Next Boston QWAFAFEW Meeting: Tuesday, 19 Jan 2016
Time: 6:15 PM sharpe
3rd Floor of the Tennis & Racquet Club, 939 Boylston Street
RSVP to hugh@QWAFAFEW.org
FLEXIBLE INDETERMINATE FACTOR-BASED ASSET ALLOCATION
A QWAFAFEW discussion led by:
Mark C. Szigety
Asset allocation represents a fundamental strategic decision for every institutional investor. Though many asset allocation approaches have been recommended and implemented in various forms, each has its own strengths and weakness. A careful review of current asset allocation frameworks provided motivation to design a hybrid approach that addresses many of these perceived individual shortcomings. Our guiding principle was to use several familiar elements to create a flexible process that incorporates less-quantifiable investment ideas around a rigorous foundation. The result, which we term Flexible Indeterminate Factor-based Asset Allocation (FIFAA), is an adaptive four-step asset allocation synthesis that remains quantitatively and theoretically well grounded. To achieve this goal, FIFAA overlays informed judgment about investment opportunities onto an objectively derived set of core factor exposures.
To obtain the presentation, please email firstname.lastname@example.org.
ACKNOWLEDGEMENTS: The authors would like to thank the following people for valuable input and feedback: John Campbell, Edwin Cass, Tham Chiew Kit, Martin Leibowitz, Jay Light, Kevin Pan, Edward Qian, Luis Viceira, and Barbara Zvan.
Mark Szigety was previously Senior Vice President of Asset Allocation and Risk Analytics at Harvard Management Company. During his five years at HMC, Mark was responsible for developing the endowment’s approach to asset allocation and risk modeling, and co-designer of HMC’s new FIFAA asset allocation framework. A published author on asset allocation and risk topics, Mark holds a doctorate from HBS and degrees in Physics from MIT and Harvard.
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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). 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 (two twenties = $40 Guest Fee).
As always, if you have names or discussion topics, please forward them to any member of the Steerage Committee
Hugh Crowther (Treasurer)
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