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WEDNESDAY Sep 6 NYC – French, Goodwin, Haghbin, Moghadam Multi-Factor ETF Panel & Samonov Price Momentum Study

September 6 @ 5:30 pm - 8:00 pm

| $35 - $60

Wednesday, September 6th –

Please note this is a special WEDNESDAY beginning of month Event because NYC does not have an event in December

QWAFAFEW NYC EVENT – http://newyork.qwafafew.org/event/sep06/

“Multi-factor portfolio construction and regime-based style investing”

panel discussion led by:

Sharon French, Head of Beta Solutions, Oppenheimer

panelists:

Tom Goodwin, PhD, Senior Research Director, FTSE Russell Indexes

Mo Haghbin, CFA, CAIA, Head of Product, Oppenheimer Funds’ Beta Solutions

Arezu Moghadam, Ph.D., senior quantitative analyst,Global Multi-Asset Group, Oppenheimer Funds

followed  by

“Two Centuries of Price Momentum, Around the World”

Mikhail Samonov, Senior Portfolio Manager, Forefront Analytics

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)

Agenda for WEDNESDAY September 6

5:30- 6:10 Registration, Networking, and Refreshments

6:10 – 6:15 Chapter Business – Mike Carty, Chapter President

6:15 – 6:55 “Multi-factor portfolio construction and regime-based style investing” panel discussion led by:

Sharon French, Head of Beta Solutions, Oppenheimer Funds

Panelists:

Tom Goodwin, PhD, Senior Research Director, FTSE Russell Indexes

Mo Haghbin, CFA, CAIA, Head of Product, Oppenheimer Funds’ Beta Solutions

Arezu Moghadam, Ph.D., Senior Quantitative Analyst, Oppenheimer Funds’Global Multi-Asset Group 

The panel will cover different approaches to factor-based portfolio construction and discuss their pros and cons.  We will talk about how investors can benefit from taking style exposures in their portfolios in the context of multi-factor portfolio construction. Furthermore we will emphasize that not all styles would perform well in all macro regimes. By correctly identifying the economic regime and targeting the suitable factor exposures for that regime investors are able to more efficiently manage their portfolio risk and produce alpha.

6:55 – 7:10     Refreshment and Networking Break

7:10 – 7:55“Two Centuries of Price Momentum, Around the World” Mikhail Samonov, Senior Portfolio Manager, Forefront Analytics

Price Momentum is a widely utilized factor in many investment portfolios, yet compared to other factors like value and quality, it has a sort of a stigma around it within some academic circles. As evidence of momentum’s prevailing importance, we provide fresh and strong evidence of momentum strategy returns on the previously untested data, back to 1800 in the U.S. Stocks, Country Sectors, Equity, Fixed Income and Currency markets, and Commodity futures. Importantly, the extended history allows us to observe important features behind momentum crashes that are critical to consider in practice.

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.

Attend this meeting for free by signing up for a 12 month membership

Start or renew a 12-month membership: dues of $120 allow one to attend the next 12 meetings at the membership rate (with the first meeting free)

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 at nyc@qwafafew.org

student and transition memberships also available: see below for details 

 

 

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

 

Sharon French, Head of Beta Solutions, Oppenheimer Funds

Sharon French leads the strategy, development, and implementation of the firm’s smart beta products and solutions. In addition, she oversees the Oppenheimer Revenue Weighted Strategy Team.

Sharon joined OppenheimerFunds in 2016 from BNY Mellon, where she was Senior Strategic
Advisor to the CEO and President of Investment Management, focusing on ETF and multi-asset
business growth. Previously, she served as President of F-Squared Capital. Before that, she
was Head of Private Client & Institutions at BlackRock for its iShares business. French spent
nearly a decade at AllianceBernstein and held prior roles at mPower, Smith Barney, and Chase
Manhattan Bank.

Sharon serves on the Board of Women in ETFs. She holds a B.S. in business management
from the University of Delaware, and she obtained her Certified Investment Management
Analyst designation from the University of Pennsylvania’s Wharton School of Business.

 

Goodwin Tom Goodwin, PhD, Senior Research Director, FTSE Russell Indexes is Senior Research Director for FTSE Russell. Based in New York, he has recently focused on “smart beta” indexes and speaks on this and other index topics at conferences and media events including prior QWAFAFEW meetings. He is the author of numerous white papers on investing and benchmarking with FTSE Russell Indexes, including a comprehensive guidebook on the range of smart beta indexes and their uses in client portfolios.

Tom is a financial economist with more than 15 years experience developing research and solutions for asset owners. His areas of focus have included capital markets research, asset allocation, factor allocation, forecasting, performance measurement, and risk budgeting. Holder of both US and UK passports, Tom served as Head of Capital Markets research in London as well as many other roles within Russell Investments, including Director of Portfolio Strategies. Tom has also held the position of Chief Economist for King County in Seattle, Washington.  

 

Haghbin Mo Haghbin, CFA, CAIA, is the Head of Product within OppenheimerFunds’ Beta Solutions business. He is responsible for leading research and development of new investment solutions, including Smart Beta ETFs. Mo joined the firm from BlackRock where he was most recently the Head of Business Management for the US Fundamental Fixed Income Team.

Arezu Arezu Moghadam, Ph.D., is a senior quantitative analyst for the Global Multi-Asset Group. She joined the Firm in 2015. Previously, Dr. Moghadam was a Vice President at Goldman Sachs in the Investment Management Division, researching quantitative techniques to construct and manage multi-asset factor portfolios. Prior to Goldman she was at Columbia University researching pattern recognition and information dissemination in mobile networks.

 

 

Mikhail Samonov, Senior Portfolio Manager, Forefront Analytics

Mikhail Samonov is currently a Senior Portfolio Manager at Forefront Analytics, an institutional asset management and consulting firm in the Philadelphia area. Mikhail is a member of the firm’s management committee and is responsible for managing multi-asset and alternative portfolios as well as ESG and Impact strategies.

In addition, Mikhail manages a team of researchers developing quantitative, factor-based, investment strategies. Mikhail is also a Teaching Associate at the Wharton Business School for the Investments and Impact Investing classes taught by Professor Chris Geczy. Mikhail is actively involved in academic research on factor-based investing as well as impact investing and behavioral finance, including the recently published paper in the Financial Analysts Journal “Two Centuries of Price Return Momentum” co-authored with Chris Geczy.

Prior to Forefront, Mikhail founded the firm Octoquant, working with hedge funds on enhancing investment research process by identifying unique and return-predictive data for stock-selection models. Prior to that, Mikhail was the Executive Director of CBID, a Hong-Kong based boutique research startup by Richard Li. Previously, he was a Vice President and Portfolio Manager in Structured Equities at PineBridge Investments in New York City, where he managed nearly $5 billion across several quantitative equity funds, including $1 billion in a Socially Responsible fund. Mikhail is an honors graduate of Brown University with a B.S. in Applied Mathematics and Economics, and has received his MBA from the Wharton School at the University of Pennsylvania. Mikhail is also a CFA Charterholder.

 

 

 

 

QWAFAFEW NYC 2017 schedule

Tuesday, January 24th – Dan diBartolomeo, President, Northfield Information Services & Prof. Dr. Jérôme Kreuser, CEO/Founder RisKontroller Global LLC, Senior Researcher ETH Zurich Risk Center

Tuesday, February 21st – Dick Michaud, President and CEO, New Frontier Advisors & Eric S. Smith, Chairman & CEO, Consulting Services Support Corporation, Decision Technologies Corporation

Tuesday, March 28th – Matt Moran, VP, Business Development, CBOE & Herb Blank, Director of Global Benchmark System, S-Network Global Indexes and ESG Solutions

Tuesday, April 25th – Ronald J Ryan, CFA, CEO, ALM Inc & Nathan Tidd, CFA, President, Windfactor Investment Research

Tuesday, May 23rd – ETF Panel: “ETFs Bring new Life to Quant Investing”, moderated by Linda Zhang, Ph.D., founder of Purview Investments; Panelists: Joanne Hill, Ph.D, Proshares, Dave Nadig, CEO at ETF.COM,  Sebastian Mercado, CFA, ETF Strategist, Deutsche Bank   & Mike Venuto, Chief Investment Officer, Toroso Investments

Tuesday, June 20th (note the date change) – Chris Meredith, CFA, Director of Research at O’Shaughnessy Asset Management, LLC and Robo Advisor panel  with: Adam Grealish, Quantitative Analyst, Betterment: Dan diBartolomeo, President, Northfield Information Services; David Edwards, President & Wealth Advisor, Heron Wealth; Kevin R. Kelly, Chief Investment Officer, Portfolio Manager, Recon Capital Partners

Tuesday, July 25th – Mary Ann Bartels, Managing Director, Head of Merrill Lynch Wealth Management Portfolio Strategy, Global Wealth & Investment Management (GWIM), Bank of America Corporation & Sam Stovall, US Equity Strategist, S&P Global Market Intelligence

Tuesday, August 22nd- Diane Garnick, Chief Income Strategist, TIAA “Mental Accounting in Retirement: Retire Using Buckets of Money” https://www.tiaa.org/public/offer/insights/tiaa-perspectives/income-insights
& Mark Kritzman, CEO, Windham Capital Management, LLC

Wednesday, September 6th – Sharon French, Executive Vice President, Head of Beta Solutions – Oppenheimer & Mikhail Samonov, Senior Portfolio Manager at Forefront Analytics and GKFO

Tuesday, September 26th – Indrani De, Senior Director – Risk Management, TIAA & Jason MacQueen, Managing Director, R-Squared Risk Management

Tuesday, October 24th – Marvin Appel, Ph.D., M.D., President, Signalert Asset Management LLC, & Dr. David Esch, Managing Director of Research, New Frontier Advisors

Tuesday, November 28th – Kevin Quigg, Chief Strategist ACSI Funds & Rick Davis, President – Consumer Metrics Institute

 

 

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 Chapter Events

Thursday, September 21st, 2017, Edinburgh QWAFAFEW event – “How to set up a Machine Learning project: the Potential and the Pitfalls”, Amos Storkey

We’re excited to invite you to another QWAFAFEW-Edinburgh event where Amos Storkey will be presenting on the very popular topic of machine learning. We are expecting this to be a busy event so please RSVP to Matt Monach at your earliest convenience if you would like to attend (matt.monach@aberdeenstandard.com)

In this talk Amos will mention the potential that machine learning methods have to provide informative tools for investment management, stock selection and other related activities. We will see why nonlinear models can matter, how modern regularisation methods, such as dropout, can help in estimating more robust models, how we can use feature learning to learn appropriate factors for a model and decide which are relevant, and how we can test models against potential shifts in market conditions, how we can use complex models and yet still understand what is actually happening. We will do this with examples that also show how things can fail when this is done blindly or without understanding, and give reasons why some attempts at using machine learning would just be inappropriate. Finally, I will discuss how to design, kick start and collaborate with experts on machine learning projects.

Biography:

Amos Storkey is Reader in Machine Learning at the School of Informatics, Edinburgh. He is known for his work on Bayesian machine learning, machine learning markets, meta-learning and deep learning, including the first successful computer Go player learnt from expert play. He is Director of the EPSRC Centre for Doctoral Training in Data Science, Programme Chair for the Artificial Intelligence and Statistics Conference 2018, Data Science Theme Leader for the Scottish Informatics and Computer Science Alliance and founder and organiser of the annual Edinburgh Deep Learning Workshop attracting over 200 attendees each year. His is a regular consultant on machine learning matters across a number of sectors, including consultation in areas of finance, data driven valuations, risk analysis, anomaly detection and condition monitoring. Previously he did his PhD in Machine Learning at Imperial College, MSc in Transport and Transport Modelling at UCL and his MA/MMath in Maths/Theoretical Physics at Trinity College, Cambridge.

 

 

Other Upcoming Events of Interest

 

September 14, 2017, 5:30 – 7:30 pm, SQA September 14th Seminar, Featuring: Bob Fernholz
S&P Global, 55 Water St, New York, NY 10041

Data follow a power law or Pareto distribution if a log-log plot of the data versus rank is approximately a straight line. A Pareto distribution follows Zipf’s law if the slope of the log-log plot is −1. Zipf’s law is a form of universality, since many classes of data seem to follow this distribution. Specifically, certain time-dependent, rank-based systems seem to follow Zipf’s law, and we shall try to characterize these systems. In particular, the capitalizations of stocks form a system that follows a weak version of Zipf’s law, and we shall discuss the implications of this phenomenon.

 

Tuesday, September 19, 2017, 5th Annual RavenPack Research Symposium: The Big Data & Machine Learning Revolution. An excellent lineup of financial practitioners and academics will present research and insights on these hot topics in fintech.

https://www.ravenpack.com/event/5th-annual-research-symposium-big-data-machine-learning/

 

Thursday, October 26, 2017, Hedge Fund Rocktoberfest, Hard Rock Cafe NYC

https://www.altso.org/rocktoberfestnyc/

discounted tickets expire August 15th. 

 

Monday, October 30, 2017, Skytop Strategies presents “Generating Alpha – ESG as a Core Driver of Institutional Portfolio Performance”

Members of QWAFAFEW save 25%!
Use code 25ga1030 when registering.

https://skytopstrategies.com/generating-alpha-2017-ny/

 

Jobs

Model Validation/Risk Manager (Located in NYC)

Please note this is a contract position

In this role, the successful candidate will oversee the quality of a major US bank’s model risk management practices and manage its exposure to model risk. He or she will utilize market risk models to measure the risk of negative impacts due to fluctuations in interest rates, credit spreads, foreign exchange rates, mortgage rates, equity and commodity prices, and market liquidity. Risk must be measured across the trading book, AFS securities, HFS assets, the mortgage book, and private equity investments.

This role will involve conducting regular product and model validation to both assess and mitigate the bank’s risk. The successful candidate will independently review and analyze models used for pricing and the risk management of equity derivative products to determine the conceptual soundness of the model’s specifications and assumptions, including its response to stressed market conditions, the correctness of its implementation, and the robustness of its numerical aspects. He or she will also review the adequacy of the product-model considering market liquidity and hedging strategies along with studies of product sensitivities in various market conditions and propose alternative approaches as needed. Finally, he or she will review models implemented in C#.

• Ph.D. in Economics, Finance, Statistics, Computer Science or Mathematics; an MS can be accepted if accompanied with sufficient experience

• 3 or more years of experience in pricing model validation or a front office quant role with a broad exposure to fixed income or equity derivatives

• Experience in building or validating mathematical or statistical models (especially interest rate models, CVA, XVA, and price factors)

• Knowledge of fixed income trading, including swap and swaption, Muni derivatives, inflation linked products, inflation hedging, interest rate hedging, CVA, and XVA

• Ability to develop or validate stochastic calculus applications in a financial context

• Understanding of financial industry regulations and practices related to model development, capital requirements, and model validation

• Ability to use models for Value-at-risk and CCAR/stress tests

• Experience in model validation and benchmarking, specifically related to rate models, interest rate term structures, stochastic convergences, interest rates, Markovian models with numerical PDEs, exotic derivatives pricing, SABR models, and Monte Carlo simulations

• Understanding of structured securities, credit impacts, and cash flow

• Excellent verbal and written communication skills

For further information, please contact: Jesse Marrus, President, StreetID at jmarrus@streetid.com

 

QWAFAFEW Investment Society LinkedIn Discussion page. The URL is https://www.linkedin.com/groups/59644. 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, Edinburgh, New York City, Metro Los Angeles, Pittsburgh, Philadelphia/Villanova, Princeton, San Francisco, and Washington, DC are listed along with other useful information.
FEATURED MODERATOR:
French   Sharon French, Head of Beta Solutions, Oppenheimer

Details

Date:
September 6
Time:
5:30 pm - 8:00 pm
Cost:
$35 - $60
Website:
http://newyork.qwafafew.org/event/sep06/

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

Organizer

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