Next Boston QWAFAFEW Meeting: Tuesday, 20 Sep 2016
Time: 6:15 PM sharpe
3rd Floor of the Tennis & Racquet Club, 939 Boylston Street
RSVP to hugh@QWAFAFEW.org
In appreciation of the 20th Annual CFA GIPS Conference in Boston:
Understanding Investment Performance
Observations from a Crotchety Old Practitioner
FILE DOWNLOAD: understanding-investment-performance
A QWAFAFEW discussion led by:
Mark R. David, CFA
Over the course of 29.718579235 years (act/act) working in and around the asset management industry, the presenter has spent a good deal of time conversing with other practitioners about performance, and occasionally reading articles that some of them publish on the topic. These encounters, combined with a few more billable hours spent designing and implementing performance analytics, have contributed to what he perceives to be his elemental “Understanding” of “Investment Performance” (more likely, just a pile of inflated and sketchy opinions).
In an informal discussion – which only barely qualifies as “quantitative” (see QWAFAFEW by-law 62.7, paragraph c) – we’ll scrutinize his (very likely) spurious assumptions, observations and conclusions around a variety of performance topics, including:
- Where do formulas come from? What are they for?
- Performance of what? What is an asset? Does it have legs?
- What latitude have we to calculate – and, hopefully, understand – return, weight and contribution?
- Does anyone understand transactions and flows? Exposure and leverage?
- Is time-weighted return, really?
- What is the nature of time? Who invented periodicity? Why does it muck up performance results?
- Finally, what is “Understanding”, and how can I calculate it?
Bonus to All CFA GIPS Attendees
Free Admission to September Boston QWAFAFEW
All you can drink in 2 hours – That’ll improve your performance!
Mark R. David is the founder of Essex River Analytics, a consulting firm specializing in the construction of quantitative, data-intensive, proprietary analytics for asset managers of all types, including equity, fixed income, global asset allocation and hedge funds. Since 1995, Essex River has developed a reputation for its expertise in the domains of Performance Measurement & Attribution, Portfolio Construction and Risk Analytics, and has architected and delivered dozens of solutions for its clients. Mark publishes regularly on these topics, and received a 2007 Dietz Award honorable mention for excellence in performance measurement literature. While continuing to practice, he has recklessly embarked on a side venture: book-writing, under the working title of “Understanding Investment Performance”.
Please RSVP hugh@QWAFAFEW.org
All annual dues ($150) should be paid to Boston QWAFAFEW by credit card, Bitcoin or check.
By credit card (PayPal)
Send us Bitcoin, our address is:
Please send a separate email identifying your anonymous payment.
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 (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
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