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Fundamental Law Redux – R. Michaud & Expanding Outcomes, Understanding Volatility and Leverage ETF – M. Venuto

April 12, 2016 @ 5:15 pm - 7:45 pm

| $60.00

 

Tuesday, April 12, 2016

        QWAFAFEW NYC EVENT

 

 

“Fundamental Law Redux”

Dr. Richard Michaud, President and CEO, New Frontier Advisors, LLC
 

“Expanding Outcomes, Understanding Volatility and Leverage ETFs”
Michael J. Venuto, Managing Director, Tidal Growth Consultants, Co-Founder and CIO, Toroso Investments, LLC

 

Please activate your annual membership. Details below.

 

Venue:  The Brazen Tavern (formerly Quinn’s Bar and Grill), 356 West 44th Street, New York, NY, 10036, between 8th and 9th Avenues – upstairs room: phone 212.445.0131

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  “Fundamental Law Redux”, Dr. Richard Michaud, President and CEO, New Frontier Advisors, LLC

Active managers often claim superior risk-adjusted performance because they invest in many securities, use many factors to forecast return, trade frequently and optimize without constraints.  Many long-short, hedge, and unconstrained strategies are based on these four principles of portfolio design.  Such claims are due to applications of Grinold’s (1989) “Fundamental Law of Active Management,” by Grinold and Kahn (1995, 1999) and Clarke, deSilva, and Thorley (2002, 2006).  In particular, Grinold and Kahn state:  “It takes a modest amount of skill to win (the investment game) as long as that skill is deployed frequently and across a large number of stocks.”

We show that the Grinold formula treats asset management as a casino game that ignores estimation error and the role of constraints essential for properly defining portfolio optimality in practice.* We show with simple examples why the four principles fail followed by a rigorous simulation proof to confirm that all four fund fundamental law characteristics are essentially invalid and self-defeating.  These flawed principles have been taught in academic and professional journals and promoted in conferences for twenty years and likely adversely impact many hundreds of billions of dollars or more in contemporary investment practice.

Reference: * Michaud, R., R. Michaud, D. Esch, 2015.  “The Fundamental Law of Mismanagement.”  New Frontier Research. https://newfrontieradvisors.com/Research/Articles/documents/fundamental%20law%20A1%206-15-15.pdf  and on www.ssrn.com and www.researchgate.com

6:45 – 7:00     Refreshment and Networking Break

7:00 – 7:45  “Expanding Outcomes, Understanding Volatility and Leverage ETFs”, Michael J. Venuto, Managing Director, Tidal Growth Consultants, Co-Founder and CIO, Toroso Investments, LLC

For the past seven years monetary policy has muted the volatility of the US equity markets.  That era has ended and investors should expect a return historical volatility.  ETFs provide many tools to protect and profit from this environment, but first it is important understand how volatility and trend effect ETF behavior.  

The outline for what I would like to discuss is below:

  1. The market has for years been artificially calm due to stimulus

    2.  Expect a return to normal volatility

    3.  Intro to the use of leveraged/inverse and volatility ETFs

    4.  Describe how volatility and trend effect leverage

    5. Sector trades

    6. Option trades

    7. Trading events

    8.  Other forms of leverage

    9. Vol ETFs (futures based)

    10.  Other Vol ETFs

 

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://fd6a7bd8edca90172b20b7f766de6bd7140f1af6.googledrive.com/host/0B2YQClp6R8aYckNsS0ZrNm9ERFk

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/   Click on New York to learn more about the New York Chapter.

 

To be placed on our e-newsletter mailing list: please e-mail qwafafewnyc@outlook.com with your e-mail and name.

 

Please activate your annual membership.

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.

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, ie this one, for free)

Transitional membership available for $80 (1st meeting free)

 

 

Biographies:

 

 

       Dr. Richard Michaud, President and CEO, New Frontier Advisors, LLC
   

Dr. Richard Michaud is President and CEO of New Frontier Advisors, LLC.  He 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.

 

 

 

 

 

Michael J. Venuto, Managing Director, Tidal Growth Consultants, Co-Founder and CIO, Toroso Investments, LLC
Michael J. Venuto is a Managing Director of Tidal Growth Consultants as well as Co-Founder and Chief Investment Officer of Toroso Investments, LLC.   His most recent position was Head of Investments at Global X Funds where Michael provided portfolio optimization services to institutional clients. Previously he was Senior Vice President at Horizon Kinetics where his responsibilities included new business development, investment strategy, client and strategic initiatives.  Michael was instrumental in the establishment of multiple strategic investments and partnerships related to ETFs, Exchanges and Indexation.   In 2014, Michael was chosen as one the ETF.COM All Stars for his research and is often quoted as an ETF expert in publications such as Reuters and Barron’s. Michael Venuto studied Philosophy and Religion at NC State University and is an avid Chess player.

     

 

QWAFAFEW NYC 2016 schedule

Tuesday, January 26th – Dan diBartolomeo, President, Northfield Information Services and Anish Shah, Investment Grade Modeling, LLC

Tuesday, February 23rd – Mark Carhart, Kepos Capital and Tony Webb, FINCAD

Wednesday, March 23rd (please note date change)- Tim Gaumer, CFA, Global Director of Fundamental Research at Thomson Reuters & Andrew B. Weisman, Chief Investment Officer, Janus Liquid Alternatives

Tuesday, April 12th (please note date change) – Dr. Richard Michaud, President and CEO, New Frontier Advisors, LLC.  And Michael Venuto, Co-Founder and Chief Investment Officer of Toroso Investments, LLC

Tuesday, May 24th –  Ding Liu, Senior Quant Researcher, AB Bernstein, will present on “Pure Quintile Portfolios”  and Yin Luo, CFA, Managing Director, Global Head of Quantitative Strategy, Deutsche Bank “Quantitative Investing of Bank and Insurance Stocks”
Tuesday, June 28th – Indrani Di, Senior Director, Risk Management, TIAA-CREF will present “Decomposition of Total Volatility in U.S. Equities: How Important is Idiosyncratic Risk” and Sol Steinberg, Founding Principal, OTC Partners

Tuesday, July 26th – Mary Ann Bartels, BofAML & Sam Stovall, US Equity Strategist, S&P Capital IQ Market Intelligence, “Rules-Based Sector-Rotation Strategies”

Tuesday, August 23rd – Diane Garnick, Chief Income Strategist, TIAA & TBA

Wednesday, September 7th – Jason MacQueen, Director of Research, Northfield Information Services Inc. “Rules-based Style Rotation : Dynamic Switching with Smart Portfolios” & TBA

Tuesday, September 27th – 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 is now soliciting presentation volunteers to schedule in 2016.  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 Metro, 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, April 19, 2016, Boston QWAFAFEW Meeting. “Estimize and Forcerank: Generating Alpha from Crowdsourced Estimates and Rankings”, a QWAFAFEW discussion led by:  Leigh Drogen, founder and CEO of Estimize and Forcerank.
RSVP to hugh@QWAFAFEW.org

 

 

Other Upcoming Events of Interest

 

Thursday, April 21, 2016, Exchangetradedfunds.com presents the 12th Global ETF Awards Dinner and Workshop. The purpose of the awards ceremony is to recognize those who have contributed to the development and expansion of the ETF industry world-wide. Votes are collected from Europe, the Americas, Asia Pacific, Middle East and Africa.

http://www.exchangetradedfunds.com/

 

Thursday, April 21, 2016, SQA April 21st Seminar. “An Active Debate on Active Share” with Lukasz Pomorski, AQR
There has been much written about the concept of active share, both positive and negative.  Its acceptance and growing popularity in the consultant and institutional community has made it a measure that all investment managers must address.  This program will attempt to open a debate on the usefulness and nuances of active share.

www.sqa-us.org

 

Thursday, April 21, 2016, Capital Link hosts the 15th Annual Capital Link Closed-End Funds and Global ETFs Forum. Details at:

http://forums.capitallink.com/cef/2016/index.html

 

Thursday, April 21, 2016, FIASI hosts 21st annual FIASI Hall of Fame Dinner & Induction Ceremony Award winners. Edward C. “Ned” Johnson 3rd, Chairman of Fidelity Investments and Howard Marks, founder and Co-Chairman of Oaktree Capital Management.
https://www.fiasi.org/

 
Tuesday and Wednesday, May 3 & 4, 2016, CFP (Center for Financial Professionals) presents 5th Annual Risk Americas. Details

http://www.cefpro.com/forthcoming-events/risk-americas/

 

Tuesday, May 3, 2016, Cyber Investing Summit at the New York Stock Exchange
The Cyber Investing Summit is an all-day conference focusing on the investment opportunities, trends and strategies available in the $100+ billion cyber security sector.

Network with investment professionals, asset managers, industry experts, financial analysts, media and more. A cocktail reception will be held on the floor of the iconic New York Stock Exchange.
Cost: General Admission: $250
Early Bird Rate Until 4/3/16: $195

http://www.cyberinvestingsummit.com/

 

 

Thursday, May 19, 2016, SQA Annual Meeting and Seminar. “Uncloaking CAPE: A New Look at an Old Valuation Ratio” with presenters:

Thomas Philips, Global Head of Front Office Risk, BNP Paribas Investment Partners, Institutional Division

Cenk Ural, Director, Barclays Risk Analytics and Index Solutions

www.sqa-us.org

 

 

Friday, May 20, 2016, Jacobs Levy Equity Management Center for Quantitative Financial Research Spring Forum and Reception Honoring William F. Sharpe

Jacobs Levy Center Contact Information
jacobs-levy-center@wharton.upenn.edu

Professor Christopher Geczy, Ph.D., Academic Director
215-898-1698
geczy@wharton.upenn.edu

Lauren McDonnell, Managing Director
215-898-7542
laurmc@wharton.upenn.edu

 

 

Wednesday, June 29, 2016,  SQA presents its June 29th Seminar & Annual Meeting, “Solving the “curse of dimensionality” problem for multi-asset class risk models” featuring: Jose Menchero

www.sqa-us.org

 

 
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

Speaker Bio

The Speaker: Richard Michaud PhD and Michael Venuto CIMA

Dr. Richard Michaud, President and CEO, New Frontier Advisors, LLC

Dr. Richard Michaud is President and CEO of New Frontier Advisors, LLC. He 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.

Michael J. Venuto, Managing Director, Tidal Growth Consultants, Co-Founder and CIO, Toroso Investments, LLC

Michael J. Venuto is a Managing Director of Tidal Growth Consultants as well as Co-Founder and Chief Investment Officer of Toroso Investments, LLC. His most recent position was Head of Investments at Global X Funds where Michael provided portfolio optimization services to institutional clients. Previously he was Senior Vice President at Horizon Kinetics where his responsibilities included new business development, investment strategy, client and strategic initiatives. Michael was instrumental in the establishment of multiple strategic investments and partnerships related to ETFs, Exchanges and Indexation. In 2014, Michael was chosen as one the ETF.COM All Stars for his research and is often quoted as an ETF expert in publications such as Reuters and Barron's. Michael Venuto studied Philosophy and Religion at NC State University and is an avid Chess player.

How to Pay

Admission Fees: Use Paypal Link by clicking here or type the URL: https://fd6a7bd8edca90172b20b7f766de6bd7140f1af6.googledrive.com/host/0B2YQClp6R8aYckNsS0ZrNm9ERFk

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/ Click on New York to learn more about the New York Chapter.

To be placed on our e-newsletter mailing list: please e-mail qwafafewnyc@outlook.com with your e-mail and name.

Please activate your annual membership.

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.

To Use your Credit Card

Details

Date:
April 12, 2016
Time:
5:15 pm - 7:45 pm
Cost:
$60.00
Website:
http://qwafafew.org

Organizer

QWAFAFEW Princeton, Susan Hume, hume@tcnj.com
Email:
nyc@qwafafew.org
Website:
http://qwafafew.org

Venue

Brazen Tavern
356 W> 44th Street, b. 8th & 9th
New York, NY 10036 United States
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