Loading Events

« All Events

  • This event has passed.

Next Boston QWAFAFEW Meeting: 19 Mar 2019

March 19, 2019 @ 6:00 pm - 8:00 pm

| $30

Live From New York,

Herb Blank 

A QWAFAFEW discussion on:

Outsmarting Smart Beta – Exploiting Factor Cyclicality

Smart Beta and factor investing have become very popular and for good reason. Unlike most active managers, factors have demonstrated their ability by providing historical returns competitive with and often superior to S&P 500 Index Funds. The so-called “Smart Beta” phenomenon has inspired a wave of investment products and considerable debate. Topics of debate include: does Smart Beta only apply to re-weighting a market portfolio? How many Smart Beta factors are there?  What is the hurdle for accepting a factor strategy as Smart Beta?  If value is measured using four different methods, in turn does that make four different factors?  Another Smart Beta area of debate that has received much attention is whether it is possible to time Smart Beta factors.  Although early research yielded mixed results, recent research has been more positive.   This paper summarizes the development of Smart Beta investing and its current popularity, then compares it to a 60+ factor method that has been in active use since 1996.

Download: Boston QWAFAFEW March 19 Smart Beta Cyclicality

Herb Blank is a senior consultant and practice leader in the Global Finesse Product Strategy and Implementations Consulting Practice. He has more than 30 years of experience in financial product innovation and quantitative analysis. Recognized as a pioneer in the Exchange Traded Fund (ETF) industry, Herb established the first family of ETFs to trade on the NYSE and was portfolio manager for the fund. Herb is credited with the product development and launch of iShares, GLD, and X Shares. He developed the construction and maintenance methodologies for Dow Jones Global Indexes.
Herb has considerable experience in working with unconventional and alternative data sets and applying them to investment applications. His work in developing SRI and ESG indexes and portfolios since 1987 fall into this category. He also assisted Thomson Reuters in the creation and maintenance of the Thomson Reuters Corporate Responsibility Ratings and Indexes and consulted onsite at Calvert to help establish a quantitative basis for pass/fail decision there and to facilitate the creation of ESG index funds.  Many years prior to that, Herb worked with Arbitrage Pricing Theory creator, the late Dr. Steve Ross, to create and manage APT-driven factor portfolios.  In many ways, these can be viewed as a forerunner of today’s smart Beta indexes and ETFs.
Firms that have engaged Herb’s expertise include: Brand Loyalties; Haugen Equity Signals; James Investment Research; Exponential ETFs; Deutsche Bank; NYLIM; Thomson Reuters; NYSE; UBS; Morningstar; S-Network Global Indexes; World Gold Council; BGI (now part of Blackrock); Rapid Ratings International; XShares; and Fidelity Bank (now part of Wells Fargo).
Herb frequently publishes industry white papers and articles, and is credited with having a large network of institutional investment professionals, RIAs, and wealth managers. Mr. Blank also serves as Steering Committee chairman for the NY Chapter of QWAFAFEW, an informal society for quantitative investment discussions. His MBA in Finance is from NYU Stern; his BA in Mathematics is from the University of Pennsylvania.
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 (Dinners)
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/


March 19, 2019
6:00 pm - 8:00 pm