December QWAFAFEW Meetings

December 13th QWAFAFEW Denver’s Annual Holiday/Networking Party – Speaker Dave Pope, Managing Director of Quantamental Research at S&P Global Market Intelligence on NLP, Natural Language Processing

**QWAFAFEW Denver’s Annual Holiday/Networking Party is December 13th
at 5:30pm! Please register in advance
https://www.brownpapertickets.com/event/3127224

Event Details and Location:

We will meet at the Cactus Club in Denver, located at 1621 Blake St,
starting at 5:30pm. We will be serving a Full Holiday Meal, inclusive
of all the trimmings (vegetarian options also available).

*Hanging on Every Word: Natural Language Processing Unlocks New
Frontier in Corporate Earnings Sentiment Analysis*

Given the growing interest in Natural Language Processing (NLP) among
investors, S&P Global Market Intelligence’s Quantamental Research
group has published a primer to demystify many aspects of NLP and
provide three illustrations, with accompanying Python code, of how NLP
can be used to quantify the sentiment of earnings calls. In the first
example, sector-level sentiment trends are generated providing
insights around inflection points and accelerations. The other two
illustrations are: i) stock-level sentiment changes and forward
returns, and ii) language complexity of earnings calls.

**The primer is available for download HERE.
<https://marketintelligence.spglobal.com/our-thinking/ideas/natural-language-processing-part-i-primer>

We hope you will join us at The Cactus Club as we ride out 2017 in style. Please RSVP at Brown Paper Tickets using the above link.


Boston QWAFAFEW Next meeting Tuesday December 19, 2017 – 6:15 PM Sharpe, Boston Tennis & Racquet Club at 939 Boylston Street.

Please RSVP hugh@QWAFAFEW.org

QWAFAFEW Mailing List

“The Case for Reverse Market-Cap Indexing” 

A discussion led by Herb Blank, Senior Consultant, Global Finesse

Abstract

Index investing can trace it roots back almost 50 years.  However, the dynamics around implementing index portfolios have changed as capital markets have evolved, opening up new discussions around the possibilities and potential benefits of different index methodologies.  This paper sets out to explore the investment potential of an index consisting of the same stocks as the popular market-cap-weighted S&P 500, but weighted by the reciprocal of each stock’s market capitalization.  We explore the properties such an index would have versus traditional capitalization-weighted and equally weighted schemes.  This is followed by empirical testing and attribution analysis to confirm whether reverse-cap weighting provides a viable alternative to the momentum, concentration, and anti-value biases inherent in capitalization weighted indices.

Download Paper

http://exponentialetfs.com/wp-content/uploads/2017/10/The-Case-for-Reverse-Cap-Weighted-Indexing-Oct-30-2017-Final-Version.pdf

Bio
Herb at S-Net

Herbert (“Herb”) Blank is a Senior Consultant with Global Finesse LLC. He provides ETF, enhanced indexing, ESG-related, and product development services linked to his expertise.  Specialties are assisting clients expand their reach and raise awareness by authoring white papers, then promoting them through educational webinars, seminars, and interviews.

His prior position had been as Director of the Global Benchmark System at S-Network Global Indexes and ESG Solutions.  Herb was responsible for education and presentations on index development with an emphasis on “Smart Beta” and ESG ratings and indexes. Before S-Network, Herb worked as Managing Director of Quantitative Solutions at Rapid Ratings International, where he served as account manager for institutional investors, insurance companies, and banks and assisted risk managers in integrating the firm’s data into corporate systems.

A recognized pioneer in the ETF industry, Herb was Founder and Managing Principal at QED International Associates, where he consulted with asset management firms to develop and market ETFs, global asset allocation strategies, and risk-controlled hedge vehicles. In this capacity, he assisted in product development and introduction of iShares, and GLD. From 1993-1997, Herb was a Director at Deutsche Bank Securities Corporation. He served as Senior Portfolio Manager of CountryBaskets, nine different country index funds and the first ETF family to use the fund structure, as the first ETFs to trade on the NYSE.

From 1990 – 1993 at Value Line Inc. as Senior Quantitative Analyst, Herb worked on developing and maintaining stock ranking systems while developing and serving as portfolio manager of tilted index portfolios. Fidelity Bank in Philadelphia was his home through most of the 1980’s where he developed and managed quantitative portfolios as part of a team that worked with Stephen Ross, PhD. to introduce Arbitrage Pricing Theory into institutional portfolio management. A frequently published author, Herb’s MBA is from NYU Stern; he also holds M.A. and B.A Mathematics degrees from the University of Pennsylvania. Herb also serves as Steering Committee Chairperson of the New York Chapter of QWAFAFEW which he helped re-launch in 1997 and has since helped launch and promote other chapters around the world.

All annual dues ($150) should be paid to Boston QWAFAFEW by credit card, Bitcoin or check.

By credit card (PayPal)   http://qwafafew.org/BostonPayDues.html

By Bitcoin

Send us Bitcoin, our address is:

153GtwqHHxdHaTh8i1SC1UmZUuFpXN6wye

Please send a separate email identifying your anonymous payment.

 

By check:

Executive Management Associates

12 Academy Avenue

Atkinson, NH  03811

bostonqwafafewbilling@gmail.com

Please RSVP for all meetings you plan to attend: hugh@QWAFAFEW.org

Guests who do not RSVP may have to wait to enter the meeting, due to space constraints (capacity=100, BFD).

Guest fees ($30) can be paid through EMA (check or PayPal, bring receipt) or bitcoin (at address above).  The $30 guest fee can be paid by bitcoin, cash or check at the door, no credit cards at the meeting.

As always, if you have names or discussion topics, please forward them to any member of the Steerage Committee

Questions, comments:


Any other chapters need assistance in program or wish to plan something, please let me know. hblank@qwafafew.org
Others are also encouraged to start local chapters. I will help and point out the pros and cons as needed. Beyond basic resources and a generally shared mission, Chapters are completely autonomous.

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