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October 2019

Boston QWAFAFEW Meeting: 15 Oct 2019

October 15 @ 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 @ 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 @ 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 @ 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 @ 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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May 2019

Next Boston QWAFAFEW 21 May 2019

May 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 21 May 2019 Robust Regression for Quantitative Finance and Fama-French 1992 Redux A QWAFAFEW discussion led by: R. Douglas Martin, PhD  Abstract We begin with a brief overview of the theoretical foundations of robust statistics, illustrated by the use of a simple robust mean estimator for detecting and shrinking returns outliers to reduce their influence on risk and performance estimators. We then focus on a robust regression estimator that minimizes the maximum bias due to outliers, and also…

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April 2019

Next Boston QWAFAFEW Meeting: 16 Apr 2019

April 16 @ 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

Gender and Performance Evaluation of Equity Research Analysts A QWAFAFEW discussion led by: Scott D. Stewart, CFA, PhD Abstract: We present 179 senior investment professionals with a scenario that manipulates whether an analyst persists in pitching a stock pick after it has been narrowly voted down in a meeting, and whether the analyst is male or female. Respondents evaluate analysts as less promotable when they do not persist, but only if the analyst is female. Results are consistent with a…

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March 2019

Next Boston QWAFAFEW Meeting: 19 Mar 2019

March 19 @ 6:00 pm - 8:00 pm
$30

Live From New York, Herb Blank  A QWAFAFEW discussion on: Outsmarting Smart Beta - Exploiting Factor Cyclicality Abstract: Smart Beta and factor investing have become very popular and for good reason. Unlike most active managers, factors have demonstrated their ability by providing historical returns competitive with and often superior to S&P 500 Index Funds. The so-called "Smart Beta" phenomenon has inspired a wave of investment products and considerable debate. Topics of debate include: does Smart Beta only apply to re-weighting…

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February 2019

Next Boston QWAFAFEW Meeting: 19 Feb 2019

February 19 @ 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

On the Bayesian Interpretation of the Black-Litterman Model A QWAFAFEW discussion led by: Petter Kolm Abstract We present the most general model of the type considered by Black and Litterman (1991) after fully clarifying the duality between Black–Litterman optimization and Bayesian regression. Our generalization is itself a special case of what is known as a Bayesian network or graphical model in machine learning. We cover several practical examples: (1) The treatment of views on factor risk premia in the context…

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January 2019

Next Boston QWAFAFEW Meeting: 15 Jan 2019

January 15 @ 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

A FINTECH New Year's Resolution! TAKING STOCK OF FINTECH STARTUPS AND TOP TRENDS TO WATCH IN 2019 Will 2019 Be More of 2018, Or a Different Ball Game? A QWAFAFEW discussion led by: Dushyant “D” Shahrawat Abstract: This session will quickly take stock of what FinTech startups have achieved until now, where they have succeeded, where they have failed. What has the last five years of startup frenzy really achieved? Then we will launch into what to expect in 2019.…

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