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Last NYC QWAFAFEW of 2016 with Efficient Trading Research & Liquid Alternatives ETF Panel

November 16, 2016 @ 5:30 pm - 8:15 pm

Wednesday, November 16, 2016

        QWAFAFEW NYC EVENT

“The Turnover-Tracking Error Frontier: Efficient Partial Trading”
Dr. David N. Esch, Managing Director of Research, New Frontier Advisors

 

“Liquid Alternatives: Opportunities and Growth – Exploring the landscape” ETF Panel
Moderator: Julie Abbett, J.P. Morgan
Panelist: Seth Kadushin, Virtus
Panelist: David Miller, J.P. Morgan
Panelist: Deepika Sharma, Astor Investment Management

 

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- 6:00 Registration, Networking, and Refreshments
6:00 – 6:05 Chapter Business – Mike Carty, Chapter President

6:05 – 6:45  “The Turnover-Tracking Error Frontier: Efficient Partial Trading” Dr. David N. Esch, Managing Director of Research, New Frontier Advisors

Given a proposed trade to a target optimal portfolio from current non-optimal holdings within an asset universe and estimates and/or forecasts of mean and variance, there exists a frontier ranging from the current holdings to the target portfolio that simultaneously minimizes turnover from holdings and tracking error from the target portfolio. The constraints from the optimization that formed the target naturally apply to this frontier. The pivot portfolios on this frontier break the proposed trade into parts, often consisting of many fewer asset trades than the whole portfolio trade would imply. The first trades on this sequence often greatly reduce the tracking error with far less turnover than the entire trade. Paired with Michaud optimization and rebalance tests, a stopping point can be determined such that the traded portfolio, while not the optimal portfolio, is statistically optimal, and incurs far less turnover. Commercial software to evaluate the best trade on this frontier is available from New Frontier Advisors, and is U. S. patent pending.
6:45 – 7:00     Refreshment and Networking Break

 

7:00 – 7:45  “Liquid Alternatives: Opportunities and Growth – Exploring the landscape” ETF Panel
Moderator: Julie Abbett, J.P. Morgan
Panelist: Seth Kadushin, Virtus
Panelist: David Miller, J.P. Morgan
Panelist: Deepika Sharma, Astor Investment Management

 

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.
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:

 

     Dr. David N. Esch, Managing Director of Research, New Frontier Advisors
Dr. David N. Esch is currently Managing Director of Research at New Frontier Advisors, having joined the firm in 2008. He completed his Ph.D. in Statistics at Harvard University in 2004. His specialties include mathematical statistics, numerical analysis and computation, Bayesian statistics, and econometrics. He is author of the article “Non Normality Facts and Fallacies,” (Journal Of Investment Management 1st Quarter 2010), selected as one of the best JOIM papers of 2010, and co-author of many other peer-reviewed journal articles. His educational background also includes a Bachelor of Arts degree from Harvard College and a Masters degree in Mathematics and Statistics from Boston University.

 

 

 

 

Julie Abbett, Executive Director, JP Morgan Chase & Co.
Julie focuses on building out JPM’s ETF execution sales model through strategic partnership with the key clients within the ETF landscape. Prior, Julie was at Deutsche Bank where she headed up the ETF execution Sales effort covering the RIAs, ETF Portfolio Managers and traditional asset manager clients.
Prior to Deutsche Bank, Julie was Senior Vice President and Head of Portfolio Management at IndexIQ running a suite of liquid alternative exchange traded funds.
Before IndexIQ, Julie was a Quantitative Equity Portfolio Manager at Deutsche Asset Management (DeAM)/DB Advisors for over 9 years.

Speaker Bio

The Speaker: Julie Abbett, Executive Director, JP Morgan Chase & Co.

Julie Abbett, Executive Director, JP Morgan Chase & Co.

Julie focuses on building out JPM’s ETF execution sales model through strategic partnership with the key clients within the ETF landscape. Prior, Julie was at Deutsche Bank where she headed up the ETF execution Sales effort covering the RIAs, ETF Portfolio Managers and traditional asset manager clients.
Prior to Deutsche Bank, Julie was Senior Vice President and Head of Portfolio Management at IndexIQ running a suite of liquid alternative exchange traded funds. Before IndexIQ, Julie was a Quantitative Equity Portfolio Manager at Deutsche Asset Management (DeAM)/DB Advisors for over 9 years.

Details

Date:
November 16, 2016
Time:
5:30 pm - 8:15 pm
Website:
http://newyork.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