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Wednesday, March 23, 2016 Diversifying Across Factors to Outperform Globally – Tim Gaumer & The Cost of Illiquidity” – Andy Weisman

March 23, 2016 @ 5:30 pm - 8:15 pm

Wednesday, March 23, 2016

QWAFAFEW NYC EVENT
Please note that this meeting will start at 6:00 pm
The Venue will be 356 West 44th St, between 8th and 9th Avenues.

“Diversifying Across Factors to Outperform Globally”
Tim Gaumer, CFA, Director of Fundamental Research, Thomson Reuters

 

“Forced Liquidations, Fire Sales, and the Cost of Illiquidity”
Andrew B. Weisman, Chief Investment Officer, Janus Liquid Alternatives

 

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.

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.

Agenda

5:30- 6:00 Registration, Networking, and Refreshments
6:00 – 6:05 Chapter Business – Mike Carty, New Millennium Advisors

6:05 – 6:45  “Diversifying Across Factors to Outperform Globally”,   Tim Gaumer, CFA, Director of Fundamental Research, Thomson Reuters

Diversification may be the last free lunch on “Wall Street”. Most approaches diversify by position size, geography, sectors, market cap or asset classes. In this presentation, Mr. Gaumer will show the benefits of diversifying by market factors such as value, momentum, quality, etc., rather than tilting a portfolio toward just one. He will also show which factors work best in your region and how best to combine them. This presentation will also share some of Thomson Reuters research findings about factors or strategies that don’t work and what they’ve learned so far about factor momentum and factor timing.

6:45 – 7:00     Refreshment and Networking Break

7:00 – 7:45 “Forced Liquidations, Fire Sales, and the Cost of Illiquidity”, Andrew B. Weisman, Chief Investment Officer, Janus Liquid Alternatives

Seeking diversification, institutional investors are often drawn to investment opportunities that are relatively illiquid, taking for granted that they will receive a liquidity premium that compensates them for the lack of liquidity. Forced liquidations typically occur when illiquid portfolios become overvalued relative to their true market value and the reported valuation is no longer credible. When a forced liquidation occurs, the significant associated costs are obvious and easy to take into account. But there is a rarely recognized cost that investors should apply to illiquid investments’ expected return before such an event. This article presents a simple option-adjusted return for evaluating the cost of such illiquidity.

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.
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:

 

 

 

 

        Tim Gaumer, CFA, Director of Fundamental Research, Thomson Reuters

Tim is the global Director of Fundamental Research at Thomson Reuters. He held the same position at StarMine, a company acquired by Thomson Reuters in 2008.With more than 23 years of experience conducting fundamental analysis, Tim is widely regarded as an expert helping fundamental investors apply StarMine’s innovative quantitative research in their investment process. Tim previously worked at several buy-side firms, most recently at Transamerica Investment Management as an equity analyst and portfolio manager.

Tim is a Chartered Financial Analyst and holds an undergraduate degree in Electrical Engineering and graduate degree in Business Administration.

 

 

     Andrew B. Weisman, Chief Investment Officer, Janus Liquid Alternatives
Background
Andrew Weisman is Chief Investment Officer, Liquid Alternatives. In this role, Mr. Weisman serves as the firm’s subject-matter expert and thought leader on multi-asset strategies. Mr. Weisman also co-manages Janus’ liquid alternative strategies and is a member of the Janus Capital Group Global Allocation Committee. Mr. Weisman uses proprietary, allocation methodologies to assist clients in combining traditional and non-traditional asset risk premia. Prior to joining the firm in 2012, Mr. Weisman was CEO of WR Platform Advisors, Inc., a technology platform and service provider of managed accounts, risk analytics, and investor reporting for hedge funds. Before that, he was Managing Director and Chief Portfolio Manager for Merrill Lynch’s Hedge Fund Development and Management Group. Prior to that he was Chief Investment Officer and Member of the Board of Directors for Nikko International. Mr. Weisman has published an extensive collection of articles on asset allocation and risk issues related to hedged portfolios. His research awards include the Bernstein Fabozzi/Jacobs Levy Award for Outstanding Article published in The Journal of Portfolio Management in 2002 and the 2003 GAIM Research Paper of the Year.

Education
He has a bachelor’s degree from Columbia College, a master’s in international affairs from Columbia and was awarded a doctoral fellowship to Columbia University’s Graduate School of Business, where he completed all coursework and comprehensive exams toward a PhD. He has over 28 years of experience in portfolio construction and risk management, particularly in alternative asset strategies. He serves on the board of the International Association for Quantitative Finance, the Editorial Advisory Board of the Journal of Portfolio Management, and as President of the Society of Columbia Graduates.

 Other QWAFAFEW Chapter Events
Tuesday, March 15, 2016, Boston QWAFAFEW Meeting: “Robo-Advisers:  Disruptors in the Financial Services Industry”, Dan diBartolomeo
Jarrod Wilcox

Abstracts

Jarrod will discuss robo-investing’s radical side — disruptive because of a changing business model that will challenge many current practices.
A hopeful aspect for investing professionals is the role that the discretionary wealth framework can play in integrating financial planning and investing.  He will show simple examples from the Wealthmate project.

Dan will illustrate in depth the evolution of pre-existing expert knowledge that makes a high quality robo-adviser practical.  He will cover the various analytical methods that have been deployed in automated investment processes at major firms.   To the extent that each of these automated processes is well accepted in the investment community, their aggregate forms a baseline for the requirements of a robo-investing service.  He will review two approaches to define investor preferences and risk aversion.   Finally, we will consider tax loss harvesting and methods to address real world issues such as risks of job loss, disability and divorce.

RSVP to hugh@QWAFAFEW.org

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

Wednesday, March 23rd (please note date change)- Tim Gaumer, CFA, Global Director of Fundamental Research at Thomson Reuters & Andrew B. Weisman, Chief Investment Officer, Janus Liquid Alternatives

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 Sol Steinberg, Founding Principal, OTC Partners

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.com if 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.

Details

Date:
March 23, 2016
Time:
5:30 pm - 8:15 pm

Organizer

Unnamed Organizer
Phone:
9179927852
Email:
hblank@qwafafew.org

Venue

Bar with New Name
356 W. 44th Street
NEW YORK, 10036
+ Google Map
Phone:
Unknown