Loading Events

Past Events

Events Search and Views Navigation

Event Views Navigation

September 2020

Next Boston QWAFAFEW Meeting: 15 Sep 2020

September 15 @ 7:00 pm - 8:00 pm
Free

A Sector Rotation Strategy That Beats the Market Handily, Especially During Crises A discussion led by, Lawrence Pohlman, PhD (not the T&R Club bartender) Free Meeting A Sector Rotation Strategy that Beats the MarketUpdated Abstract We study a sector rotation strategy that switches among equity sectors, and from equities to bonds, based on signals of a high volatility regime in equities. We find that an implementation of the strategy using highly liquid sector-specific ETFs would have earned 6.6% more than…

Find out more »

August 2020

Next Boston QWAFAFEW Meeting: 18 Aug 2020

August 18 @ 7:00 pm - 8:00 pm
ZOOM & YouTube
FREE

A Trading Strategy by Connecting Equity and Foreign Exchange Markets Through the WM Fix A discussion led by, Arnav Sheth Free Meeting ABSTRACT Execution at the Fix (WM/Reuters benchmark exchange rate) is a service offered by brokers provided they obtain the trade order before 4pm GMT. We examine the relationship between equity and foreign exchange markets and discover an anomaly between equities and foreign exchange markets during this window. We develop an algorithmic trading strategy to exploit this anomaly and…

Find out more »

July 2020

Next Boston QWAFAFEW Event, 21 July 2020

July 21 @ 7:00 pm - 8:00 pm
ZOOM & YouTube
Free

QWAFAFEW Meeting: 21 July 2020 FREE Event BETTER PORTFOLIOS WITH HIGHER MOMENTS A QWAFAFEW discussion led by: Jarrod Wilcox Abstract: Maximizing expected log leveraged return is a direct expected utility approach complementary to Markowitz’s mean-variance portfolio construction.  An implementation of Rubinstein’s generalized log utility, it is growth-optimal for surplus over financial obligations.  Its added value is in guidance on appropriate risk aversion, matching products with suitable investors, and in shielding against tail risk.  Option positions are first class citizens within…

Find out more »

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,
+ Google Map
$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…

Find out more »

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,
+ Google Map
$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,…

Find out more »

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,
+ Google Map
$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…

Find out more »

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,
+ Google Map
$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…

Find out more »

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,
+ Google Map
$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…

Find out more »

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,
+ Google Map
$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…

Find out more »

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,
+ Google Map
$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…

Find out more »
+ Export Events