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2016 Sep07 NYC Kritzman Factor Replication MacQueen Style Rotation

September 7, 2016 @ 5:35 pm - 8:00 pm

| $35 – $60

 

Wednesday, September 7, 2016

        QWAFAFEW NYC EVENT

“Rules-based Style Rotation : Dynamic Switching with Smart Portfolios”,

Jason MacQueen, Director of Research, Northfield Information Services

“Advances in Factor Replication”,

Mark Kritzman, CFA, CEO, Windham Capital Management

Venue:  Bourbon Street Bar and Grill, 346 W 46th Street, between 8th and 9th Avenues, New York, NY 10036 – note this is two blocks north or our previous venue.

http://www.bourbonny.com/contact    accessible 42nd Street, Port Authority (A, C, E lines)

 

RSVP to nyc@qwafafew.org In text body, please provide the name, phone number, email, and membership/affiliation status for each attendee.

Agenda

5:30- 6:00 Registration, Networking, and Refreshments
6:00 – 6:05 Chapter Business – Mike Carty, New Millennium Advisors

6:05 – 6:45  “Rules-based Style Rotation : Dynamic Switching with Smart Portfolios”, Jason MacQueen, Director of Research, Northfield Information Services

Smart Beta has become the latest fashion to conquer the investment community. From a quant perspective, these are simply factor portfolios which offer significant exposure to the desired Style factor (subject, of course, to the usual long-only restriction).

However, the weighting schemes of most Smart Beta ETFs make no attempt to trade off expected return against risk, or to minimise their exposure to unwanted factors, with the result that whatever style tilts they do have are likely to have only a modest effect on their performance. It should be, and is, easy to create far more efficient Smart Beta ETFs by using standard portfolio construction principles. These are called Smart Portfolios.

The underlying rationale for such products is that Style factors exhibit reasonably persistent risk premia. For example, Value, Quality and Momentum Smart Portfolios all offer the prospect of higher risk-adjusted returns than the market, on average over time, although both will also suffer periodic underperformance.

In this talk we consider a dynamic strategy of switching between a set of Smart Portfolio ETFs, each capturing the returns to an individual Style. We focus on identifying the Smart Portfolio with the most consistent performance over the in-sample period, which we take to be a measure of the persistence of the corresponding Style factor risk premium. While this may not be the one with the highest returns, it is more likely to perform reasonably well in the next, out-of-sample period. We illustrate this dynamic strategy over the past 12 years in the US market.

 

6:45 – 7:00     Refreshment and Networking Break

 

7:00 – 7:45  “Advances in Factor Replication”, Mark Kritzman, CFA, CEO, Windham Capital Management

Factor investing has gained widespread acceptance among institutional investors.  Some investors believe it is preferable to stratify the investment universe into factors to manage portfolio risk more effectively, while other investors focus on factors because they believe they yield risk premiums. Factors such as economic variables are not directly investable.  Investors, therefore, need to identify a combination of securities that tracks the movements in the economic variable.  Other factors, however, are directly investable, such as securities with a certain attribute. 

Often times, though, investors choose to invest in a subset of the factor securities that are inexpensive to trade.  In order to identify the best factor-tracking portfolio, investors must estimate covariances from historical observations whose realizations in the future are prone to several types of estimation error. 

We introduce a non-parametric procedure to account for estimation error, which enables us to incorporate the relative stability of covariances directly into the factor replication process.  We show that adjusting for the stability of covariances in this way produces replicating portfolios that are significantly more reliable than portfolios that are either blind to estimation error, formed using Bayesian shrinkage, or by implication, formed by resampling.

 

8:15 Adjournment

RSVP to nyc@qwafafew.org In text body, please provide the name, phone number, email, and membership/affiliation status for each attendee. 
or bring Check or Cash to the door on the night of the event after you RSVP.
$35 for paid-up QWAFAFEW members (any chapter);
$40 for CQA members, SQA members, CQFs, CAIAs, CTHFAs, and sustaining (paid) PRMIA members, full-time students, those between positions, FWA members, IAFE, MTA members and members of any CFA Society;
$50 for members of PRMIA (free members), GARP, and/or members of any Quant-affiliated Linked-In group;
$60 for all other RSVPs;
Unless paid through PayPal, $10 late-fee applies to those not RSVP’d by Noon of the day of the event. 
To learn more about QWAFAFEW: visit http://qwafafew.org/  
To be placed on our e-newsletter mailing list: please e-mail qwafafewnyc@outlook.com with your e-mail and name.
Memberships:
12-month membership dues of $120 available at the door (Use Paypal Link: https://qwafafew.wordpress.com/purchase-qwafafew-nyc-chapter-membership/  or bring Check or Cash to the door on the night of the event after you RSVP), and attend this meeting for free.
Student membership available for $60 (first meeting is free) or Transitional membership available for $80 (1st meeting free) Paypal Link:      https://qwafafew.wordpress.com/qwafafew-paypal-buttons-regional-meetings/

Biographies:                                     

 

      Jason MacQueen, Director of Research, Northfield Information Services
In 1980 Jason MacQueen founded QUANTEC, which was the first firm to develop risk models for equity markets outside the USA, and which ultimately built risk models for over 50 equity markets. In the early 1990s QUANTEC developed the first global risk model and a global stock selection model, both incorporating global common factors. After QUANTEC was sold, Jason founded R-Squared Risk Management in 2003 to develop customised hybrid risk models. This firm was acquired by Northfield Information Services in 2015, where he is now Director of Research.

Jason has developed the theoretical framework of Markowitz and his successors into a practical set of tools for institutional fund managers. By his passionate pleas for a disciplined and logically coherent approach to portfolio management, he has acquired an international reputation as speaker, consultant and iconoclast. He was educated at Oxford and London Universities, where he read Mathematics and Theoretical Physics.

He has been an Honorary Lecturer at Lancaster University Management School, and Visiting Professor at Tokyo University’s Center for Advanced Research in Finance. He was the founder and first Chairman of the London Quant Group, a not-for-profit organisation established in 2007 to arrange Seminars on the practical application of quantitative investment technology, and is also a Director of the Society of Quantitative Analysts in New York.

 

 

          Mark Kritzman, CFA, CEO, Windham Capital Management
Mark Kritzman is CEO of Windham Capital Management, LLC and the Chairman of Windham’s investment committee. He is responsible for managing research activities and investment advisory services. He is also a Founding Partner of State Street Associates, and he teaches a graduate finance course at the Massachusetts Institute of Technology. Mark served as a Founding Director of the International Securities Exchange and has served on several boards, including the Institute for Quantitative Research in Finance, The Investment Fund for Foundations, and State Street Associates. 

Mark is also a member of several advisory and editorial boards, including the Center for Asset Management at Boston College, the Advisory Board of the MIT Sloan Finance Group, the Consortium for Systemic Risk Analytics, the Emerging Markets Review, the Financial Analysts Journal, the Journal of Alternative Investments, the Journal of Derivatives, the Journal of Investment Management, where he is Book Review Editor, and The Journal of Portfolio Management.

Mark has written numerous articles for academic and professional journals and is the author of six books including Puzzles of Finance and The Portable Financial Analyst. Mark won Graham and Dodd scrolls in 1993 and 2002, the Research Prize from the Institute for Quantitative Investment Research in 1997, the Bernstein Fabozzi/Jacobs Levy Award in 2003, 2006, 2011, and 2013, the Roger F. Murray Prize from the Q-Group in 2012, and the Peter L. Bernstein Award in 2013 for Best Paper in an Institutional Investor Journal. In 2004, Mark was elected a Batten Fellow at the Darden Graduate School of Business Administration, University of Virginia. Mark has a BS in economics from St. John’s University, an MBA with distinction from New York University, and a CFA designation.
QWAFAFEW NYC 2016 remaining schedule
Wednesday, September 7th – Jason MacQueen, Director of Research, Northfield Information Services Inc. “Rules-based Style Rotation : Dynamic Switching with Smart Portfolios” & Mark Kritzman, CFA, Windham Capital Management

Tuesday, September 27th – ETF Expert Panel moderated by Arlene C. Reyes, COO, Exchangetradedfunds.com & TBA

Wednesday, October 26th – Marvin Appel, Ph.D., President, Signalert Asset Management, “Active Asset Strategies for ETF Investors”& TBA

Wednesday, November 16th – Dr. David N. Esch, Managing Director of Research, New Frontier Advisors & TBA
QWAFAFEW NYC 2017 schedule (tentative)
Tuesday, January 24th
Tuesday, February 28th
Tuesday, March 28th
Tuesday, April 25th
Tuesday, May 23rd
Tuesday, June 27th
Tuesday, July 25th
Tuesday, August 22nd
Wednesday, September 6th
Tuesday, September 26th
Tuesday, October 24th
Tuesday, November 28th

 

QWAFAFEW is always soliciting presentation volunteers.  Send a note to qwafafewnyc@outlook.com if you are interested. New York is the primary focus.  However, if you wish to present in Boston, Chicago, Denver, Los Angeles, Philadelphia, Pittsburgh, Princeton, San Francisco or Washington, DC, please include that in your response and that information will be conveyed accordingly.  As always, presentations must involve research and be educational in manner; while products can be mentioned and touched upon briefly, no product presentations will be accepted.  Disclaimer: Volunteering does not guarantee acceptance.

 


Other QWAFAFEW Chapters

 

Tuesday, September 13, 2016 – QWAFAFEW-Pittsburgh
Madison Sargis from Morningstar on “What Factors Drive the Success of a New Fund”
RSVP to pittsburghqw@gmail.com today
Abstract:
This paper seeks to explain successful fund launches and understand the factors that drive investor preferences for these new funds.
Venue: Sharpe Edge, 922 Penn Avenue Pittsburgh, PA 15222
RSVP: pittsburghqw@gmail.com
Admission Details:
Cost is $20 if pre-paid and $25 at the door. (No CC at the door please)
Appetizers will be provided. Cash bar

 

Tuesday, September 20, 2016, Boston QWAFAFEW Speaker/Subject TBA
Tuesday, September 27, 2016, San Francisco QWAFAFEW Speaker/Subject TBA. “Forced Liquidations, Fire Sales, and the Cost of Illiquidity” – Andy Weisman, Janus Velocity Shares – Send e-mail to ralph.goldsticker@gmail.com to get on mailing list.
Thursday, October 6, 2016, San Francisco QWAFAFEW – ”Back-testing: A Useful Tool or “Financial Charlatanism”?” with Northfield Info’s Dan diBartolomeo at L’Olivier Restaurant 465 Davis Ct. (between Jackson and Washington), San Francisco, CA 94111

 

Other Upcoming Events of Interest

 

Wednesday, September 7, 2016, PRMIA NYC, “The Use of Credit Loss Given Default Function in Stress Testing”, Jon Frye, Federal Reserve Bank of Chicago

http://www.prmia.org/civicrm/event/info?reset=1&id=6915

 

Thursday, September 15, 2016, SQA hosts a Seminar with Jusvin Dhillon, ““Balancing on the Life Cycle: Target-Date Funds Need Better Diversification””

Jusvin is a quantitative researcher in AQR’s Global Asset Allocation group, and conducts research on systematic trend-following in commodities and managed futures. Jusvin joined AQR from the University of Chicago, where he earned a B.S. with a triple major in mathematics, statistics and economics. His work has been published in the Journal of Portfolio Management.

http://www.sqa-us.org/events/EventDetails.aspx?id=854330&group=

 

The ETF Global Portfolio Challenge is a web-based simulated investment challenge designed to serve as a fun and educational tool intended to help educate students about investing in Exchange-Traded-Products.
Friday, September 16, 2016: Enrollment Period Ends
Monday, September 19, 2016: Performance Period Begins

To find out more information, please visit:

http://etfportfoliochallenge.com/

 

Thursday and Friday, September 22nd and 23rd, 2016, Inside Smart Beta at The TimesCenter, New York
An elite gathering of institutions and financial advisors will convene for two days to discuss the latest research on factor-based investment strategies. Hear the latest academic research and practical tips on researching, evaluating and utilizing smart-beta ETFs.
https://finance.knect365.com/smart-beta

 

Thursday, September 29, 2016, Capital Link hosts the 3rd Annual Dissect ETFs Forum

Capital Link’s 3rd Annual Dissect ETFs Forum will feature industry leaders who through a series of panel discussions deep dive into critical topics related to the trends, developments and outlook of ETFs while reviewing major investment strategies using ETFs.
http://forums.capitallink.com/etf/2016/index.html

 

Thursday and Friday, September 29-30, 2016, ETF Trends hosts the third annual ETF Boot Camp at The Conrad, New York, NY

Whether you’re an established ETF issuer, ETF start-up, mutual fund company, broker dealer, pension/endowment team, private equity firm, fund board independent director, 401k plan provider or industry executive…this conference is designed for you. This one-of-a-kind event will present everything you need to know about the ETF business today.

http://etfbootcamp.net/

 

 

Thursday, October 13, 2016, ” Pristine Advisers/CEFNetwork’s 2016 Global CEF, ETF, BDC, MLP, REIT Investment Community Conference. Details are at:

http://www.cefnetwork.com/conf/2016/2016conference.php
Thursday, October 20, 2016, SQA presents a Seminar with Andrew Ang, “Factors to Assets: Mapping Factor Exposures to Asset Allocations”

Andrew Ang, PhD, Managing Director, is Head of Factor Investing Strategies and leads BlackRock’s Factor-Based Strategies Group. Throughout his career, Dr. Ang’s has focused on identifying and harvesting factor risk premiums within and across asset classes.

http://www.sqa-us.org/events/EventDetails.aspx?id=845332&group=
 

Thursday, November 10, 2016, SQA’s Half Day Conference. “Advances in Portfolio Construction”, With Special Guest Bob Litterman

Barclays, 745 7th Avenue (between 49th & 50th St)

Online Registration Opens August 10th!

Early Bird Rates
SQA Members $350
Student/Transitional Members $125
Non-Member $525
Non-Member/Affiliated $425
(CQA, GARP, IAQF, NYSSA, QWAFAFEW, Q-Group, London Q., PRMIA)

http://www.sqa-us.org/
Job PostsAny positions for inclusion in this section may be sent to qwafafewnyc@outlook.com Please include contact information so prospective candidates may apply for a position.
Posted 07.25.2016
Quant PMs & Juniors – Renown HF – International Hubs
Job Title:           Quant PMs & Juniors
Client Type:       Renown HF
Location:           International hubs
Hire Target:        PM(s) or small team(s) in StatArb / HFT / Machine learning / Big data…
Juniors to work in such teams
Compensation:   Formulaic
Job Ref:              NI-056

Our client is a top-tier global HF, currently managing over $10 bn of stable institutional money. The company is a multi-strategy quantitative firm, trading liquid instruments in minute to days frequencies.

To complement its portfolio, our client is looking to add both experienced PMs and junior quant/IT. Compensation is first class: no PM has ever left the firm, voluntarily that is.

The successful portfolio managers will have an established strategy of the following type:

Fully automated strategies, any approach possible
Equity / FX / Futures or other liquid instrument
Sharpe >=2
Holding period hours to days
Location: NY, London most likely, although other offices possible (HK)
PM can keep their TR, if good leavers
Can generate $25/30m per year with standard capital
Have traded $30-$70 m and can be leveraged up.

The successful juniors will demonstrate both technical skills and motivation:

Experience in fully automated strategies (not quant equity for instance), required. This is not an entry-level role.
Quant IT profile, any mature language (Matlab, R, C++, C#….), required.
Proven motivation in an investment career (CFA, degree, studies, trading their own money…), nice to have.
Fields of particular interest: Machine Learning, big data, stats, operations research…
To apply for this position, please reference  the job number above with either Recruiters@NavesinkInternational.com or visit http://navesinkinternational.com/Home/Default.html

Please note that many more positions are available at http://navesinkinternational.com/Home/Default.html

Navesink International is an exclusive executive recruitment company for the financial industry. Founded by recruiters and front-office professionals with decades of experience, Navesink International works with the best clients to attract the best talents, and works with the best talents to attract the best clients. To achieve this double goal, we are raising the standards of professionalism on both sides of the equation.

 

 

Posted 07.25.2016

Systematic PMs, Traders & Strategists – Global Quant HF – Anywhere
Job Title:            Systematic PMs, Traders & Strategists
Client Type:        Global Quant HF
Location:            Anywhere
Hire Target:         Systematic PMs, Traders & Strategists
Individuals or teams
Compensation:     Formulaic
Job Ref:                NI-055

Our client was the StatArb group of a major bank, before spinning-off over a decade ago. It is now an award-winning global quantitative hedge fund, with $5 bn of capital and 150 employees, half of them managing investments.

Headquartered in London, it has offices in major international hubs, a flat structure and a creative & inspiring culture. It has ultra-high performance infrastructure and solid operations.

Our client has a standing interest in hiring experienced PMs, quant traders and quant strategists around the world.

The profile and strategy must be quantitative/systematic in nature, within the usual liquid assets (equity, FX, futures), but frequencies and approaches are flexible.
To be considered,

The strategy will have to be proven: back-test or paper trading possible, but real TR on real money for 12+ months have a much better chance.
The usual benchmark of SR>2 applies for strategies.
The individual(s) must have the technical background in line with the strategy. Advanced degrees, technical fields, ivy leagues or grandes ecoles, coding skills, etc, all will count.
Past accomplishments a good indication of future accomplishments.

Depending on seniority, experience, quality of the individual and the strategy, as well as preference, the candidates can join the collegial culture in one of their main offices, taking advantage of an innovative, fast and collaborative environment.
Alternatively, they can join at arm’s length, with their own office, team and strategies.

The firm’s turnover is very low.

To apply for this position, please reference the job number with either Recruiters@NavesinkInternational.com or visit http://navesinkinternational.com/Home/Default.htmlPlease note that many more positions are available at http://navesinkinternational.com/Home/Default.html

Navesink International is an exclusive executive recruitment company for the financial industry. Founded by recruiters and front-office professionals with decades of experience, Navesink International works with the best clients to attract the best talents, and works with the best talents to attract the best clients. To achieve this double goal, we are raising the standards of professionalism on both sides of the equation.
Please follow QWAFAFEW on linked in: QWAFAFEW Investment Society linked-in Discussion page. The URL is http://www.linkedin.com/e/gis/59644/530E700BF98A. All worldwide chapter events and related events (along with ETF events, SQA events, etc.) are listed on this page along with active discussions and thought-provoking issues are posted on this page.

We are also on Twitter (@QWAFAFEW1) and Facebook (search for QWAFAFEW under groups – less frequently updated). Website  www.qwafafew.org has access to past presentations.  Our programs in Boston, Chicago, Denver, New York City, Metro Los Angelos, Pittsburgh, Philadelphia, Princeton, San Francisco, and Washington, DC are listed along with other useful information.

 

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Details

Date:
September 7, 2016
Time:
5:35 pm - 8:00 pm
Cost:
$35 – $60
Website:
http://qwafafew.org

Organizer

Mike Carty
Phone:
718-846-2125
Email:
cmcarty1@earthlink.net
Website:
www.qwafafew.org

Venue

Bourbon Street Bar and Grill
346 W 46th Street, between 8th and 9th Avenues, New York, NY 10036
New York, 10036 United States
+ Google Map
Phone:
(212) 245-2030
Website:
http://www.bourbonny.com/contact