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Pure Quintile Portfolios and Systematic M&A Arbitrage

May 24, 2016 @ 5:15 pm - 8:15 pm

| $30 – $60

Tuesday, May 24, 2016  QWAFAFEW NYC EVENT – CHANGED VENUE!

Bourbon St. Grill, on W. 46th, NOT old spot on W. 44th

“Pure Quintile Portfolios”

Ding Liu, Senior Quantitative Analyst at Alliance Bernstein
“Systematic M&A Arbitrage”

Yin Luo, Managing Director and Global Head of Quantitative Strategy at Deutsche Bank

Venue:  Bourbon Street Bar and Grill, 346 W 46th Street, between 8th and 9th Avenues, New York, NY 10036, (212) 245-2030 

note this is two blocks north or our previous venue.

http://www.bourbonny.com/contact/, accessible Port Authority (A, C, E lines) and Times Square – 42nd Street (1, 2, 3, N, Q, R and S lines) subway stations. One stop from either Grand Central or Penn Station.

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  “Pure Quintile Portfolios”, Ding Liu, Senior Quantitative Analyst at AllianceBernstein

In this talk we present a new portfolio construction framework called Pure Quintile Portfolios. These portfolios overcome the main drawback of naïve quintile portfolios based on single sorts, namely, not having pure exposures to the target factor. Each pure quintile portfolio has the same exposure to the target factor as its naïve counterpart, but also has zero exposures to all other factors. Therefore pure quintile portfolios more accurately reflect the cross sectional distribution of true factor returns. In addition, when we long Q1 and short Q5 to capture factor premia as is most commonly done in research and practice, we find that pure Q1-Q5 portfolio has lower risk and higher Sharpe ratio than naïve Q1-Q5 portfolio for a group of widely used factors. This provides evidence that our new framework creates more efficient and stable factor premia than naïve quintile portfolios.

6:45 – 7:00     Refreshment and Networking Break
7:00 – 7:45  “Systematic M&A Arbitrage”, Yin Luo, Managing Director and Global Head of Quantitative Strategy at Deutsche Bank

The profitability of risk arbitrage critically depends on three key factors: the probability of deal success, duration of the transaction, and deal premium. Traditionally, risk arbitrage specialists use their experience and network to gauge the risk and return of each trade, while hedge fund replication indices largely ignore all three key aspects. We study a wide range of sophisticated machine learning techniques to predict deal success probability, duration, and premium, using both deal-specific data and traditional quantitative signals. Our systematic risk arbitrage strategy delivers a superior Sharpe ratio with limited downside risk.
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/   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:

 

 

       Ding Liu, Senior Quantitative Analyst at AllianceBernstein

Ding Liu is a Senior Quantitative Analyst on the Private Client Investment Strategy team at AllianceBernstein. Currently he conducts asset allocation and quantitative investment research focused on the Private Wealth Management business. He joined the firm in 2007. Prior to joining AllianceBernstein, he was a quantitative strategist at the Fixed-Income, Currency and Commodities division of Goldman Sachs. He holds a BS in computer science and engineering from Tsinghua University and an MA and PhD in theoretical computer science from Princeton University. Ding Liu is a CFA charterholder.
 

 

 

        Yin Luo, Managing Director and Global Head of Quantitative Strategy at Deutsche Bank
Yin Luo is a Managing Director and Global Head of Quantitative Strategy at Deutsche Bank. Yin joined Deutsche Bank in New York in October 2009. Prior to Deutsche Bank, Yin spent over 12 years in investment banking and at a management consulting firm with various roles in quantitative research, fundamental research, portfolio management, investment banking and consulting. Yin has been ranked #1 in the Institutional Investor’s II-All America equity research survey in quantitative research for the past five years (2011-2015), and top ranked in the Accounting & Tax Policy and Portfolio Strategy sectors. Yin and the global quant strategy team were also ranked #1 in II-Europe and II-Asia surveys. Yin has a Bachelor of Economics degree from Renmin University of China, a MBA in Finance from University of Windsor, a Master of Management and Professional Accounting from University of Toronto. He is a CFA charterholder, a US CPA, a CGMA (Chartered Global Management Accountant), and a PStat (Professional Statistician). Yin is also an Adjunct Professor of Finance at Renmin University of China. (Source: DB Research Website)

     

QWAFAFEW NYC 2016 schedule
Tuesday, June 28th – Indrani De, 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.

Speaker Bio

The Speaker: Ding Liu, AB and Yin Luo, DB

Ding Liu is a Senior Quantitative Analyst on the Private Client Investment Strategy team at AllianceBernstein. Currently he conducts asset allocation and quantitative investment research focused on the Private Wealth Management business. He joined the firm in 2007. Prior to joining AllianceBernstein, he was a quantitative strategist at the Fixed-Income, Currency and Commodities division of Goldman Sachs. He holds a BS in computer science and engineering from Tsinghua University and an MA and PhD in theoretical computer science from Princeton University. Ding Liu is a CFA charterholder

Yin Luo is a Managing Director and Global Head of Quantitative Strategy at Deutsche Bank. Yin joined Deutsche Bank in New York in October 2009. Prior to Deutsche Bank, Yin spent over 12 years in investment banking and at a management consulting firm with various roles in quantitative research, fundamental research, portfolio management, investment banking and consulting. Yin has been ranked #1 in the Institutional Investor’s II-All America equity research survey in quantitative research for the past five years (2011-2015), and top ranked in the Accounting & Tax Policy and Portfolio Strategy sectors. Yin and the global quant strategy team were also ranked #1 in II-Europe and II-Asia surveys. Yin has a Bachelor of Economics degree from Renmin University of China, a MBA in Finance from University of Windsor, a Master of Management and Professional Accounting from University of Toronto. He is a CFA charterholder, a US CPA, a CGMA (Chartered Global Management Accountant), and a PStat (Professional Statistician). Yin is also an Adjunct Professor of Finance at Renmin University of China. (Source: DB Research Website)

How to Pay

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)

Pay using Credit Card or PayPal

Details

Date:
May 24, 2016
Time:
5:15 pm - 8:15 pm
Cost:
$30 – $60
Website:
www.qwafafew.org

Organizers

QWAFAFEW Princeton, Susan Hume, hume@tcnj.com
Mike Carty

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