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August 2017

Next Boston QWAFAFEW Meeting: Tuesday, 15 Aug 2017

August 15, 2017 @ 6:00 pm - 8:00 pm
Tennis & Racquet Club, 3rd Floor of the Tennis & Racquet Club, 939 Boylston Street
Boston, MA,
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$30

Next Boston QWAFAFEW Meeting:  Tuesday, 15 Aug 2017 Time: 6:15 PM sharpe 3rd Floor of the Tennis & Racquet Club, 939 Boylston Street RSVP to hugh@QWAFAFEW.org QWAFAFEW Mailing List The Quant Crisis Ten Years Later QWAFAFEW panel and discussion arranged and led by: David Kane  Abstract  August 8th and 9th, 2007 were the two most dramatic days for equity quants since Black Monday almost 30 years ago. We are now at the 10 year anniversary of that tumultuous week. Please join us…

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September 2017

Next Boston QWAFAFEW Meeting: Tuesday, 19 Sep 2017

September 19, 2017 @ 6:00 pm - 8:00 pm
Tennis & Racquet Club, 3rd Floor of the Tennis & Racquet Club, 939 Boylston Street
Boston, MA,
+ Google Map
$30

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 QWAFAFEW Mailing List     Designing Quantitative Strategies & Complete, Error-Free Attribution   QWAFAFEW discussion led by:   Leigh Sneddon, PhD, CFA    Abstract   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…

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October 2017

Next Boston QWAFAFEW Meeting: Tuesday, 17 Oct 2017

October 17, 2017 @ 6:00 pm - 8:00 pm
Tennis & Racquet Club, 3rd Floor of the Tennis & Racquet Club, 939 Boylston Street
Boston, MA,
+ Google Map
$30

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 QWAFAFEW Mailing List    Risk Systems That Read®, A Live Application of Text Analytics   QWAFAFEW discussion led by:   Dan diBartolomeo    Abstract   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…

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November 2017

Next Boston QWAFAFEW Meeting: Tuesday, 21 Nov 2017

November 21, 2017 @ 6:00 pm - 8:00 pm
Tennis & Racquet Club, 3rd Floor of the Tennis & Racquet Club, 939 Boylston Street
Boston, MA,
+ Google Map
$30

Next Boston QWAFAFEW Meeting:  Tuesday, 21 Nov 2017   Time: 6:15 PM sharpe 3rd Floor of the Tennis & Racquet Club, 939 Boylston Street RSVP to hugh@QWAFAFEW.org QWAFAFEW Mailing List   A Multi-Player Game-Theoretic Approach to Modeling the Global Capital Markets   QWAFAFEW discussion led by:   Stephen J. Cucchiaro    Abstract Since the financial crisis of 2008, central banks have injected an unprecedented degree of monetary stimulus into the global capital markets, distorting market pricing behavior in ways not experienced historically. …

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December 2017

Next Boston QWAFAFEW Meeting: Tuesday, 19 Dec 2017

December 19, 2017 @ 6:00 pm - 8:00 pm
Tennis & Racquet Club, 3rd Floor of the Tennis & Racquet Club, 939 Boylston Street
Boston, MA,
+ Google Map
$30

Next Boston QWAFAFEW Meeting: Tuesday, 19 Dec 2017 Time: 6:15 PM sharpe 3rd Floor of the Tennis & Racquet Club, 939 Boylston Street RSVP to hugh@QWAFAFEW.org QWAFAFEW Mailing List   Live from New York, A QWAFAFEW discussion led by: Herb Blank The Case for Reverse Market-Cap Indexing Abstract Index investing can trace it roots back almost 50 years.  However, the dynamics around implementing index portfolios have changed as capital markets have evolved, opening up new discussions around the possibilities and potential benefits of…

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January 2018

Next Boston QWAFAFEW Meeting:  Tuesday, 16 Jan 2018

January 16 @ 6:00 pm - 8:00 pm
Tennis & Racquet Club, 3rd Floor of the Tennis & Racquet Club, 939 Boylston Street
Boston, MA,
+ Google Map
$30

Next Boston QWAFAFEW Meeting: Tuesday, 16 Jan 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/ Optimal Volatility:  A New Volatility-Managed Approach   A QWAFAFEW discussion led by: Nardin L. Baker, CFA South Street Investment Advisors   Abstract In the last few years, assets invested in risk-managed equity strategies have grown rapidly.  Investors are not steadily compensated for risk they take in the stock market.  During periods of high…

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February 2018

Next Boston QWAFAFEW Meeting:  Tuesday, 20 Feb 2018

February 20 @ 6:00 am - 8:00 pm
Tennis & Racquet Club, 3rd Floor of the Tennis & Racquet Club, 939 Boylston Street
Boston, MA,
+ Google Map
$30

Next Boston QWAFAFEW Meeting:  Tuesday, 20 Feb 2018Time: 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/ Securitizing Equity Returns     A QWAFAFEW discussion led by:   Keith Quinton Abstract Income-oriented investors often buy equities directly or via equity mutual funds. This has been true for both the long-term but has been particularly pronounced during the post Financial Crisis low- or zero- interest rate policy period. Investors "forced" to buy…

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March 2018

Next Boston QWAFAFEW Meeting:  Tuesday, 20 Mar 2018

March 20 @ 6:00 pm - 8:00 pm
Tennis & Racquet Club, 3rd Floor of the Tennis & Racquet Club, 939 Boylston Street
Boston, MA,
+ Google Map
$30

Next Boston QWAFAFEW Meeting:  Tuesday, 20 Mar 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/ Machine Learning Takeovers   A QWAFAFEW discussion led by: Yin Luo   Abstract The upside from participating a takeover transaction before the deal is announced is enormous. However, predicting takeover targets has long been proven to be extremely difficult. In this research, we first explore a large number of both traditional and…

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April 2018

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…

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May 2018

Next Boston QWAFAFEW Meeting:  Tuesday, 15 May 2018

May 15 @ 6:00 pm - 8:00 pm
Tennis & Racquet Club, 3rd Floor of the Tennis & Racquet Club, 939 Boylston Street
Boston, MA,
+ Google Map
$30

  Next Boston QWAFAFEW Meeting:  Tuesday, 15 May 2018Time: 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/ Standards, Ethics, and Estimation Error in Portfolio Optimality A QWAFAFEW discussion led by:  Richard Michaud, PhD Abstract Ever since Michaud (1989), estimation error has been understood as the reason for ambiguity and instability in Markowitz mean-variance (MV) portfolio optimization.  Jobson and Korkie (1981) have shown that MV optimization can be far worse than…

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