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NYC: Rebooting Modern Finance – Michaud & Decision Technologies – Smith

February 21 @ 5:45 pm - 8:15 pm

| $35 - $60

Tuesday, February 21, 2017

QWAFAFEW NYC EVENT

Permalink: http://newyork.qwafafew.org/event/2017Feb21

 

“Rebooting Modern Finance: Breakthrough Study with Changes that Should Ripple Through the Entire Industry” – Richard Michaud, PhD, President and CEO, New Frontier Advisors, LLC 

“Decision – Assistance Technology – the New Dimension in Fiduciary Responsibility”

Eric S. Smith, Chairman & CEO, Consulting Services Support Corporation, Decision Technologies Corporation

Venue:  Bourbon Street Bar and Grill, 346 W 46th Street, between 8th and 9th Avenues, New York, NY 10036

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- 6:10 Registration, Networking, and Refreshments
6:10 – 6:15 Chapter Business – Mike Carty, Chapter President
6:15 – 6:55  “Rebooting Modern Finance”, Richard Michaud, PhD, President and CEO, New Frontier Advisors, LLC

 

Markowitz (1952) mean-variance (MV) efficiency was designed to reflect institutional investment behavior.  In a historic wrong turn, CAPM, the dominant financial theory of the 20th century, ignored the bounded borrowing assumption of Markowitz for analytical convenience and spawned a generation of research based on levered and unconstrained investing that was mathematically tractable, but practically irrelevant.  Jobson and Korkie (1981) showed that unbounded MV optimization is often inferior to equal weighting.  Markowitz (2005) showed that unbounded borrowing made CAPM real world invalid.  In practice, Michaud (1989) noted that Markowitz optimization is unstable and ambiguous, requiring severely constrained solutions for use.  Michaud et al (2013, 2017) showed that various CAPM based MV optimization proposals were invalid and self-defeating.  Michaud (1998) MV efficiency addresses estimation error with Monte Carlo resampling to produce stable, enhanced Markowitz optimized portfolios.  A necessary reboot of contemporary finance theory and practice includes informed investor behavior empiricism, estimation error sensitive technology, and increased use of simulation methods.

 For further information and to discuss this research, contact: Richard Michaud, PhD, President and CEO, New Frontier Advisors, LLC, 155 Federal Street | Boston, MA 02110, +1 617 482 1433 x200 rmichaud@newfrontieradvisors.com ; www.newfrontieradvisors.com

6:55 – 7:10     Refreshment and Networking Break

7:10 – 7:55  “Decision – Assistance Technology – the New Dimension in Fiduciary Responsibility”, Eric S. Smith, Chairman & CEO, Consulting Services Support Corporation, Decision Technologies Corporation

Explaining how new frontiers in decision-assistance technology can be utilized to provide sophisticated “best practices” investment allocation solutions.

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.

Admission Fees: Use Paypal Link by clicking here or type the URL: https://qwafafew.wordpress.com/meeting-admission-nyc/

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.

Memberships12-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:

 Image result for Richard Michaud PhD Richard Michaud, PhD, President and CEO, New Frontier Advisors, LLC

Dr. Richard Michaud earned a PhD in Mathematics from Boston University and has taught investment management at Columbia University. He is the author of Efficient Asset Management (1998, 2nd ed. 2008 with Robert Michaud), a CFA Research Monograph (1999) on Global Asset Management, and numerous academic and research articles available on www.ssrn.com and www.researchgate.com. He is co-holder of four U.S. patents in portfolio optimization and asset management, a Graham and Dodd Scroll winner for his work on optimization, a former editorial board member of the Financial Analysts Journal, associate editor of the Journal of Investment Management, and former director of the “Q” Group.

 

 Eric Smith

Eric S. Smith is the founder, Chairman, and CEO of Consulting Services Support Corporation (“CSSC”), a national consulting firm, since 1998 in Troy, Michigan. He is a holder of two U.S. Patents (foreign patents pending) on a decision-assistance technology to score and ranks stocks, mutual funds, money managers, life insurance, and other financial products.  Mr. Smith is a speaker at various regional and national conferences for institutional trustees in a wide variety of settings: public pension plans, Taft-Hartley (union) plans, nonprofit/endowments, and family offices. His topics have ranged from fundamental flaws in the traditional investment advisory process, to issues of fiduciary responsibility in the investment of retirement plan assets. Mr. Smith graduated cum laude in General Studies from Harvard University, with an A.B. degree and concentration in Economics. He received his J.D. degree from the University of Kentucky College of Law.

 

QWAFAFEW NYC 2017 schedule

 

Tuesday, March 28th – Ronald J Ryan, CFA, CEO, ALM Inc & Matt Moran, VP, Business Development, CBOE

Tuesday, April 25th – TBA

Tuesday, May 23rd – TBA

Tuesday, June 27th- TBA

Tuesday, July 25th – Mary Ann Bartels, Managing Director, CIO of Portfolio Solutions, US Wealth Management, Bank of America Merrill Lynch & Sam Stovall, US Equity Strategist, S&P Global Market Intelligence

Tuesday, August 22nd- TBA

Wednesday, September 6th – TBA

Tuesday, September 26th –  Indrani De, Senior Director – Risk Management, TIAA &
Mikhail Samonov, Senior Portfolio Manager at Forefront Analytics and GKFO

Tuesday, October 24th – TBA

Tuesday, November 28th – TBA

Dr. Michaud is also a proud member of our Steering Committee

Image result for Richard Michaud PhD

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.

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). Website  www.qwafafew.org has access to past presentations.  Our programs in Boston, Chicago, Denver, New York City, Metro Los Angeles, Pittsburgh, Philadelphia, Princeton, San Francisco, and Washington, DC are listed along with other useful information.

Other Upcoming Events of Interest

Thursday, February 2, 2017 at The Yale Club in NY. IAQF/Northfield Gala Dinner honoring Hayne Leyland as 2016 Financial Engineer of the Year. For more info, IAQF office 646-736-0705 or info@iaqf.org

Tuesday, February 7, 2017 NY, NY – HFA Meeting on Global Distribution Strategies

http://www.hedgefundassoc.org/events/current-events

Wednesday, February 8, 2017, ETF Trends Virtual Summit

Bringing together thousands of financial advisors in a renowned, cutting edge virtual setting, the ETF Trends Virtual Summit will address pressing ETF issues, opinions, and investing strategies. This innovative online forum is the ideal platform for professionals throughout the investment world to discuss their distinctive offerings, exchange ideas, and connect with peers without the burdens of cost and traveling.

http://etftrendsvirtual.com/

 

Thursday, February 16, 2017, SQA February 16th Seminar w/ Marty Leibowitz

http://www.sqa-us.org/

Thursday, February 23, 2017 5:00 pm – 8: pm Investor Insight – Fund of Funds – CT Hedge Fund Association
Details:

https://cthedge.site-ym.com/events/EventDetails.aspx?id=903853

Thursday, March 9, 2017, SQA Fuzzy Day Conference http://www.sqa-us.org/

Tuesday, April 4, 2017, 3rd Annual Liquid Alternative Strategies Summit, Convene Conference Center (Times Square), New York City

Friday, April 7, 2017, 2017 ETP Spring Forum – New York City

http://etpforum.org/

Thursday, April 27, 2017, Capital Link’s 16th Annual Closed-End Funds and Global ETFs Forum at the Metropolitan Club, NYC

http://www.capitallink.com/

Thursday, June 22, 2017, Capital Link will host its 4th Annual Dissect ETFs Forum at the Metropolitan Club, NYC

http://www.capitallink.com/

 

Jobs

Any 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 01.08.2017

Job Title: Systematic/quantitative PM(s) or team(s) in equities

Client Type: Mid-size established multi-strat Hedge Fund

Location: Tri-state area

Metro: newyork

Hire Target: Quantitative PMs or teams in the systematic/quantitative space

Equities preferred.

Compensation: Formulaic based on GMV, Sharpe and ROC

Job Ref: NI-073

 

Our client is a well-respected hedge fund based in the NY tri-state area with 10 years of existence. With $500 m capital before leverage and 15 PMs, it is a diversified multi strategy (discretionary and quantitative) hedge fund. The firm is lead by industry veterans of global reputation, who have an eye for detecting talent. The firm has solid risk control procedures. It grows slowly, aiming for quality of returns, rather than quick large AUM.

 

On the quantitative side, the firm trades mostly global equities, with frequencies ranging from minutes to weeks in frequency.

 

Our client is looking to add one or two systematic portfolio managers. Although futures or FX could be considered, the firm’s infrastructure and organization is geared towards equities and this asset class remains the preference.

 

The firm accepts PMs on a platform-like organization (independent groups, PLs and IP), but encourages cooperation between PMs & teams.

 

The successful PM(s) or team(s) will have

– A confirmed quantitative / systematic strategy within the asset class & frequency preference of the firm

– A high Sharpe (2+) and at least 18 months of effective trading.

– Experience in trading / portfolio management, acquired at reputable investment firms.

– An academic background in line with the quantitative nature of the strategy. Advanced degrees, technical fields (math, physics, computer science, Operations Research…), Ivy League, good grades, all appreciated.

– Appropriate quantitative modelling (MatLab, R… ), programming (C++/C#, Python…) and connectivity competences.

 

– The firm uses a formulaic approach to compensate its PMs, based on Sharpe and ROC.

– The GMV allocation will be based on absolute performance and correlation to existing strategies, but should be expected between $50 and $150m.

– The PM/team can be physically located at one of the firm’s two offices (CT and mid-town NY), or operate remotely.

– The firm takes care of its people, gives them tools to succeed. The management fosters growth and collaborative support. Employees can move internally between teams.

– Full benefits

 

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 01.08.2017

 

Job Title: Futures Quant Trader – 3+ years

Client Type: Top HFT HF

Location: Tri-state area

Metro: newyork

Hire Target: 3+ years in HFT quant trading

Compensation: Formulaic and very competitive

Job Ref: NI-116

 

Our client is counted among the few leading hedge funds in quantitative/systematic investments. With its head office in NY, but has offices in most international hubs, including London, Singapore, India. The firm already has 600 employees and keeps on growing. It doesn’t have and doesn’t need any investors. Teams include developers, traders and quants, who understand each others point of view. All three roles are needed to reach the team’s objective, and all member types will be treated equally on bonus day.

 

The firm has dozens of independent teams, who share a wealth of resources – top technology, an experienced management and very efficient support functions.

 

The firm only trades systematic/quantitative strategies, with a solid core in shorter frequencies, but capacity to diversify into the days area. Most asset classes and approaches are possible, but liquid assets tend to work best.

 

Although the firm is open to most PMs/teams (bringing strategies) and team members (who will contribute in implementing such strategies), the firm also has some specific targets, of which this one, a futures quant Trader with 3+ years of experience as an HFT futures quant trader (index futures, FX futures, FI Futures, commodities futures).

 

The successful candidate(s) will match the following traits:

CME, ICE are the most relevant exchanges, required.

Aggressive (liquidity-taking) prop strategy experience with holding times ≤10 minutes, required.

C++, R, Python on Linux, required

New York location, required.

Motivated individuals, creative and conscientious, able to manage their time and objectives by themselves to make the team succeed.

Successful applicants are master of their domain of expertise, knowing where the difficulties are and how to solve them.

Engineering culture – statements are either ‘true’, ‘false’ or ‘unknown’, but they are not ‘maybe’ or ‘sometimes’ or ‘let’s see next week’.

Quantitative background, required. Advanced degrees, Ivy leagues, grandes ecoles, good grades all well appreciated. The firm is grown to its current success by hiring quality not quantity.

 

Compensations:

This role is collaborative within a team, wherein the person will contribute via (i) optimization of existing strategies and (ii) ideas for new strategies.

Teams are compensated with a formulaic approach, based on returns, Sharpe (2-4-6-8+), ROC (0%-20%-30%-40%…) and capital used.

Teams then share fairly inside based on recent but also past contribution to the success.

Median bonus is typically around $1 m.

Generally speaking, the firm pays well. The firm has no turnover.

Leave, IP…

New PMs/teams will have no non-compete.

New team members will have up to 12 month non-compete, but terms can be negotiated.

Other

People work because they enjoy what they do and because they are good at it, not because they have to reach targets defined by the management or investors.

Gorgeous office in the heart of Soho, fully stocked kitchen, etc…

Would you like to apply to this job?

 

Apply for the Futures Quant Trader – 3+ years position

 

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.

 

 

 

Details

Date:
February 21
Time:
5:45 pm - 8:15 pm
Cost:
$35 - $60

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