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October 2021

Next Boston QWAFAFEW Meeting: Oct 19, 2021, 6:30PM ET

October 19 @ 6:30 am - 8:00 am
$30

Next Boston QWAFAFEW Meeting: Oct 19, 2021, 6:30PM ET “Relevance” A QWAFAFEW discussion led by, Megan Czasonis Abstract: The authors describe a new statistical method for improving forecasting called relevance. They describe their new method from both a conceptual and mathematical perspective, and they show how relevance links regressions to event studies. Bio: Megan Czasonis is a Managing Director for the Portfolio and Risk Research team at State Street Associates. The Portfolio and Risk Research team collaborates with academic partners…

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September 2021

Next Boston QWAFAFEW Meeting: Sep 21, 2021, 7:00PM ET

September 21 @ 7:00 pm - 8:00 pm
Free

Next Boston QWAFAFEW Meeting: Sep 21, 2021, 7:00PM ET The Worst of Both Worlds? Dual-Registered Investment Adviser A QWAFAFEW discussion led by, Nicole Boyson, Ph.D.  Abstract: As fiduciaries, Registered Investment Advisers (RIAs) must place client interests ahead of their own. Many fiduciaries are dual-registered as brokers (DRs) and have potential conflicts of interest including revenue sharing from mutual funds, receiving asset-based fees and transaction-based commissions on the same security, and preferential treatment of affiliated mutual funds. Regulators frequently discipline DRs for…

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August 2021

Next Boston QWAFAFEW Meeting: Aug 17, 2021, 7:00PM ET

August 17 @ 7:00 pm - 8:00 pm
Free

Next Boston QWAFAFEW Meeting: Aug 17, 2021, 7:00PM ET Estimation of Cryptocurrency Risk A QWAFAFEW discussion led by,   Dan diBartolomeo   Abstract:    The market value of all cryptocurrency now exceeds 1% of all traded wealth.   In recent months there have been massive swings (both up and down) in the values of cryptocurrencies like Bitcoin and Ethereum.  Some financial institutions such as Goldman Sachs are setting up trading desks to participate in these assets, while others such as HSBC have…

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July 2021

Next Boston QWAFAFEW Meeting: July 20, 2021, 7:00PM ET

July 20 @ 7:00 pm - 8:00 pm
Free

DEVELOPING PRACTICAL INVESTMENT RESILIENCE   A QWAFAFEW discussion led by, Jarrod Wilcox, PhD   Abstract:    While seeking practical tools for resilient investors, a myopic ability for single-period decisions to reflect outcomes at multiple time horizons without dynamic programming is developed.  It captures tail risk, and, with multiple overlapping observations compounded at different frequencies, captures time-series properties as well.  These benefits rely on pairing multi-level representation of utility probability distribution with the use of Rubinstein utility, logarithmic in investor surplus.  Other…

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June 2021

Next Boston QWAFAFEW Meeting: Jun 15, 2021, 7:00PM ET

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

Next Boston QWAFAFEW Meeting: Jun 15, 2021, 7:00PM ET From Man vs. Machine to Man + Machine: The Art and AI of Stock Analyses   A QWAFAFEW discussion led by, Baozhong Yang, PhD   Abstract: An AI analyst we build to digest corporate financial information, qualitative disclosure, and macroeconomic indicators is able to beat the majority of human analysts in stock price forecasts and generate excess returns compared to following human analysts. In the contest of “man vs machine,” the relative…

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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,
+ 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…

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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,
+ 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…

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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,
+ 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…

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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,
+ Google Map
$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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