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“Extracting Alpha from Web Luminosity” – S. Greene & H. Blank; “Closed End Funds – An Investment Strategy for People Near Retirement” – D. Fox

November 27, 2018 @ 5:30 pm - 8:30 pm

| $35 – $60


Bourbon Street Bar & Grill,

346 W 46th St., between 8th/9th Ave., NY



5:30 – 6:10 Registration/Networking

6:10 – 6:15 Greetings from Mike Carty, Chapter President

6:15 – 6:55 “Closed End Funds – An Investment Strategy for People Near Retirement” – Dan Fox, President/Founder, Black Box A Strategies

6:55 – 7:10 Refreshment/Networking Break

7:10 – 7:55  “Extracting Alpha from Web Luminosity” – Herbert Blank and Shannon Greene, Global Finesse

The paper on which this presentation is based may be downloaded now from


7:55 – 8:15 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://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.

To learn more about QWAFAFEW: visit http://qwafafew.org/

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 QWAFAFEW-NYC 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/

Synopses and Bios:

“Closed End Funds – An Investment Strategy for People Near Retirement”

Dan Fox, President & Founder – Black Box A Strategies

A portfolio of high yield closed end funds can generate a low risk dividend stream that can meet consumption needs
for investors close to retirement. With a diversified portfolio, investors can obtain income streams with very little
volatility with infrequent trading. Risks to the strategy essentially involve dividends cuts, which do not happen
frequently with a well chosen set of funds. If an investor’s asset base is large enough consumption needs can be defeased
and an investor can, by and large, become indifferent to price movements in the underlying funds. Price indifference leads to
an approach to risk measurement that only looks at yield volatility and ignores price movements. Back testing and actual
investment results show the strategy can maintain the high dividend yields associated with closed end funds for extended
periods of time.

“Extracting Alpha from Web Luminosity” – Herbert Blank and Shannon Greene, Global Finesse 

“Web Luminosity is the sum of characteristic levels of brand citations for a company’s relevant brands as measured over relevant moving average time periods.  Defining luminosity is much easier than capturing it and determining its relevance.  Web Luminosity is important in this research because of its relevance to brand loyalty.  Long considered an intangible, brand loyalty is now routinely factored into investment analysts’ calculations of the intrinsic value of relevant firms.  Traditional methods such as focus groups have self-selection bias and annual frequency data.  Web Luminosity, derived from a corporation’s total relevant brand citations on the internet, makes use of a free global focus group proxy, the internet.  
To do this, extensive mapping and lexicography files are needed to extract only pertinent data. Transforming web luminosity data for a company into an investment signal requires several more analytic steps and a comprehensive framework to determine the signal’s relevance and efficacy.  Relevance identifies the consumer companies for ehich increases in luminosity share portend increases in revenue share before that quarter’s financials are released.
We then share methodologies and results from two tests.  First, investment signals are tested to demonstrate their effectiveness in differentiating groups of positive future performers from negative future performers, thus identifying efficacy in long-short portfolios.  Then, a core long-only US Large Cap portfolio application is illustrated. “

Dan Fox is the President and Founder of Black Box A(BBA) Strategies, a research and fund investment firm in operation since 2004. During the past 10 years Dan has focused his work on closed end funds, devising a low risk investment strategy and running a hedge fund based on distributions of price to NAV ratios. Prior to BBA, he was a senior research analyst at Commerzbank and a principal at Credit Suisse in London where he was head of passive investing research. He was at Morgan Stanley in New York on both the buy and sell sides and did quantitative work on equity investing strategies. Dan started his career at CREF, where he ran a small cap passive portfolio. He earned his bachelor’s degree in US History from University of Berkeley and MBA from Wharton School.

 Herb Blank is a senior consultant and practice leader in the Global Finesse Product Strategy and Implementations Consulting Practice. He has more than 30 years of experience in financial product innovation and quantitative analysis.  Recognized as a pioneer in the Exchange Traded Fund (ETF) industry, Herb established the first family of ETFs to trade on the NYSE and was portfolio manager for the fund. Herb is credited with the product development and launch of iShares, GLD, and X Shares.  He is also well known for his development of the construction and maintenance methodologies for Dow Jones Global Indexes.

Herb has considerable experience in working with unconventional and alternative data sets and applying them to investment applications.  His work in developing SRI and ESG indexes and portfolios since 1987 fall into this category.  He also assisted Thomson Reuters for the creation and maintenance of the Thomson Reuters Corporate Responsibility Ratings and Indexes and worked with theory founder Dr. Steve Ross to create and manage APT-driven factor portfolios a forerunner of today’s smart Beta indexes and ETFs.


Firms that have engaged Herb’s expertise include: Brand Loyalties; Haugen Equity Signals; James Investment Research; Exponential ETFs; Deutsche Bank; NYLIM; Thomson Reuters; NYSE; UBS; Morningstar; S-Network Global Indexes; World Gold Council; BGI (now part of Blackrock); Rapid Ratings International; XShares; and Fidelity Bank (now part of Wells Fargo).

Herb frequently publishes industry white papers and articles, and is credited with having a large network of institutional investment professionals, RIAs, and wealth managers. Mr. Blank also serves as Steering Committee chairman for QWAFAFEW, an industry society for quantitative analysis and investment professionals.  His MBA in Finance is from NYU Stern; his BA in Mathematics is from University of Pennsylvania.

Shannon Greene is a trading and research assistant and intern for the fixed income trading desks of Newfleet Asset Management, and recently co-authored a research paper for the ‘Journal of Investing’ based on using alternative research data in real world portfolios. She will be presenting her work “Web Luminosity Data Applications for Alpha Generation” at the November meeting of the NYC chapter of QWAFAFEW, a quantitative analyst society.

Shannon’s career interests are in Finance and FinTech. Shannon will be graduating in May 2019 from the Fordham Gabelli School of Business with a degree in Global Finance and Business Economics. She has already obtained certifications in the Data Science program from Microsoft. Her next project is to develop a market signals dashboard using Python programs.

Skills: Microsoft Data Science Certified, Bloomberg Terminal Certified, Python for Data Science Certified, Azure Machine Learning, Data Visualization with Excel, Intex, Adobe InDesign, and Google Analytics, Mixpanel, FullStory, Intercom, Excel macros, Maple, and Java Programming Twitter Data Mining with Python code



November 27, 2018
5:30 pm - 8:30 pm
$35 – $60


Mike Carty


Bourbon Street Bar and Grill
346 W 46th Street, between 8th and 9th Avenues, New York, NY 10036
New York, 10036 United States
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(212) 245-2030