Wednesday, October 26, 2016
“Active Asset Allocation Strategies for ETF Investors”
Marvin Appel, Ph.D., M.D., President, Signalert Asset Management LLC
“Issues and Challenges in Ranking ETFs”
Richard Radnay, CTO/CIO, XTF Inc. and Doug McDonald, Ph.D., Quantitative Research Analyst, XTF Inc.
Venue: Bourbon Street Bar and Grill, 346 W 46th Street, between 8th and 9th Avenues, New York, NY 10036 – note this is two blocks north or our previous venue.
http://www.bourbonny.com/contact accessible 42nd Street, Port Authority (A, C, E lines)
5:30- 6:00 Registration, Networking, and Refreshments
6:00 – 6:05 Chapter Business – Mike Carty, New Millennium Advisors
6:05 – 6:45 “Active Asset Allocation Strategies for ETF Investors” Marvin Appel, Ph.D., M.D., President, Signalert Asset Management LLC
Dr. Appel will discuss some simple trend-following strategies for identifying which areas of the equity markets to overweight. These strategies can be implemented using ETFs.
6:45 – 7:00 Refreshment and Networking Break
7:00 – 7:45 Richard Radnay, CTO/CIO, XTF Inc. and Doug McDonald, Ph.D., Quantitative Research Analyst, XTF Inc.
XTF Exchange Traded Funds Ratings methodology
· XTF has been the leading provider of institutional ETF Ratings, data, research and tools tracking 100% of the US-listed ETP marketplace since 2007.
· The goal of the XTF Ratings methodology is to present an objective, transparent and easy-to-understand framework for investors to evaluate and compare Exchange Traded Products.
· The XTF Ratings gives investors, traders, and financial advisors the ability to make informed decisions about ETFs.
· XTF does not make buy or sell recommendations; we evaluate all ETFs and provide a score on a scale of 0 to 10. This score allows you to make a comparison amongst ETFs within their respective asset class.
· XTF uses an empirical approach to evaluate an ETFs structure as well as provide relevant investment metrics.
· The discussion will focus on this empirical methodology and discuss the inherent advantages and difficulties in trying to fairly rate ETFs.
Marvin Appel, Ph.D., M.D., President, Signalert Asset Management LLC
Marvin Appel originally trained as an anesthesiologist at Harvard Medical School and Johns Hopkins Hospital. He concurrently earned a PhD in Biomedical Engineering from Harvard University. However, in 1996 he changed careers and joined his father in the field of investment management where he has been able to put his engineering and computer training to work in analyzing the stock market. He is now president of Signalert Asset Management in Great Neck, NY, which manages $220 million in client assets in mutual funds, exchange-traded funds and individual stocks and bonds using active asset allocation strategies.
Dr. Appel is the editor of Systems and Forecasts, a highly regarded newsletter on technical analysis that his father, Gerald Appel, started in 1973. His books include “Higher Returns from Safe Investments: Using Bonds, Stocks and Options to Generate Lifetime Income” (Prentice-Hall, 2010) and “Investing with Exchange-Traded Funds Made Easy”. Dr. Appel and his father have also written, “Beating the Market, Three Months at a Time”, published by Prentice-Hall and released in January, 2008.
Richard Radnay, CTO/CIO, XTF Inc.
Co-founder and CIO of XTF Inc., the leading, independent provider of ratings, research, analytics and decision support tools covering all aspects of finance and investment management focused on the Exchange Traded Products (ETF) industry.
Twenty years of experience as head of technology (CIO, CTO, IT Director) delivering bleeding edge technology solutions that increase profits, productivity, and competitive market advantage while reducing costs and supporting accelerated growth. Six years experience as an operations and technology executive (COO) managing all facets of daily operations (P&L, risk management, compliance, recruiting, raising capital, etc.) improving business processes that support fast-growth organizations in an industry where technology is a competitive advantage.
Specialties: strategic planning, financial website design, trading systems design & OMS integration, ETF arbitrage, electronic trading, quant-trading strategy, server & database architecture, managing highly technical people, budgeting, technical presentations.
Doug McDonald, Ph.D., Quantitative Research Analyst, XTF Inc.
Quantitative Research analyst for a financial research and advirory firm specializing in Exchange Traded Funds. Ph.D. in high-energy physics. M.S. Mathematical Finance (expected 12/2008). Skills include: statistical data analysis, predictive modeling and Monte Carlo simulation methods. 7 years of consulting experience including 4 years in the IT industry and 5 as an independent. Familiar with all levels of the software development process: tester, test case identifier, software developer, architect, client relationship manager and project manager. Experience with large and mid-sized corporations as well as with small businesses. Marketing research work focuses on transactional data mining.
Specialties: Mathematical and computatonal finance. Statistical data analysis, Monte Carlo simulations, transactional data mining, mathematical modeling, predictive modeling, marketing research
QWAFAFEW NYC 2016 remaining schedule
Wednesday, October 26th – Marvin Appel, Ph.D., President, Signalert Asset Management, “Active Asset Strategies for ETF Investors”& Richard Radnay, CTO/CIO, XTF Inc. and Doug McDonald, Ph.D., Quantitative Research Analyst, XTF Inc.Wednesday, November 16th – Dr. David N. Esch, Managing Director of Research, New Frontier Advisors & TBA
QWAFAFEW NYC 2017 schedule (tentative)
Tuesday, January 24th – TBA
Tuesday, February 28th – TBA
Tuesday, March 28th – Ronald J Ryan, CFA, CEO, ALM Inc & TBA
Tuesday, April 25th – TBA
Tuesday, May 23rd – TBA
Tuesday, June 27th– TBA
Tuesday, July 25th – TBA
Tuesday, August 22nd– TBA
Wednesday, September 6th – TBA
Tuesday, September 26th – TBA
Tuesday, October 24th – TBA
Tuesday, November 28th – TBA
QWAFAFEW is always soliciting presentation volunteers. Send a note firstname.lastname@example.org 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 QWAFAFEW Chapters
Thursday, October 6, 2016, San Francisco QWAFAFEW – ”Back-testing: A Useful Tool or “Financial Charlatanism”?” with Northfield Info’s Dan diBartolomeo at L’Olivier Restaurant 465 Davis Ct. (between Jackson and Washington), San Francisco, CA 94111
Tuesday, 18 Oct 2016, Boston QWAFAFEW Meeting
RSVP to hugh@QWAFAFEW.org
“The “Fundamental Law of Active Management” Is No Law of Anything”, A QWAFAFEW discussion led by:
Richard O. Michaud, David N. Esch, Robert O. Michaud
Roughly half of all professionally managed funds globally employ optimized portfolio design principles that are applications of Grinold’s “Fundamental Law of Active Management.” These include: Invest in many securities, use many factors to forecast return, trade frequently, and optimize with minimal constraints. We show with simple examples followed by rigorous simulation proofs that these proposals are invalid and self-defeating. This is because estimation error and required economically valid constraints are ignored in derivations. These flawed principles have been unchallenged by academics and practitioners for nearly twenty-five years and may adversely impact a trillion dollars or more in current fund management.
Other Upcoming Events of Interest
Thursday, October 13, 2016, Pristine Advisers/CEFNetwork’s 2016 Global CEF, ETF, BDC, MLP, REIT Investment Community Conference. Details are at:http://www.cefnetwork.com/conf/2016/2016conference.php
Thursday, October 20, 2016, SQA presents a Seminar with Andrew Ang, “Factors to Assets: Mapping Factor Exposures to Asset Allocations”
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.
Thursday, November 10, 2016, SQA’s Half Day Conference. “Advances in Portfolio Construction”, With Special Guest Bob Litterman
Barclays, 745 7th Avenue (between 49th & 50th St)
Early Bird Rates (until October 13th)
SQA Members $350
Student/Transitional Members $125
(CQA, GARP, IAQF, NYSSA, QWAFAFEW, Q-Group, London Q., PRMIA)
Tuesday, November 29, 2016, Expert Series hosts the “Fall 2016 ETP Forum”