Next Boston QWAFAFEW Meeting: Apr 20, 2021, 7:00PM ET
HISTORY, SHOCKS AND DRIFTS: A NEW APROACH TO PORTFOLIO FORMATION
A QWAFAFEW discussion led by,
David Turkington, CFA
Investors intuitively view future possibilities as a combination of historical outcomes, shocks that occur suddenly, and drifts that unfold gradually over several years. We show how to build portfolios based on such a view of the future. Our key innovation is to create a mixed-frequency return sample that properly balances short-term and long-term returns, and to form portfolios by considering all the returns of the sample instead of a statistical summary of them.
David Turkington is Senior Managing Director and Head of Portfolio and Risk Research at State Street Associates. His team is responsible for research and advisory spanning asset allocation, risk management and quantitative investment strategy. Mr. Turkington is a frequent presenter at industry conferences, has published research articles in a range of journals, and led the development of State Street’s systemic risk and turbulence indicators. He is also co-author of the book A Practitioner’s Guide to Asset Allocation. His research has received the 2013 Peter L. Bernstein Award, four Bernstein-Fabozzi/Jacobs-Levy Outstanding Article Awards, and the 2010 Graham and Dodd Scroll Award. Mr. Turkington graduated summa cum laude from Tufts University with a BA in mathematics and quantitative economics, and he holds the CFA designation.
Time: 7:00 PM sharpe
Registration is required. Register in advance for this meeting here: https://us02web.zoom.us/meeting/register/tZYsceiprjkqHNXypf_T9fYVRQTx-jIw9uu-
After registering, you will receive a confirmation email containing information about joining the meeting.
This event will be streamed on Zoom and recorded and made available on YouTube. By registering you consent to this.
Boston QWAFAFEW Mailing List:
Donna Cool Murphy
The members of the Steerage Committee are responsible for coordinating the program content.
Program suggestions from members are always welcome.