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Next Boston QWAFAFEW Meeting:  Tuesday, 16 Jan 2018

January 16, 2018 @ 6:00 pm - 8:00 pm

| $30

Next Boston QWAFAFEW Meeting: Tuesday, 16 Jan 2018


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/

Optimal Volatility:  A New Volatility-Managed Approach

  A QWAFAFEW discussion led by:

Nardin L. Baker, CFA
South Street Investment Advisors


In the last few years, assets invested in risk-managed equity strategies have grown rapidly.  Investors are not steadily compensated for risk they take in the stock market.  During periods of high volatility, stock investors can experience large drops in the value of their portfolios.  Strategies such as minimum volatility follow systematic rules to build portfolios that control risk.  While defensive during down markets, minimum volatility strategies may underperform in very strong markets.
Is there a dynamic approach to manage volatility exposure in a systematic way?  Such a strategy must necessarily adapt and become more aggressive when the market rewards higher risk portfolios.   Optimal Volatility portfolios are built to be defensive most of the time and to increase risk exposures when volatility characteristics are paying off.
Using only past volatility and correlation information for stocks, reward-to-risk can be measured.  As the market payoffs to volatility and correlation change, an optimal volatility portfolio can be selected that adjusts exposures to risk and correlation.   By maximizing expected reward-to-risk (RR) relative to total portfolio risk (PR), Optimal Volatility can provide investors with better return for the risk they take.

DOWNLOAD:  Optimal Volatility – Nardin Baker – QWAFAFEW

Nardin Baker is an independent investment consultant whose work has concentrated in the areas of quantitative asset management, optimal portfolio construction, and risk-controlled strategies.  He was an early developer of equity factor models for forecasting returns, an area in which he is a well-known expert.  He has written several articles with Professor Robert A. Haugen, including “Commonality in the Determinants of Expected Stock Returns,” which appeared the in Journal of Financial Economics. This paper deals with the nature and stability of factors that influence the cross-section of stock returns around the world.

Early in the 1990’s, Mr. Baker developed a large-scale portfolio optimization approach that allowed him to investigate the properties of minimum volatility portfolios. Minimum volatility portfolios have historically outperformed capitalization-weighted benchmarks.  Results of this innovative research were published in “The Efficient Market Inefficiency of Capitalization-Weighted Stock Portfolios” in The Journal of Portfolio Management.  This led to the first published Smart Beta index, “S&P 500 Efficient Index”, appearing in Pensions & Investments starting in 1991.

Previously, he directed the Global Asset Allocation and Tax-sensitive Equities groups for Grantham, Mayo, Van Otterloo (GMO).  Before that, he directed the quantitative equity management group for NISA in Milwaukee, Wisconsin.

Please RSVP 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 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/


January 16, 2018
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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