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January 2017

Next Boston QWAFAFEW Meeting: Tuesday, 17 Jan 2017

January 17 @ 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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 Next Boston QWAFAFEW Meeting:  Tuesday, 17 Jan 2017   Time: 6:15 PM sharpe 3rd Floor of the Tennis & Racquet Club, 939 Boylston Street RSVP to hugh@QWAFAFEW.org QWAFAFEW Mailing List     Solving the Curse of Dimensionality Problem in Multi-Asset Class Risk Models   QWAFAFEW discussion led by: Jose Menchero    Abstract Estimating a robust risk model risk for a portfolio that spans multiple asset classes is a challenging task due to the “curse of dimensionality” (i.e., the problem of estimating too…

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February 2017
$30

Next Boston QWAFAFEW Meeting: Tuesday, 21 Feb 2017

February 21 @ 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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Next Boston QWAFAFEW Meeting:  Tuesday, 21 Feb 2017   Time: 6:15 PM sharpe 3rd Floor of the Tennis & Racquet Club, 939 Boylston Street RSVP to hugh@QWAFAFEW.org   QWAFAFEW Mailing List     OPEN-SOURCE S&P500 EXPECTED RETURNS     QWAFAFEW discussions led by:   Jarrod Wilcox   Abstract   We seek better public estimates for future stock returns that can be used for a wide variety of purposes, ranging from naïve long-term financial planning to benchmarking sophisticated tactical asset allocation. This discussion…

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March 2017
30$

Next Boston QWAFAFEW Meeting: Tuesday, 21 Mar 2017

March 21 @ 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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Next Boston QWAFAFEW Meeting:  Tuesday, 21 Mar 2017   Time: 6:15 PM sharpe 3rd Floor of the Tennis & Racquet Club, 939 Boylston Street RSVP to hugh@QWAFAFEW.org   QWAFAFEW Mailing List     Alpha from Overhead: Spaceborne Insights Come of Age  QWAFAFEW discussions led by: David Potere, PhD Abstract Over the past two years, a new wave of spaceborne intelligence has begun to make its way into the hands of leading investors. We’re not talking about counting cars in Walmart parking lots…

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April 2017

Next Boston QWAFAFEW Meeting: Tuesday, 18 Apr 2017

April 18 @ 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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Next Boston QWAFAFEW Meeting:  Tuesday, 18 Apr 2017   Time: 6:15 PM sharpe 3rd Floor of the Tennis & Racquet Club, 939 Boylston Street RSVP to hugh@QWAFAFEW.org   QWAFAFEW Mailing List     Reconciliation of Default Risk and Spread Risk in Fixed Income   QWAFAFEW discussions led by:   Dan diBartolomeo   Abstract   There are at least three conflicting concepts of what credit risk actually is. The classic definition has to do with the likelihood that a given fixed income instrument…

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May 2017
$30

Next Boston QWAFAFEW Meeting: Tuesday, 16 May 2017

May 16 @ 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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Next Boston QWAFAFEW Meeting:  Tuesday, 16 May 2017   Time: 6:15 PM sharpe 3rd Floor of the Tennis & Racquet Club, 939 Boylston Street RSVP to hugh@QWAFAFEW.org   QWAFAFEW Mailing List     Fundamentals of Efficient Factor Investing   QWAFAFEW discussions led by:   Steven Thorley, CFA   Abstract Combining long-only-constrained factor subportfolios is generally not a mean–variance-efficient way to capture expected factor returns. For example, a combination of four fully invested factor subportfolios—low beta, small size, value, and momentum—captures less than…

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June 2017

Next Boston QWAFAFEW Meeting: Tuesday, 20 Jun 2017

June 20 @ 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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Next Boston QWAFAFEW Meeting:  Tuesday, 20 Jun 2017   Time: 6:15 PM sharpe 3rd Floor of the Tennis & Racquet Club, 939 Boylston Street RSVP to hugh@QWAFAFEW.org   QWAFAFEW Mailing List     Investment Horizon and Portfolio Selection   QWAFAFEW discussions led by:   Martin Tarlie, PhD, CFA   Abstract This presentation introduces a method of portfolio selection based on that idea that investment risk is not having enough wealth when you need it. Not having enough wealth translates into a required…

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July 2017
$30

Next Boston QWAFAFEW Meeting: Tuesday, 18 Jul 2017 Dieciocho de Julio Noche

July 18 @ 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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Next Boston QWAFAFEW Meeting:  Tuesday, 18 Jul 2017 Dieciocho de Julio Noche   Time: 6:15 PM sharpe 3rd Floor of the Tennis & Racquet Club, 939 Boylston Street RSVP to hugh@QWAFAFEW.org QWAFAFEW Mailing List Uncertainty-Penalized Portfolio Optimization   QWAFAFEW discussions led by:   Anish Shah, CFA   Abstract It is long known that inaccuracy in forecasts sabotages portfolio construction, and approaches have arisen to address the problem. For example, ‘resampling’ (Michaud 1998) perturbs point-estimated inputs and averages the output. Beyond point estimates,…

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August 2017
$30

Next Boston QWAFAFEW Meeting: Tuesday, 15 Aug 2017

August 15 @ 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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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
$30

Next Boston QWAFAFEW Meeting: Tuesday, 19 Sep 2017

September 19 @ 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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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
$30

Next Boston QWAFAFEW Meeting: Tuesday, 17 Oct 2017

October 17 @ 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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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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