Next Boston QWAFAFEW Meeting: Tuesday, 21 Oct 2014 Time: 6:15 PM sharpe 3rd Floor of the Tennis & Racquet Club, 939 Boylston Street RSVP to hugh@QWAFAFEW.org Mailing List  Model Risk Management: Using an infinitely scalable stress testing platform for effective model verification and validation A QWAFAFEW discussion led by: Sri Krishnamurthy, CFA,…

Next Boston QWAFAFEW Meeting: Tuesday, 16 Sep 2014 Time: 6:15 PM sharpe 3rd Floor of the Tennis & Racquet Club, 939 Boylston Street RSVP to hugh@QWAFAFEW.org Mailing List  Seeing The Big Picture: Financial Markets, Conflict and Corruption A QWAFAFEW discussion led by: Dan diBartolomeo Abstract In this presentation we explore the relationship…

Next Boston QWAFAFEW Meeting: Tuesday, 19 Aug 2014 Cryptocurrency Night Time: 6:15 PM sharpe 3rd Floor of the Tennis & Racquet Club, 939 Boylston Street RSVP to hugh@QWAFAFEW.org Mailing List  What is Bitcoin? A QWAFAFEW discussion arranged by Paul Huibers and led by: James D’Angelo Abstract This is an introductory talk on…

THE DIVERGENCE OF HIGH- AND LOW-FREQUENCY ESTIMATION: CAUSES AND CONSEQUENCES A QWAFAFEW discussion led by: MARK KRITZMAN, CFA With an assist from David Turkington, CFA Abstract Financial analysts typically estimate standard deviations and correlations from monthly or higher-frequency returns when determining the optimal composition of a portfolio.  Although it is…

Next Boston QWAFAFEW Meeting: Tuesday, 17 Jun 2014 Time: 6:15 PM sharpe 3rd Floor of the Tennis & Racquet Club, 939 Boylston Street RSVP to hugh@QWAFAFEW.org Mailing List  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…

Boston QWAFAFEW Meeting: Tuesday, 20 May 2014 Time: 6:15 PM sharpe 3rd Floor of the Tennis & Racquet Club, 939 Boylston Street RSVP to hugh@QWAFAFEW.org Mailing List  Large Bets and Stock Market Crashes A QWAFAFEW discussion arranged by Mark Kritzman and led by: Anna Obizhaeva Co-authored with Pete Kyle Abstract For five…

Systematic Equity Strategies as Sources of Risk A QWAFAFEW discussion led by: Stanislav Radchenko, PhD With Larry Pohlman as discussant. Abstract Systematic Equity Strategies (SES) refer to the systematic (i.e., rules based or computed based) implementation of fundamental or technical investment anomalies/strategies. When represented as factors in risk models, they allow…

Next Boston QWAFAFEW Meeting: Tuesday, 18 Mar 2014 Time: 6:15 PM sharpe 3rd Floor of the Tennis & Racquet Club, 939 Boylston Street RSVP to hugh@QWAFAFEW.org Mailing List  DIY Quant Strategies from the Quantopian Community A QWAFAFEW discussion led by: Jess Stauth, PhD With Wayne Nilsen of Northfield Information Services as discussant, providing…

Next Boston QWAFAFEW Meeting: Tuesday, 11 Feb 2014* Time: 6:15 PM sharpe 3rd Floor of the Tennis & Racquet Club, 939 Boylston Street RSVP to hugh@QWAFAFEW.org Mailing List Correlation Surprise A QWAFAFEW discussion led by: Will Kinlaw, CFA and David Turkington, CFA Abstract Soon after Harry Markowitz published his landmark 1952 article on…

Abstract Events by their nature tend to be idiosyncratic, and thus uncorrelated to traditional investment strategies.  Regardless of investor style and time horizon, the incorporation of event driven signals are additive.  In this talk we examine: The Nature of Event Driven Signals Alpha Signals Stemming from Investors Activism, CEO/CFO Changes…