- What Went Wrong?
Dick Michaud PhD, President and CEO, New Frontier Advisors
- Leveraged ETFs: Are you ready for the Volatility Jumps?”
Linda Zhang, Phd, President and Founder, Purview Investments
Venue: Bourbon Street Bar and Grill, 346 W 46th Street, between 8th and 9th Avenues, New York, NY 10036
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5:30 – 6:10 Registration/Networking
6:10 – 6:15 Greetings from Mike Carty, Chapter President
6:15 – 6:55 Dick Michaud, President and CEO, New Frontier Advisors – “What Went Wrong?”
“What Went Wrong?”
Dick Michaud, President and CEO, New Frontier Advisors
Active professional asset management is under siege. There is little credible evidence that active investment strategies can provide superior risk-adjusted cost-adjusted return over investor relevant horizons. Investors are increasingly adopting rule-based minimal cost no-information index or factor funds. Why is it happening? Is asset management bereft of useful investment tools? Has modern finance failed? We argue that academic and institutional sponsorship often influenced the adoption of poor theory and principles. We return to basic Markowitz principles and neglected masterworks of 20th century finance and introduce 21stcentury tools with mathematical-statistical principles of investment effectiveness in practice.
6:55 – 7:10 Refreshment/Networking Break
7:10 – 7:55 Linda Zhang, Ph.D., founder of Purview Investments –
“Leveraged ETFs: Are you ready for the Volatility Jumps?”
A Global Perspective on Short-term vs Long-term Risk Profiles”
Linda Zhang, Founder and CEO, Purview Investments
Leveraged and inverse ETFs represent one of fast growing areas in the ETF industry, with the global AUM breaking $60 billion. The regulatory bodies in many countries are approving the listing of these products. The recent financial market turmoil in February 2018 has exposed the risk behavior of these ETFs in the time of market stress, which are often misunderstood by investors and can catch them by surprise. In this study, we analyze leveraged ETFs risk profiles in both short-term and long-term periods. As leveraged ETFs and inverse ETFs are often used for short-term trading purposes, understanding the nature of short term volatility is highly critical. We also expand our study to major markets outside the U.S., and came to the same conclusion. The near-term volatility could jump more than what the leverage ratio suggested. We’ve also noticed the degree of jumps vary from market to market. Globally, leveraged and inverse ETFs are growing at a healthy pace, led by a faster growth in Asia in 2016. After Japan, South Korea and Taiwan, Hong Kong became the latest market, allowing both inverse and leveraged products on Hong Kong and China stock indices. It is in the interest of global investors to fully understand the nature of these instruments to make effective usage in portfolio management.
7:55 – 8:15 Adjournment
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Richard Michaud, Ph.D.
President & CEO
Dr. Richard Michaud is the President and Chief Executive Officer at New Frontier. He earned a Ph.D. in Mathematics from Boston University and has taught investment management at Columbia University. He is the author of Efficient Asset Management: A Practical Guide to Stock Portfolio Optimization and Asset Allocation (1998, 2nd ed. 2008 with Robert Michaud), a CFA Research Monograph (1999) on Global Asset Management, and numerous academic and research articles available on www.ssrn.com and www.researchgate.net. He is co-holder of four U.S. patents in portfolio optimization and asset management, a Graham and Dodd Scroll winner for his work on optimization, a former editorial board member of the Financial Analysts Journal, associate editor of theJournal Of Investment Management, and former director of the “Q” Group.
Linda H Zhang, Ph.D, is the CEO and the founder of Purview Investments, a New York based registered independent investment firm offering actively managed ETF solutions, specializing in global investing and ESG investing. The firm also conducts in-depth Exchange Traded Fund (ETF) research, advises and collaborates with ETF issuers and index providers. Dr. Zhang has built an extensive career in asset management industry, and was most recently the Head of Investment Research and Senior Portfolio Manager at Windhaven Investment. She joined the ETF ecosystem from an institutional asset manager MFS, as a fund manager for Global Multi-Asset with global macro long-short overlays and Commodities strategies. At Blackrock, Dr. Zhang served as a lead PM for a global multi-asset mutual fund and institutional mandates, and a key member on the Asset Allocation Committee. She was the head of Quant Strategy Group and a PM at State Street Research. She started her career as a quantitative analyst at Baring Asset Management, developing country, sector, factor, stock selection models, fixed income research and risk modeling.
Dr. Zhang is a co-founder and a board member of Women in ETFs. She is a recipient of the Top Women in Asset Management Awards 2015 by Money Management Executive. She has published in ETF.com, Journal of Investing, CFA Digest, Journal of Alternative Investments, and is a contributor to industry conferences and business media such as Bloomberg News, Financial Times. Dr. Zhang holds B.A. in Business from University of Regina, Canada, a M.S. in Applied Economics and a Ph.D in Finance from University of Massachusetts at Amherst. She lives with her family in Manhattan.
Upcoming QWAFAFEW-NYC Events:
Tuesday, November 27th – Herb Blank, Global Finesse LLC, “Extracting Alpha from Web Luminosity” & TBA
2019 Schesule will be announced soon
Partner Events and Other Events in the Interest of Our Membership – Click below
We hope to see you soon at the Bourbon Street Grille
http://www.bourbonny.com/contact accessible 42nd Street, Port Authority (A, C, E lines)