Next Boston QWAFAFEW Meeting:
Tuesday, 19 Sep 2017
Time: 6:15 PM sharpe
3rd Floor of the Tennis & Racquet Club, 939 Boylston Street
RSVP to hugh@QWAFAFEW.org
Designing Quantitative Strategies & Complete, Error-Free Attribution
QWAFAFEW discussion led by:
Leigh Sneddon, PhD, CFA
Designing quantitative strategies
We present a method of designing quantitative strategies. It forecasts strategy performance; quantifies the impact of strategy design choices; provides quantified what-if scenarios for informed risk-return tradeoffs; and promotes higher information ratios. It includes formulae that are model-based, compact, and quickly evaluated. Several examples demonstrate their use, including: incorporating ESG tilts and Smart Beta investing into active stock-selection; using custom risk controls; exploiting IC differences across sectors, and discovering the impact of correlations on performance. The findings on correlations disrupt our understanding of breadth. Monte Carlo simulations verify the conclusions.
Complete, error-free attribution
We describe a risk and return attribution system for active quantitative strategies. It attributes performance to the strategy’s signals and portfolio construction. It attributes all performance and has no errors, plug, or re-distribution. The advance provides the first accurate answers to questions concerning signal performance and trends, risk budgeting, new signals, events, constraints and factor tilts. This in turn promotes better future returns and raises the level of conversation between asset managers, clients and prospects.
Leigh’s asset management roles include Managing Director, Head of Global Portfolio Analytics, BlackRock; Managing Director, Head of Proprietary Analytics, Barclays Global Investors; Director of Research, Westpeak Global Advisors; Deputy Director of Research, State Street Global Advisors; and Senior Portfolio Manager, State Street Global Advisors. Prior to entering the asset management industry, he provided innovative solutions at US intelligence and defense agencies, Bell Laboratories, Princeton University, and Oxford University.
Recognizing that thousands of investment professionals dedicate their careers to risk, he has formed Mayfield Investment Solutions, Inc. to focus on innovative analytics enhancing risk-adjusted return. Leigh’s education includes a PhD in Theoretical Physics at Oxford University, an MA in Mathematics at the University of New South Wales, and a BSc (First Class Honors) at Sydney University. He is a Chartered Financial Analyst.
“Leigh has consistently developed innovative approaches to challenges in investment management. He applies theory and insights to deliver practical solutions of use to active managers” – Ron Kahn, Global Head, BlackRock Scientific Equity Research
QWAFAFEW members and their guests are also invited to attend a breakfast at Northfield’s offices on Thursday, September 21st 2017 at 8.00am for an Introduction and Demonstration of the new COMPLETE ATTRIBUTION SYSTEM (CAtt).
The breakfast will be hosted by Northfield president Dan diBartolomeo, joined by Leigh Sneddon, the creator of COMPLETE ATTRIBUTION.
VENUE: Northfield headquarters, located on the water in Boston’s North End. Parking available:
2 Atlantic Avenue, 2nd Floor, Boston, MA 02110
To RSVP, or for any questions about the breakfast or COMPLETE ATTRIBUTION, please contact Richard Pearce at Northfield: firstname.lastname@example.org 617 208 2052
Or register on the Northfield website: http://www.northinfo.com/events.php
Please RSVP hugh@QWAFAFEW.org
All annual dues ($150) should be paid to Boston QWAFAFEW by credit card, Bitcoin or check.
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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