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

February 23, 2016 @ 5:30 pm - 8:30 pm

Please renew your annual membership. Details below.

Tuesday, February 23, 2016

QWAFAFEW NYC EVENT

 

“Hedge Fund Returns:  What Do We Know?”
    Mark Carhart, Chief Investment Officer, Kepos Capital

 

“Advanced Curve Building Frameworks: Best Practices”
  Tony Webb, PhD, Lead Quantitative Analyst, FINCAD

PLEASE NOTE THAT THE NEW VENUE FOR THIS EVENT!

VenueBourbon Street Bar and Grill, 346 W  46th Street, Between 8th & 9th Aves, New York,  NY 10036

http://www.bourbonny.com/contact, accessible 42nd Street, Port Authority (A, C, E lines)

 

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 renew 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.
Agenda

5:30- 6:15 Registration, Networking, and Refreshments
6:15 – 6:20 Chapter Business – Mike Carty, New Millennium Advisors

6:20 – 7:15  “Hedge Fund Returns:  What Do We Know?”,   Mark Carhart, Chief Investment Officer, Kepos Capital

Hedge funds are positioned as skill-based investment strategies that add value to any investors portfolio.  We look at the hedge fund data and attempt to discern some key results, including:

• What does the standard hedge fund database tell us about the distribution of hedge funds?

• How does this change when considering survivor bias,  backfill bias and missing end-of-life returns?

• How does serial correlation and factor exposure affect our expectations for hedge fund value added?

• How much factor exposure is there in hedge funds, and how has it varied over time?

• How can investors assess the incremental value of hedge funds in their portfolios?

 
7:15 – 7:30 Refreshment and Networking Break

7:30 – 8:30 “Advanced Curve Building Frameworks: Best Practices”, Tony Webb, PhD, Lead Quantitative Analyst, FINCAD

The ability to quickly adapt to new market dynamics is critical to maintaining a competitive trading advantage.
Without a future-proof curve building framework, every unexpected market change requires time-consuming modifications to curve building methodology, and limits your ability to capture new opportunities.

Join Dr. Tony Webb as he discusses best practices for a robust curve building framework that enables:

  • Calibration and interpolation which reflects your market view
  • Rapid adaptation to market challenges such as negative rates, LCH/CME basis, and OIS discounting
  • Accurate hedging with comprehensive real-time risk
  • Meaningful aggregated risk from consistent model sharing across traders, desks, and portfolios

8:30 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.

 

 

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:

 

 

        Mark Carhart, Chief Investment Officer, Kepos Capital

Mark Carhart is the Chief Investment Officer and a founding partner of Kepos Capital. Prior to founding Kepos in 2010, Mark was a Partner and the Co-Chief Investment Officer of the Quantitative Investment Strategies Group at Goldman Sachs Asset Management, and prior to GSAM he was an Assistant Professor at the Marshall School of Business at USC and a Senior Fellow at The Financial Institutions Center at The Wharton School. Mark’s publications include articles in The Journal of Finance, The Review of Financial Studies and the Financial Analysts Journal, and he received the FAJ’s Graham and Dodd Award in 2014. He is also a co-author of Modern Investment Management: An Equilibrium Approach. Mark earned a B.A. from Yale University in 1988, became a CFA Charterholder in 1991 and received his Ph.D. from the University of Chicago Booth School of Business in 1995.  He serves as Chairman of the Board for both InTandem Cycling and Friends of the International Charter School, and is also a Board Member of TIME Advisory Council.

 

Tony Webb, PhD, Lead Quantitative Analyst, FINCAD

Dr. Tony Webb is FINCAD’s Lead Quantitative Analyst and is responsible for defining the development roadmap for analytics across all products, and for external communication of quantitative research and thought leadership. He holds an MA in Mathematics from Cambridge University, an MBA, and a PhD in computational fluid dynamics from the University of British Columbia.
 

 

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 & TBA

Tuesday, April 19th – Peter Hafez, Chief Data Scientist, Ravenpack & TBA

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 TBA

Tuesday, July 26th – Mary Ann Bartels, BofAML & TBA

Tuesday, August 23rd – 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 – 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 Upcoming Events of Interest

 

 

Friday, February 12, 2016, registration closes for the Spring 2016 ETF Global Portfolio Challenge, hosted by ETF Global. The Performance Period commences on Tuesday, February 16th ending on Monday, April 25, 2016.

http://etfportfoliochallenge.com/

 

Thursday, February 4, 2016 at The Museum of American Finance, New York City, International Association for Quantitative Finance (IAQF)
Financial Engineer Gala Dinner
Eduardo Schwartz Selected as the IAQF/FIS 2015 Financial Engineer of the Year
IAQF and FIS congratulate Eduardo Schwartz, Ph.D., Distinguished Professor of Finance, California Chair in Real Estate and Land Economics, and Finance Area Chair at UCLA Anderson School of Management, on being named the 2015 Financial Engineer of the Year.
For more information on the dinner please contact the IAQF office at 646-736-0705 or email us at info@iaqf.org
 

Monday, March 7, 2016, voting closes for the 12th ANNUAL GLOBAL ETF AWARDS. The 12th Annual Global ETF Awards® reflects outstanding achievements in 2015 by ETF industry participants. The 12th Global ETF Awards Dinner and Workshop will be held Thursday, April 21, 2016.

Voting form located at:

http://www.exchangetradedfunds.com/vte2610/evote2106.php

 

 

Thursday, March 10, 2016, SQA 50th Anniversary Conference & Gala.
1:00 – 5:00 pm 50th Anniversary Fuzzy Day Conference with presentations by: Bryan Kelly, Univ of Chicago; Andrew Lo, MIT; Robert Stambaugh, Univ of Penn.
6:00 – 9:00 pm 50th Anniversary Gala Dinner
http://www.sqa-us.org/

 

Wednesday, April 6, 2016, ETF Global will again Chair the upcoming Spring 2016 ETP Forum – NYC. All information including registration, agenda and speakers will shortly be available on the event site at http://etpforum.org/ and in the interim please save the date for 4/6/16.

 

Thursday and Friday, April 7 and 8, 2016, MTA, Market Technicians Association, presents its 2016 Annual Symposium. Details at:

https://www.mta.org/event-registration/2016-annual-symposium/

 

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, 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/

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, 2016 Cyber Investing Summit . Details to follow.

Thursday, October 13, 2016, Pristine Advisers hosts “CEF/BDC/MLP/ETF Investment Strategies Conference 6th Year”. Details to follow.

Details

Date:
February 23, 2016
Time:
5:30 pm - 8:30 pm

Venue

356 W 44th Street – Bar with New Name
356 West 44th Street,
New York, NY 10036 United States
+ Google Map
Phone:
212.445.0131
Website:
www.quinnsnyc.com