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Tuesday, January 26, 2016 -NYC Chapter Meeting

January 27, 2016 @ 5:30 pm - 8:30 pm

1st QWAFAFEW NYC Meeting for 2016

Back-testing:  A Useful Tool or “Financial Charlatanism”?
Dan diBartolomeo, President, Northfield Information Services

 

“Uncertain Covariance Models: Risk Forecasts That Know How Accurate They are and Where”
Anish Shah, Investment Grade Modeling, LLC

 

Please renew your annual membership. Details below.

 

Venue:  Quinn’s Bar and Grill, 356 West 44th Street, New York, NY, 10036, between 8th and 9th Avenues – upstairs room: phone 212.445.0131
http://www.quinnsnyc.com/, 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.
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. Details below.

Agenda

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

6:20 – 7:15  “Back-testing:  A Useful Tool or “Financial Charlatanism”?”,  Dan diBartolomeo, President, Northfield Information Services

Back-testing is the widely used practice of simulating an algorithmic investment strategy.   While essentially everyone involved in quantitatively driven investment methods conducts back-tests, it is widely accepted that simulated investment results achieved “in sample” are at best only a very weak indication of results to be expected in “out of sample” experience.   In this presentation, we will describe the causes for the minimal validity of back-tests, and suggest methods to mitigate the problems.   We will focus on material from seminal studies by Kahn and Rudd (1995) on the relationship of past and future performance,  Kahn (1997) on common statistical errors in investment tests, and diBartolomeo (1999) on the conceptual and philosophical limitations of back-tests.  The final portion of the presentation will be devoted to a detailed exposition of how practitioners can limit the risk of “overfitting”, based on the mathematical framework of Bailey, Borwein, de Prado and Zhu (2014).  

 
7:15 – 7:30 Refreshment and Networking Break

7:30 – 8:30 “Uncertain Covariance Models: Risk Forecasts That Know How Accurate They are and Where”
Anish Shah, Investment Grade Modeling, LLC

Covariance models of stock returns appear throughout the investment process – estimating portfolio risk, hedging, constructing risk/return optimized portfolios, and algorithmic trading.

Though practitioners might consider accuracy in predicting returns – e.g.: finding the portfolio with the best worst-case via robust optimization – covariance is treated as fixed and known, with no differentiation made between the easy and hard to predict.

The talk outlines a practical framework for expressing uncertain covariance (http://ssrn.com/abstract=2616109) and presents examples of uncertain covariance models in action improving investment decisions.
 

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.
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:

 

 

         Dan diBartolomeo, President, Northfield Information Services

Dan is President and Founder of Northfield Information Services, Inc. Based in Boston since 1986, Northfield develops quantitative models of financial markets. The firm’s clients include nearly three hundred financial institutions in twenty countries. Dan is a Visiting Professor at the CARISMA research center of Brunel University in London. In addition, he serves on the Board of Directors of the Chicago Quantitative Alliance and the advisory board of the International Association of Financial Engineers. He is also an active member of the Financial Management Association, and “QWAFAFEW”. He has been admitted as an expert witness in US federal courts for litigation matters regarding investment management practices and derivatives.

Mr. diBartolomeo is a director of the American Computer Foundation, and formerly served on the industry liaison committee of the Department of Statistics and Actuarial Sciences at New Jersey Institute of Technology. He continues his several years of service as a judge in the Moscowitz Prize competition, given by the University of California at Berkeley for excellence in academic research on socially responsible investing.

Dan has a long list of more than thirty publications including books, book chapters and research papers in professional journals such as Financial Analyst Journal, Quantitative Finance and Journal of Investing. Mr. diBartolomeo has also written extensively for the CFA Research Foundation. His most recent publication is “Risk Management for Public Pension Funds: Still Trying to Not Waste the Crisis” (with John Minahan) which was published in Investments and Wealth Monitor, in September 2014.

 

 

Anish Shah, Investment Grade Modeling, LLC

Anish Shah is the founder of Investment Grade Modeling, LLC (https://investmentgrademodeling.com/) based in Boston, MA.

Earlier stops in his finance career include risk modeling and optimization at Northfield and ITG. He is a CFA charterholder and received an MS in Operations Research from UC Berkeley and an MS in Applied Math from Brown, where he left ABD concentrating in pattern theory.

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

Tuesday, March 22nd – 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.comif 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:

Dan diBartolomeo, President, Northfield Information Services

Dan is President and Founder of Northfield Information Services, Inc. Based in Boston since 1986, Northfield develops quantitative models of financial markets. The firm’s clients include nearly three hundred financial institutions in twenty countries. Dan is a Visiting Professor at the CARISMA research center of Brunel University in London. In addition, he serves on the Board of Directors of the Chicago Quantitative Alliance and the advisory board of the International Association of Financial Engineers. He is also an active member of the Financial Management Association, and “QWAFAFEW”. He has been admitted as an expert witness in US federal courts for litigation matters regarding investment management practices and derivatives.

Mr. diBartolomeo is a director of the American Computer Foundation, and formerly served on the industry liaison committee of the Department of Statistics and Actuarial Sciences at New Jersey Institute of Technology. He continues his several years of service as a judge in the Moscowitz Prize competition, given by the University of California at Berkeley for excellence in academic research on socially responsible investing.

Dan has a long list of more than thirty publications including books, book chapters and research papers in professional journals such as Financial Analyst Journal, Quantitative Finance and Journal of Investing. Mr. diBartolomeo has also written extensively for the CFA Research Foundation. His most recent publication is “Risk Management for Public Pension Funds: Still Trying to Not Waste the Crisis” (with John Minahan) which was published in Investments and Wealth Monitor, in September 2014.

Anish Shah is the founder of Investment Grade Modeling, LLC (https://investmentgrademodeling.com/) based in Boston, MA. Earlier stops in his finance career include risk modeling and optimization at Northfield and ITG. He is a CFA charterholder and received an MS in Operations Research from UC Berkeley and an MS in Applied Math from Brown, where he left ABD concentrating in pattern theory.

Earlier stops in his finance career include risk modeling and optimization at Northfield and ITG. He is a CFA charterholder and received an MS in Operations Research from UC Berkeley and an MS in Applied Math from Brown, where he left ABD concentrating in pattern theory.

How to Pay

Cash or Check at Door (see Fee Schedule and Membership Payment Options in Invitation Text)

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Details

Date:
January 27, 2016
Time:
5:30 pm - 8:30 pm
Website:
http://newyork.qwafafew.org/wp-admin/post-new.php?post_type=tribe_events

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