Next Boston QWAFAFEW Meeting: Tuesday, 19 Apr 2016
Time: 6:15 PM sharpe
3rd Floor of the Tennis & Racquet Club, 939 Boylston Street
RSVP to hugh@QWAFAFEW.org
Estimize and Forcerank: Generating Alpha from Crowdsourced Estimates and Rankings
A QWAFAFEW discussion led by:
Sell side earnings estimates, economic estimate, and analyst ratings data sets are widely used by both quantitative and discretionary investors, but suffer from many severe institutional biases limiting their accuracy and representativeness. Even so, these data sets have massive reflexivity to the market and have in the past been used to produce significant alpha until they were fully arbitraged. The crowdsourcing methodology employed by the Estimize and Forcerank platforms to collect earnings estimates, economic estimates, and stock rankings has yielded significant improvements in both accuracy and representativeness. Alpha producing models using these data sets are now being employed by quantitative and discretionary firms. This talk will focus on the research design of the Estimize and Forcerank platforms, use of multivariate regression models to produce estimate confidence scores and weighted consensus estimates, and research behind several quantitative models shown to produce significant residual return.
Leigh Drogen is the founder and CEO of Estimize and Forcerank. Prior to founding Estimize, Leigh ran Surfview Capital, a New York based quantitative investment management firm trading medium frequency momentum strategies. He was also an early member of the team at StockTwits where he worked on product and business development. Leigh got his start in the institutional finance world as a quantitative analyst with Geller Capital, a White Plains-based hedge fund. He holds a B.A. in political science and economics with an emphasis on war theory from Hunter College in New York City.
Please RSVP hugh@QWAFAFEW.org
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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). We still allow walk-ins (space permitting). 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 (two twenties = $40 Guest Fee).
As always, if you have names or discussion topics, please forward them to any member of the Steerage Committee
Hugh Crowther (Treasurer)
Donna Cool Murphy (Dinners)
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