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March 2021

Next Boston QWAFAFEW Meeting: Mar 16, 2021

March 16 @ 7:00 pm - 8:00 pm
Free

Next Boston QWAFAFEW Meeting: Mar 16, 2021, 7:00PM ET Beyond Diversification – Insights on Asset Allocation A QWAFAFEW discussion led by, Sébastien Page, CFA Abstract: This presentation will cover topics from Sebastien Page’s recently published book titled “Beyond Diversification” (McGraw Hill, 2020). Sebastien will discuss important topics on asset allocation including return and risk forecasting, portfolio construction, fat tails, and the failure of diversification. "Sébastien Page presents an eclectic blend of theory, anecdotes, and common sense to describe the best practices…

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February 2021

Next Boston QWAFAFEW Meeting: Feb 16, 2021

February 16 @ 7:00 pm - 8:00 pm
ZOOM & YouTube
Free

Next Boston QWAFAFEW Meeting: Feb 16, 2021, 7:00PM ET Risk under Uncertainty and Price Movement A QWAFAFEW discussion led by,   Anish Shah, CFA Abstract: Portfolio managers are well acquainted with risk decomposition, a canonical tool for identifying and estimating sources of risks in a portfolio. As risk always exists in the future, a proper understanding of risk requires we consider our level of statistical confidence in the assessment and decomposition. The literature has long recognized the importance of addressing…

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January 2021

Boston QWAFAFEW – Jan 19 2021, 7:00 PM ET

January 19 @ 7:00 pm - 8:00 pm
ZOOM & YouTube
Free

Boston QWAFAFEW - Jan 19 2021, 7:00 PM ET Bayesian Portfolio Allocation A QWAFAFEW discussion led by, Thomas Wiecki Abstract: Markowitz portfolio optimization is optimal in theory, however, when applied in practice it often fails catastrophically. Usually, this is addressed by various simplifications to increase robustness. In this talk I will make the case that the reason this theory fails in practice is because uncertainty in the parameter estimation is not taken into account. By using Bayesian statistics we can fix…

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December 2020

Next Boston QWAFAFEW Meeting: Dec 15, 2020 7:00 PM

December 15, 2020 @ 7:00 pm - 8:00 pm
ZOOM & YouTube
Free

Boston QWAFAFEW - December 15 2020, 7:00 PM ET Constructing Private Equity Benchmarks With the evolution of private assets from an exotic experiment to sought-after driver of yield and return in institutional portfolios, serious challenges emerged to appropriately review and forecast benchmark relative performance. The main difficulty relates to the fact that unlike publicly traded investment the values and returns reported by private asset investment managers are very subjective, making it difficult to perform the usual benchmark construction process where…

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November 2020

Next Boston QWAFAFEW Meeting: 17 Nov 2020

November 17, 2020 @ 7:00 pm - 8:00 pm
ZOOM & YouTube
Free

Start with why: it’s not just good leadership advice, it’s good data science practice! A discussion led by, Jessica Stauth, PhD Free Meeting Abstract In 2009 author and motivational speaker Simon Sinek delivered the now-classic TED talk “Start with why”. Viewed by over 28 million people, “Start with Why” is the third most popular TED video of all time and it teaches us that great leaders and companies inspire us to take action by focusing on the WHY over the “what” or the…

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October 2020

Next Boston QWAFAFEW Meeting: 20 Oct 2020

October 20, 2020 @ 7:00 pm - 8:00 pm
ZOOM & YouTube
Free

Pandemics, CAPM, and Factor Alpha A discussion led by, Dan diBartolomeo Free Meeting Forthcoming in Journal of Asset Management Abstract The COVID-19 pandemic has taught us a valuable lesson in terms of how factor returns and “alpha” should be interpreted.  In this presentation, we will discuss the more than thirty years of factor return history, while slightly modifying the our standard factor structure to account for the presence of “rare, extreme events” (e.g. the pandemic).  The resultant model is consistent…

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September 2020

Next Boston QWAFAFEW Meeting: 15 Sep 2020

September 15, 2020 @ 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…

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August 2020

Next Boston QWAFAFEW Meeting: 18 Aug 2020

August 18, 2020 @ 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…

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July 2020

Next Boston QWAFAFEW Event, 21 July 2020

July 21, 2020 @ 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…

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March 2020

Boston QWAFAFEW Meeting: 17 Mar 2020

March 17, 2020 @ 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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