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Andrew Ang – a Factor Model Analysis of Major Indexes – December 14 Joint Meeting & Holiday Party with SQA near Penn Station

December 14, 2017 @ 5:30 pm - 8:00 pm

| $50
December 14th Seminar w/ Andrew Ang


SQA & QWAFAFEW Jointly Present: 

December 14th Seminar & Holiday Party near Penn Station, New York

Link: https://newyork.qwafafew.org/event/2017dec14/


Andrew Ang, Blackrock

“What’s in Your Benchmark? A Factor Analysis of Major Market Indexes”

Link to Paper

Venue: Stout
133 West 33rd Street, New York, NY 10001


5:30 p.m. Cocktails & Networking

6:00 p.m. Presentation

7:00 p.m. Holiday Party


SQA Members: Regular or Academic – $50

QWAFAFEW Members (this meeting only) – $50 – Use code QWAFAFEW when registering
Transitional or Student – $30
Non-Member Affiliated – $70 (Contact your Affiliate Organization for your discount code)
Non-members – $90



admin@sqa-us.org or hblank@qwafafew.org

Register Today! at http://www.sqa-us.org/events/EventDetails.aspx?id=1033009&group=

Also in December

December 13 – QWAFAFEW Denver Meeting & Christmas Party;

December 19 – Boston QWAFAFEW Meeting & Christmas Party, please keep scrolling down for details.

Andrew Ang, PhD, Managing Director, is Head of Factor Investing Strategies and leads BlackRock’s Factor-Based Strategies Group. Throughout his career, Dr. Ang’s has focused on identifying and harvesting factor risk premiums within and across asset classes.

Before joining BlackRock in 2015, Dr. Ang was Chair of the Finance and Economics Division and the Ann F. Kaplan Professor of Business at Columbia Business School. He has published widely on equities, fixed income, asset and factor allocation, and alternative assets. His recent book,“Asset Management: A Systematic Approach to Factor Investing” is a comprehensive guide showing how factor risk premiums can be harvested in portfolio design and incorporated in all aspects of investment management. As a professor, Dr. Ang advised several large institutional managers, including Canada Pension Plan Investment Board, Norges Bank and the Norwegian Ministry of Finance, on factor investing strategies.

Dr. Ang earned a BEc(Hons) degree in actuarial studies from Macquarie University, and a PhD in finance and MS in statistics from Stanford University.

SQA in January:

SQA/CFA Society NY Conference

Data Science in Finance, The Final Frontier?

January 18, 2018

Great Agenda Scheduled! Visit website for more information

Time: 8:30 am – 5:30 pm
Venue: CFA Society New York, 1540 Broadway, New York, NY

SQA Member – $525
Non-member – $695
Student/Transitional Member – $295
Non-Member (Affiliated) – $595 Please contact your organization for the discount code

Early Bird Discount – Receive $100 off!

Register Today!


December 13th QWAFAFEW Denver’s Annual Holiday/Networking Party – Speaker Dave Pope, Managing Director of Quantamental Research at S&P Global Market Intelligence on NLP, Natural Language Processing
**QWAFAFEW Denver’s Annual Holiday/Networking Party is December 13th
at 5:30pm! Please register in advance
Event Details and Location:
We will meet at the Cactus Club in Denver, located at 1621 Blake St,
starting at 5:30pm. We will be serving a Full Holiday Meal, inclusive
of all the trimmings (vegetarian options also available).
*Hanging on Every Word: Natural Language Processing Unlocks New
Frontier in Corporate Earnings Sentiment Analysis*
Given the growing interest in Natural Language Processing (NLP) among
investors, S&P Global Market Intelligence’s Quantamental Research
group has published a primer to demystify many aspects of NLP and
provide three illustrations, with accompanying Python code, of how NLP
can be used to quantify the sentiment of earnings calls. In the first
example, sector-level sentiment trends are generated providing
insights around inflection points and accelerations. The other two
illustrations are: i) stock-level sentiment changes and forward
returns, and ii) language complexity of earnings calls.
**The primer is available for download HERE.
We hope you will join us at The Cactus Club as we ride out 2017 in style.
Please RSVP at Brown Paper Tickets using the above link.

Boston QWAFAFEW Christmas Party

 Tuesday December 19, 2017 – 6:15 PM Sharpe,

3rd Floor of the Tennis & Racquet Club, 939 Boyston Street, Boston MA

Please RSVP hugh@QWAFAFEW.org to enjoy good holiday cheer, smelly fish, semi-fresh sandwiches, and Moore’s Law.

Beer and wine complimentary while it lasts.  Bring your own rotten tomatoes to greet our speaker, a passionate New York Yankee fan.

Topic: “The Case for Reverse Market-Cap Indexing” 

A discussion led by Herb Blank, Senior Consultant, Global Finesse


Index investing can trace it roots back more than 50 years.  However, the dynamics around implementing index portfolios have changed as capital markets have evolved, opening up new discussions around the possibilities and potential benefits of different index methodologies.  This paper sets out to explore the investment potential of an index consisting of the same stocks as the popular market-cap-weighted S&P 500, but weighted by the reciprocal of each stock’s market capitalization.  We explore the properties such an index would have versus traditional capitalization-weighted and equally weighted schemes.  This is followed by empirical testing and attribution analysis to confirm whether reverse-cap weighting provides a viable alternative to the momentum, concentration, and anti-value biases inherent in capitalization weighted indices.

Download Paper



Herbert (“Herb”) Blank is a Senior Consultant with Global Finesse LLC. He provides ETF, enhanced indexing, ESG-related, and product development services linked to his expertise.  Specialties are assisting clients expand their reach and raise awareness by authoring white papers, then promoting them through educational webinars, seminars, and interviews.

His prior position had been as Director of the Global Benchmark System at S-Network Global Indexes and ESG Solutions.  Herb was responsible for education and presentations on index development with an emphasis on “Smart Beta” and ESG ratings and indexes. Before S-Network, Herb worked as Managing Director of Quantitative Solutions at Rapid Ratings International, where he served as account manager for institutional investors, insurance companies, and banks and assisted risk managers in integrating the firm’s data into corporate systems.

A recognized pioneer in the ETF industry, Herb was Founder and Managing Principal at QED International Associates, where he consulted with asset management firms to develop and market ETFs, global asset allocation strategies, and risk-controlled hedge vehicles. In this capacity, he assisted in product development and introduction of iShares, and GLD. From 1993-1997, Herb was a Director at Deutsche Bank Securities Corporation. He served as Senior Portfolio Manager of CountryBaskets, nine different country index funds and the first ETF family to use the fund structure, as the first ETFs to trade on the NYSE.

From 1990 – 1993 at Value Line Inc. as Senior Quantitative Analyst, Herb worked on developing and maintaining stock ranking systems while developing and serving as portfolio manager of tilted index portfolios. Fidelity Bank in Philadelphia was his home through most of the 1980’s where he developed and managed quantitative portfolios as part of a team that worked with Stephen Ross, PhD. to introduce Arbitrage Pricing Theory into institutional portfolio management. A frequently published author, Herb’s MBA is from NYU Stern; he also holds M.A. and B.A Mathematics degrees from the University of Pennsylvania. Herb also serves as Steering Committee Chairperson of the New York Chapter of QWAFAFEW which he helped re-launch in 1997 and has since helped launch and promote other chapters around the world.

All annual dues ($150) should be paid to Boston QWAFAFEW by credit card, Bitcoin or check.

By credit card (PayPal)   http://qwafafew.org/BostonPayDues.html

By Bitcoin

Send us Bitcoin, our address is:


Please send a separate email identifying your anonymous payment.


By check:

Executive Management Associates

12 Academy Avenue

Atkinson, NH  03811


Please RSVP for all meetings you plan to attend: hugh@QWAFAFEW.org

Guests who do not RSVP may have to wait to enter the meeting, due to space constraints (capacity=100, BFD).

Guest fees ($30) can be paid through EMA (check or PayPal, bring receipt) or bitcoin (at address above).  The $30 guest fee can be paid by bitcoin, cash or check

at the door, no credit cards at the meeting.

As always, if you have names or discussion topics, please forward them to any member of the Steerage Committee

Questions, comments:

Any other chapters need assistance in program or wish to plan something, please let me know. hblank@qwafafew.org
Others are also encouraged to start local chapters. I will help and point out the pros and cons as needed. Beyond basic resources and a generally shared mission, Chapters are completely autonomous.



 QWAFAFEW on linked in: QWAFAFEW Investment Society linked-in Discussion page. The URL is


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.

Website www.qwafafew.org (official site – New York Page) have access to past presentations.  Questions, job postings, or an event you wish to publicize. e-mail hblank@qwafafew.org or call Herb Blank, 917.992.7852.

Do you wish to volunteer to make a presentation at NYC or elsewhere this year? For NYC, e-mail cmcarty1@earthlink.net.  Otherwise e-mail Herb Blank, hblank@qwafafew.org

This message was sent to hblank@qwafafew.org from nyc@qwafafew.org

NYC Chapter
87-32 97th Street 
Woodhaven, NY 11421


December 14, 2017
5:30 pm - 8:00 pm


133 West 33rd Street
New York, NY United States
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