Closed End Funds – An Investment Strategy for People Near Retirement A QWAFAFEW discussion led by: Dan Fox Abstract: A portfolio of high yield closed end funds can generate a low risk dividend stream that can meet consumption needs for investors close to retirement.  With a diversified portfolio investors can…

Intro to Quantum Computing for Investments  A QWAFAFEW discussion led by: Vern Brownell Abstract: D-Wave is primarily focused on three broad categories of use case: optimization, sampling, and machine learning. They will describe proof of concept demonstrations of how banks have used their quantum computer to perform portfolio optimization, trading…

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…

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…

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…

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…

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…

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…

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…

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…