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…

Estimating Long-Term Expected Returns: More Bad News for Equity Premia A QWAFAFEW discussion arranged by Mark Kritzman & led by: Eric  Jacquier Abstract Assessing future long-term (compound) expected returns is crucial to many aspects of portfolio management. Long-term expected returns obtain by compounding the one-period expected return. However, compounding an…

Higher-Frequency Analysis of Low-Frequency Data A QWAFAFEW discussion led by: Mark Szigety and Mickael Mallinger-Dogan Abstract Low-frequency data present significant challenges to investors because infrequent observations lead to imperfect intra-period understandings of market behavior, which in turn frustrate risk management, rebalancing, and portfolio monitoring.  Nowhere is this phenomenon more vexing…

Abstract How can one forecast the returns to corporate credit? We show that the credit quality of corporate debt issuers deteriorates during credit booms, and that this deterioration forecasts low excess returns to corporate bondholders. Our key insight is that changes in the pricing of credit risk disproportionately affect the…

Abstract The price of gold has risen dramatically since 2001 and there have been intense debates regarding the current price of this asset and its long-term outlook.  Here we study a long history of the price of gold and construct a quantile regression model to identify distributional relationships between the…

Abstract Since Haugen and Baker (1992), numerous papers have argued that low volatility equities strategies generate performance well above the expectations of equilibrium models such as CAPM.   A few papers have advanced theories on manager behavior such as focus on tracking error and aversion to leverage as potential explanations.  While…

Abstract Portfolio optimization is going through a revolution with the recent algorithmic advances in conic optimization. By generalizing quadratic optimization, conic optimization allows new ways of modeling and solving a broader class of risk optimization problems efficiently. In this talk, we will give a brief introduction to conic optimization and…

Informed investors recognize that hedging at least some of a portfolio’s currency exposure, in most cases, improves its quality, but the best approach for doing so is not often obvious. We investigate a variety of currency hedging strategies, including linear strategies, non-linear strategies, and combinations thereof, to help investors determine…