Boston QWAFAFEW Meeting: Tuesday, 17 Jun 2014

Next Boston QWAFAFEW Meeting: Tuesday, 17 Jun 2014

Time: 6:15 PM sharpe
3rd Floor of the Tennis & Racquet Club, 939 Boylston Street


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To Rebalance or Not to Rebalance: A Statistical Comparison of Terminal Wealth of Fixed-Weight and Buy-and-Hold Portfolios

A QWAFAFEW discussion arranged by Dan diBartolomeo and led by:

Edward Qian, Ph.D., CFA .


“To rebalance or not to rebalance?” This seemingly innocuous question is of fundamental importance to many important investment issues. For example, it is related to the debate about efficient market theory and market inefficiency, and by extension, the distinction between traditional cap-weighted indices and alternative betas. It is also the point of divergence between how many investors carry out their asset allocation policies (to rebalance) and how they adhere to “passive” cap-weighted indices of underlying asset classes (not to rebalance). Which approach is better, from the perspective of risk-adjusted returns? In this presentation, we shall address this question statistically by comparing both expected value and expected variance of terminal wealth of fixed-weighted portfolios and their buy-and-hold counterparts. We also apply the analysis to long-only as well as long-short portfolios. The theoretical results suggest that overall fixed-weight portfolios with portfolio rebalancing are more likely to have better risk-adjusted terminal wealth than buy-and-hold portfolios.


Edward Qian is the Chief Investment Officer and Head of Research, Multi Asset at PanAgora Asset Management in Boston. Dr. Qian has a B.S. in mathematics from Peking University and a Ph.D. in applied mathematics from Florida State University. He started his investment career in 1996, first as a fixed-income quantitative analyst at Back Bay Advisors and then as a senior asset allocation analyst at Putnam. Dr. Qian was a senior analyst at 2100 Capital, an alternative investments firm. Since 2005, he has been with PanAgora, where he is a member of the firm’s Operating, and Investment Research Committees.

Dr. Qian’s investment research has been extensive and influential. His papers on risk budgeting and asset allocation laid the theoretical foundations for Risk Parity investment strategies. Dr. Qian coined the term “Risk Parity” in 2005 and has published numerous papers on the topic of Risk Parity. His research on quantitative equity has been equally influential. He pioneered in using portfolio theory for evaluating alpha factors and constructing multi-factor models. He is the recipient of Bernstein Fabozzi/Jacobs Levy awards for outstanding articles. Dr. Qian is a co-author (with Ronald Hua and Eric Sorensen) of the book “Quantitative Equity Portfolio Management: Modern Techniques and Applications”. He was a postdoctoral researcher at the University of Leiden and a National Science Foundation Postdoctoral Research Fellow at MIT.

Please RSVP

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  • All annual dues ($150) should be paid to Boston QWAFAFEW by check or credit card through EMA.

By check:

Executive Management Associates

12 Academy Avenue

Atkinson, NH  03811

  • By credit card (PayPal)


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). We still allow walk-ins (space permitting). The $30 guest fee can be paid by cash or check at the door, no credit cards at the meeting.
  • As always, if you have names or discussion topics, please forward them to any member of the Steerage Committee

Questions, comments:

Steerage Committee

Max Arai

Hugh Crowther (Treasurer)

Dan diBartolomeo

Steve Gaudette

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..

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