 2010), selected as one of the best JOIM papers of 2010, and co-author on many other peer-reviewed journal articles. A native of Boston, his educational background also includes a Bachelor of Arts degree from Harvard College and a Master degree in Mathematics and Statistics from Boston University

 

Robert Michaud is the co-holder of four U.S. patents in portfolio optimization and asset management, and is the Chief Investment Officer at New Frontier. He holds a Masters in Mathematics from Boston University and pursued a Ph.D. in finance from the Anderson School of Management at the University of California, Los Angeles before joining New Frontier. His research interests include asset allocation, portfolio theory, risk models, empirical asset pricing, and international finance. He is co-author of Efficient Asset Management: A Practical Guide to Stock Portfolio Optimization and Asset Allocation, 2nd ed. (Oxford University Press, 2008) and research articles in refereed journals

 

Please RSVP hugh@QWAFAFEW.org

 

QWAFAFEW Mailing List

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). 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 (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:

 

 

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.

 

RSVP to: hugh@QWAFAFEW.org

 

Details

Date:
October 18, 2016
Time:
6:00 pm - 8:00 pm
Cost:
$30

Venue

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