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Boston QWAFAFEW Meeting: 15 Oct 2019

October 15, 2019 @ 6:00 pm - 8:00 pm

| $30

Boston QWAFAFEW Meeting: 15 Oct 2019

Uncertain Risk Contributions and Uncertain Risk Parity

A QWAFAFEW discussion led by:

Anish Shah, CFA


Risk parity is portfolio construction technique that, using risk alone, scales each part of a portfolio – e.g., stocks, bonds, currencies, commodities – so that its contribution to net portfolio risk matches its budgeted risk. Because contributions are measured using a point-estimate of covariance, the method is subject to problems of estimation error. Presented is a way to solve risk parity with covariance modeled as uncertain in order to achieve a weighting robust to changes in regime and hidden risks from misperceived hedging.

Having wide application outside of risk parity are the uncertain contributions calculated en route. Reporting a portfolio’s “uncertain risk decomposition” reveals the range around numbers and, more important, the risks that arise from being wrong, e.g., market’s going from invisible to the biggest latent risk in a seemingly beta-hedged long-short portfolio.

Slides from Oct 15, 2019:  uncertain risk parity

Full paper here:  https://ssrn.com/abstract=3406321

Extra Extra Bonus

Back by popular demand!

Anish, in addition to being an expert quant, he is also superb Flamenco guitar player.  He will play a few selected tunes for us.   Risk Parity you can dance to!

Anish Shah, CFA
Trained as an applied mathematician (MS Operations Research UC Berkeley, MS and ABD in PhD Applied Math Brown), Anish Shah has been a quant for years – including stops at ITG, Northfield, and the (shuttered) ship-tracking hedge fund CargoMetrics  – nearly all the time contemplating uncertainty and the effects of estimation error.

Time: 6:15 PM sharpe
3rd Floor of the Tennis & Racquet Club
939 Boylston Street
RSVP to hugh@QWAFAFEW.org
Mailing List and Payment Link: https://boston.qwafafew.org/

All annual dues ($150) should be paid to Boston QWAFAFEW by credit card, Bitcoin or check.

By credit card (PayPal)

By Bitcoin
Send us Bitcoin, our address is:
Please send a separate email identifying your anonymous payment.

By check:
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).  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 (eg: two twenties = $40 Guest Fee).

As always, if you have names or discussion topics, please forward them to any member of the Steerage Committee

Questions, comments:
Steerage Committee:
Hugh Crowther
Dan diBartolomeo
Mike Dunn
Steve Gaudette
Sri Krishnamurthy
Mark Kritzman
John Minahan
Donna Cool Murphy
Larry Pohlman
Dan Potter
Dan Rie
Evan Schulman
Michael Schwartzman
Michael Wilcox

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

Mailing List and Payment Link: https://boston.qwafafew.org/









October 15, 2019
6:00 pm - 8:00 pm


Tennis & Racquet Club
3rd Floor of the Tennis & Racquet Club, 939 Boylston Street
Boston, MA,
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