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TUESDAY Sep 26 NYC Indrani De TIAA & Jason MacQueen Northfield – Risk Management Night

September 26 @ 5:30 pm - 8:00 pm

| $35 - $60

TUESDAY Sep 26 NYC –

September 6 @ 5:30 pm – 8:00 pm

| $35 – $60

 

QWAFAFEW NYC EVENT – http://newyork.qwafafew.org/event/sep26/

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)

Tuesday, September 26th 

QWAFAFEW NYC EVENT

“Macroeconomic Multi-Asset Risk Assessments”

Indrani De, Senior Director – Risk Management, TIAA

 

“Efficient Currency Hedging”

Jason MacQueen, Director of Research, Northfield Information Services

 

 

Agenda

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

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

6:15 – 6:55  “Macroeconomic Multi-Asset Risk Assessments”, Indrani De, Senior Director – Risk Management, TIAA

The presentation will touch upon;
1) Key global macroeconomic issues, including impact of the divergence of monetary policy between central banks in U.S. and rest of the world
2) Impact of emerging market economics and geopolitics
3) Impact on different asset classes
4) How macroeconomics impacts every asset class, and the strong linkages amongst all asset classes

 

6:55 – 7:10     Refreshment and Networking Break

 

7:10 – 7:55  “Efficient Currency Hedging”, Jason MacQueen, Director of Research, Northfield Information Services

Most international fund managers do not have strong views about expected currency returns, so currency risks should normally be hedged out as far as possible. Froot (1993) showed that hedging currency risk will usually reduce portfolio volatility over short investment horizons up to five years (although not over longer horizons).

The only hard part is deciding how much to hedge. Most managers assume that currency risk is determined by the weight of stocks in some foreign currency; if 15% of the portfolio is Japanese stocks, doesn’t that mean we have a 15% exposure to the Yen, and should hedge accordingly?

A moment’s thought suggests that this might not be right. Many large Japanese stocks, such as Toyota, are actually multinationals, earning most of their profits abroad. For such companies, a stronger Yen clearly means smaller profits, and vice versa. If we hedge currency risk based simply on the currency of denomination, we are very likely to over hedge, so that while the unhedged portfolio has an implicit bet on Yen appreciation, the (over) hedged portfolio will actually have an implicit bet on Yen depreciation. Although the overall hedged portfolio volatility will be lower, the manager has not actually done a very efficient job of making the portfolio returns nearly currency-invariant.

It is the portfolio’s exposure to the Yen that matters for optimal currency hedging, not simply the weight held in Japanese stocks. This talk will compare hedging by weight with hedging by exposure, and show that exposure hedging requires less hedging overall, (thereby incurring fewer transaction costs) and gets much closer to currency neutrality.

 

8:15 Adjournment

 

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.
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

 

               Indrani De, Senior Director – Risk Management, TIAA

Indrani De, CFA, PRM, is Senior Director – Risk Management at TIAA, and her responsibilities include macroeconomic and financial markets analysis, stress testing and sensitivity analysis, key risk indicators, building asset valuation models, and identification and evaluation of emerging risks. Prior to TIAA, she was Senior Director of Quantitative Research at investment firm New Amsterdam Partners.

Earlier in her career, she worked as an investment analyst for GE Capital and 20th Century Venture Capital. She has been published in the Journal of Investing, Journal of Investment Consulting, and NYSSA Financial Professionals’ Post. Indrani is the Past-President and on the Board of Directors of the Society of Quantitative Analysts (SQA).

She has been a speaker multiple times at leading industry conferences and been quoted in major media outlets like Reuters, Forbes, Financial Planning and Pensions & Investments. She received an undergraduate degree in Economics (Honors) from University of Delhi, and an MBA from the Indian Institute of Management (Bangalore). Indrani completed the coursework for a PhD (Business-Major in Finance) at the City University of New York with full merit scholarship, and holds the Chartered Financial Analyst and Professional Risk Manager designation.

 

 

           Jason MacQueen, Director of Research, Northfield Information Services

In 1980 Jason MacQueen founded QUANTEC, which was the first firm to develop risk models for equity markets outside the USA, and which ultimately built risk models for over 50 equity markets. In the early 1990s QUANTEC developed the first global risk model and a global stock selection model, both incorporating global common factors. After QUANTEC was sold, Jason founded R-Squared Risk Management in 2003 to develop customised hybrid risk models. This firm was acquired by Northfield Information Services in 2015, where he is now Director of Research.

Jason has developed the theoretical framework of Markowitz and his successors into a practical set of tools for institutional fund managers. By his passionate pleas for a disciplined and logically coherent approach to portfolio management, he has acquired an international reputation as speaker, consultant and iconoclast. He was educated at Oxford and London Universities, where he read Mathematics and Theoretical Physics.

He has been an Honorary Lecturer at Lancaster University Management School, and Visiting Professor at Tokyo University’s Center for Advanced Research in Finance. He was the founder and first Chairman of the London Quant Group, a not-for-profit organisation established in 2007 to arrange Seminars on the practical application of quantitative investment technology, and is also a Director of the Society of Quantitative Analysts in New York.

 

Remaining Post-meeting QWAFAFEW NYC 2017 schedule

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

For other relevant meetings and events by affiliates, members, and others, please visit this link:

QWAF & Affiliate Events – All Regions

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.

Thanks again to longtime friend Indrani De

Speaker Bio

The Speaker: Indrani De, Director Risk Management, TIAA

Indrani De, CFA, PRM, is Senior Director – Risk Management at TIAA, and her responsibilities include macroeconomic and financial markets analysis, stress testing and sensitivity analysis, key risk indicators, building asset valuation models, and identification and evaluation of emerging risks. Prior to TIAA, she was Senior Director of Quantitative Research at investment firm New Amsterdam Partners.

Earlier in her career, she worked as an investment analyst for GE Capital and 20th Century Venture Capital. She has been published in the Journal of Investing, Journal of Investment Consulting, and NYSSA Financial Professionals’ Post. Indrani is the Past-President and on the Board of Directors of the Society of Quantitative Analysts (SQA).

She has been a speaker multiple times at leading industry conferences and been quoted in major media outlets like Reuters, Forbes, Financial Planning and Pensions & Investments. She received an undergraduate degree in Economics (Honors) from University of Delhi, and an MBA from the Indian Institute of Management (Bangalore). Indrani completed the coursework for a PhD (Business-Major in Finance) at the City University of New York with full merit scholarship, and holds the Chartered Financial Analyst and Professional Risk Manager designation.

How to Pay

By link below or cash at door

Use link below or Cash or Personal Check at Door

Details

Date:
September 26
Time:
5:30 pm - 8:00 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