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March 2020

Boston QWAFAFEW Meeting: 17 Mar 2020

March 17 @ 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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$30

Boston QWAFAFEW Meeting: 17 Mar 2020 Happy St. Patrick's Day "He uses statistics as a drunken man uses lamp-posts...for support rather than illumination." Andrew Lang Synthetic vix data generation using deep learning techniques  A QWAFAFEW discussion led by: Sri Krishnamurthy, CFA, CAP  Abstract: Synthetic data sets and simulations are used to enrich and augment existing datasets to provide comprehensive samples while training machine learning problems. In addition, synthetic data generators could be used for scenario generation when modeling future scenarios when trained on real and synthetic scenarios. The advent of novel techniques like…

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February 2020

Boston QWAFAFEW Meeting: 18 Feb 2020

February 18 @ 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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$30

Boston QWAFAFEW Meeting: 18 Feb 2020 On The Value of Portfolio Construction  A QWAFAFEW discussion led by: Jason MacQueen  Abstract: Most Style factor ETFs use some simple heuristic method of portfolio construction, such as equal-weighting or capitalisation-weighting.  This inevitably results in inefficient portfolios which are likely to have significant unintended factor bets, and the returns to these can easily dominate the returns to these chosen Style factor.   This paper uses a simple stock selection rule to create Style Factor ETFs,…

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January 2020

Boston QWAFAFEW Meeting: 21 Jan 2020

January 21 @ 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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$30

Boston QWAFAFEW Meeting: 21 Jan 2020 An Overview of Recent Research on Implementable Factor Portfolios A QWAFAFEW discussion led by: Jennifer Bender, Ph.D. Xiaole Sun Abstract: This talk reviews recent research we have published on factor investing, reflecting practical considerations for implementing factors (smart beta portfolios). First, we describe why we favor a mean-variance portfolio construction approach for factor portfolios.  The workhorse of quant investing, mean-variance optimization is a natural fit for building factor for transparent factor portfolios.  We argue why…

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December 2019

Boston QWAFAFEW Meeting: 17 Dec 2019

December 17, 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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$30

Boston QWAFAFEW Meeting: 17 Dec 2019 “Rosenblatt Securities D Shahrawat Will Present A Bird’s Eye of FinTech”  QWAFAFEW FinTech Holiday Party & A Bird’s Eye View of FinTech Come and mingle with your QWAFAFEW friends as we say goodbye to 2019 and get ready to ring in the New Year. Welcome 2020. Along with the festivities, we will have our friend D Shahrawat, Director in the Investment Banking practice at Rosenblatt Securities on Wall Street, spend an hour with us describing the…

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November 2019

Boston QWAFAFEW Meeting: 19 Nov 2019

November 19, 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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$30

Boston QWAFAFEW Meeting: 19 Nov 2019 Fund Flows as Country Allocator A QWAFAFEW discussion led by: Vikram Srimurthy In this article, the authors find significant positive returns over a forward one-month holding period for strategies that buy in countries that have attracted indirect investment via equity fund flows and sell in countries that have not. They find that the profitability of these strategies is independent of the momentum effect as well as the size effect. Bio: Vikram Srimurthy Vikram Srimurthy joined Informa…

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October 2019

Boston QWAFAFEW Meeting: 15 Oct 2019

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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$30

Boston QWAFAFEW Meeting: 15 Oct 2019 Uncertain Risk Contributions and Uncertain Risk Parity A QWAFAFEW discussion led by: Anish Shah, CFA Abstract: 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…

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September 2019

Boston QWAFAFEW Meeting: 17 Sep 2019

September 17, 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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$30

Boston QWAFAFEW Meeting: 17 Sep 2019 ENHANCED SCENARIO ANALYSIS A QWAFAFEW discussion led by: MARK KRITZMAN, CFA   Abstract: Investors have long relied on scenario analysis as an alternative to mean-variance analysis to help them construct portfolios.  Even though mean-variance analysis accounts for all potential scenarios, many investors find it difficult to implement because it requires them to specify statistical features of asset classes which are often unintuitive and difficult to estimate.  Scenario analysis, by contrast, requires only that investors…

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August 2019

Next Boston QWAFAFEW Meeting: 20 Aug 2019

August 20, 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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$30

Boston QWAFAFEW Meeting: 20 Aug 2019  Quants’ Quandary: Crossing The Chasm  A QWAFAFEW discussion led by: Rick Roche, CAIA. Little Harbor Advisors, LLC.  Abstract: Rick Roche, CAIA, will present core concepts from his paper which was recently accepted for publication in the Journal of Investment Consulting. Roche upends widely-held erroneous assumptions and media assertions of widespread quant investing. Contrary to mainstream media claims of widespread adoption of quant fund investing, Roche uses industry research (Morgan Stanley & McKinsey) to document that…

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July 2019

Next Boston QWAFAFEW Meeting: 16 Jul 2019

July 16, 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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$30

Boston QWAFAFEW Meeting: 16 Jul 2019 Competition links and stock returns A QWAFAFEW discussion led by: Ronnie Sadka, PhD Abstract: We consider a firm’s competitiveness based on the manner by which other firms mention it on their 10-K filings. Using all public firm filings simultaneously, we implement a PageRank-type algorithm to produce a dynamic measure of firm competitiveness, denoted C-Rank. A high-minus-low C-Rank portfolio yields 16% alpha annually, where return predictability mainly stems from cross-sector competitiveness. The findings are largely consistent with investor…

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June 2019

Boston QWAFAFEW Meeting: 18 Jun 2019

June 18, 2019 @ 6:00 pm - 8:00 pm
$30

Boston QWAFAFEW Meeting: 18 Jun 2019 Utilizing Options Strategies to Meet Portfolio Objectives A QWAFAFEW discussion led by: Dan Corcoran, CEO Volos Portfolio Solutions Abstract The growth of options and volatility strategies over recent years has caused many managers to reconsider existing portfolio construction and idea implementation approaches. Utilizing options strategies has been shown to help managers better meet their portfolio objectives, whether it be enhancing returns, generating income, or reducing portfolio risk. In this discussion, we present an optimized and technology-driven approach…

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