Quaffers.org


SQA - for coming events and membership info, visit http://www.sqa-us.org

Denver QWAFAFEW Holiday Get together - Next Meeting Wed Dec 4; for more info, please e-mail denver@qwafafew.org

Chicago QWAFAFEW - Next Meeting TBA -Click Here for details

SF QWAFAFEW - Next Meeting TBA; Click Here

Next QWAFAFEW-NYC:
Tue December 10 2013 - "Linkage between ESG and Brand Strength" with Bahar Gidwani CFA, CSR Hub and "Leveraged Index Products for Long-Term Investment" with Jeff Stollman, Polymath - Click Here for more

Next Boston QWAFAFEW Tuesday December 17 2013 - Click Here

Inaugural Meeting of Los Angeles QWAFAFEW on Tuesday September 24 2013 was a rousing success. Next meeting to be announced soon. Please e-mail dan_m_dement@yahoo.org for more information - Also join Western Americas QWAFAFEW Subgroup on Linked-In

2014 Meetings being planned for DC, Dallas, and Pittsburgh. If you have interest in helping out in organization and/or program of QWAFAFEW in any of these 3 cities, please e-mail hblank@qwafafew.org


We wish all a very happy and healthy holiday season!

Next QWAFAFEW-Princeton:
Tue March 18 2014 - Program TBA

Click Here for more

Coming Soon - 2014 Meeting Schedule for NYC Chapter

Click here for other upcoming events of interest

HELP NEEDED - Interested in Serving on the QWAFAFEW-Tri-State Steering Committee? Please e-mail hblank@qwafafew.org with your contact data

PRMIA - Events & Educational Opportinities - http://www.prmia.org

Click Here for New Job Postings

 

 

On This Page Recent Presentation Files and Links of Interest Get On The Mailing List to receive meetings announcements

- About New York QWAFAFEW Chapter
- Other QWAFAFEW Chapter Events
- QWAFAFEW Chapter Addresses & Steering Committees
- How to become a member
- Past meeting dates and agendas and file references
- About this site


Julia M. Carty - In Loving Memory

1976 - 2011

Jan 8 2013 - NYC - Presentation - Melissa Brown and Dan diBartolomeo
Dec 4 2012 - NYC - Presentation - Steven Greiner PhD and Jim Pritchard
Nov 13 2012 - NYC - Presentation - Aakarsh Ramchandani and Rodney Sullivan CFA Institute
Oct 23 2012 - NYC - Presentation - Douglas McDonald PhD
Oct 9 2012 - NJ - Presentation - Aakarsh Ramchandani and Elliot Noma
Sep 27 2012 - NYC - Presentation - Richard Michaud PhD
Aug 28 2012 - NYC - Presentation - Daniel Satchkov CFA
Jul 24 2012 - NYC - Presentation - Florina Klingbaum
Jun 25 2012 - NYC - Presentation - Philip Bennett
Jun 05 2012 - Hartford CT - Presentation - Daniel Satchkov
May 22 2012 - NYC - Presentation - Evan Schulman and C. Michael Carty
Feb 28 2012 - NYC - Presentation - Indrani De and Andre Bertolotti
Jan 24 2012 - NYC - Presentation - Ron Ryan and Frederick Siboulet
Nov 29 2011 - NYC - Presentation - Dan diBartolomeo
Oct 25 2011 - NYC - Presentation - Larry Pohlman and Andre Mirabelli
Sep 27 2011 - NYC - Presentation - Manish Aurora and Inna Okounkova
Sep 26 2011 - Hartford CT - Presentation - Ashvin Viswanathan
Aug 23 2011 - NYC - Presentation - John Prestbo and Dave Nadig
Jul 19 2011 - NYC - Presentation - Michael Ashton and e-mail maryann.bartels@baml.com to request highlights from her presentation
Jun 28 2011 - NYC - Presentation - Elena Goldman
Jun 13 2011 - Hartford CT - Presentation - Matthew Moran
Jun 8 2011 - NYC - Presentation - Stephen Figlewski; for George Bonne presentation, http://online.thomsonreuters.com/forms/IMdownloads/
May 24 2011 - NYC - Presentation - Vinny Catalano
May 11 2011 - Princeton NJ - Presentation - Thorsten Schmidt, Robert Golan and Rick Labs
Apr 26 2011 - NYC - Presentation - Sebastian Ceria, Terry Marsh and Frank Nielsen
Mar 29 2011 - NYC - Presentation - Indrani De and Jaime Fitzgerald and e-mail margaret.stumpp@qmassociates.com to request highlights from her presentation
Mar 16 2011 - NYC - Presentation - Ruben Falk and Yin Luo
Feb 22 2011 - NYC - Presentation - Jim Liew and Astrid Prajogo
Feb 16 2011 - Princeton NJ - Presentation - Dan diBartolomeo and John Prestbo
Jan 25 2011 - NYC - Presentation - Ron Ryan and Jim Pritchard
Dec 9 - Princeton NJ - Presentation - Ruben Falk
Dec 8 - NYC - Presentation - Dan diBartolomeo and Gail Doolin
Nov 17 - NYC - Presentation - Martin Fridson and Max Golts
Oct 26 - NYC - Presentation - Don Alexander and e-mail matthew.rothman@barclayscapital.com to request his presentation
Oct 6 - Princeton NJ - Presentation - Joseph Mezrich and e-mail david.allen@firstcoverage.com to request his presentation
Sep 28 - NYC- Presentations - Boryana Racheva-Iotova and Steve Greiner
Sep 20 - Hartford CT - Presentations - Bill Miller , John Ruocco, Dave Nadig
Aug 24 - NYC- Presentations - 2010-08-24-ny-Gay.pdf.
For Richard Brown's August 24 presentation, please click
here
Jul 20 - NYC- Presentation - 2010-07-20-ny-Carty.ppt ; Email maryann.bartels@baml.com to request her presentation
Jun 29 - NYC - Presentations - 2010-06-29-qw-ny-Hill.pdf, also 2010-06-29-qw-ny-Appel.ppt
Jun 16 - NYC - Presentations - 2010-06-16-ny-Bogue.ppt, also 2010-06-16-ny-Renick.ppt
May 25-NYC -Presentation - Boneck
May 12 - Princeton - Presentations -Kushal Kshirsagar, William Rafter, Richard Suttmeier
For earlier presentations, please click on "Past presentations" link in left column, then scroll down to desired date. Don't see what you want? e-mail Herb at hblank@qwafafew.org

LINKS OF INTEREST
- www.qwafafew.org
- Professional Risk Managers' Industry Association
- Society of Quantitative Analysts
- Chicago Quantitative Alliance
- Chicago QWAFAFEW-past-sked
- Global Association of Risk Professionals
- Chartered Alternative Investment Analyst Association
- Indexuniverse.com

About This Site

Quaffers = colloquial nickname for QWAFAFEW Members (spelling using “Qu” in lieu of “QW” purposely inconsistent with organization name).

QWAFAFEW (pronounce “quaff-a-few”) = Quantitative Work Alliance for Applied Finance Education and Wisdom. QWAFAFEW is a not-for-profit club. It provides a collegial forum for sharing of analytical investment research. It also serves as a conduit for networking.

This site provides a user-run complement to official web site (qwafafew.org). It is run by New York chapter, but all other chapters are welcome to submit info about your past, present, and future meetings, as well as presentations' files (ppt or pdf). Also please make sure that your contact info on this page is correct.

About New York QWAFAFEW Chapter

We have meetings every month: presentations, discussions, networking.

Contacts for New York Chapter
Email: qwafnyc@yahoo.com
Chapter Administrator: moira727@yahoo.com - Moira Hand
President: cmcarty1@earthlink.net - Michael Carty NYC Chapter Co-Founder- 917-697-9464
Program Chair: hblank@qwafafew.org - Herb Blank - 917-992-7852 - NYC QWAFAFEW Chapter Founder & Steering Committee Chair
This website: selector@pipeline.com - Lev Selector - 212-795-3979
Organizational Purpose For quantitatively oriented investment professionals. To gather together informally, discuss quantitative issues, and relax over drinks with their colleagues.
Atmosphere Casual and informal
Officers Officers are elected by the general membership. The chapter president may guide the selection process for nomination of officers. New steering committee recruits are always welcome. Email to hblank@qwafafew.org if interested
Financial Issues QWAFAFEW is a not-for-profit club. Annual Dues are collected from members in addition to admission fees in order to cover meeting costs. Membership is on an individual, not a corporate basis. Presenters, members, and nonmember attendees are presumed to represent themselves, not their organization. Receipts are provided once per month. Members of other chapters (currently including Boston, Chicago, DC, Hartford, London, Princeton, San Francisco,Toronto, and Vancouver) pay membership rates to attend New York meetings.
Meeting Frequency Generally, 12 times per year, and at least once per month.
Membership: Becoming a member Membership is on a calendar year basis. Join at the door and attend that meeting at no charge. If you wish to join by mail. please send check payable to QWAFAFEW to Herb Blank c/o Rapid Ratings, 86 Chambers Street, Suite 701, NY, NY 10007.
Application: for those who wish to submit a Membership application for New York (not required) please click here
To aubmit a member application for the Princeton Chapter (also optional), please click here Princeton Chapter Membership Application
Linkedin group Members of linkedin.com are welcome to join QWAFAFEW networking group "QWAFAFEW Quantitative Investment Society" on Linked-In. The URL is http://www.linkedin.com/e/gis/59644/530E700BF98A

Next Meeting of New York Chapter

WEDNESDAY, November 13, 2013 in Midtown Manhattan 
 
 
"The Risks of Low Volatility Investing"
Robert Michaud, PhD, Chief Investment Officer, New Frontier Advisors

 

"Multi-period Portfolio Choice and Bayesian Dynamic Models"

Petter Kolm, Director of the Mathematics in Finance Masters Program and Clinical Associate Professor, Courant Institute of Mathematical Sciences, New York University
 

Gordon Ritter, PhD, Vice President, Statistical Arbitrage Group at Highbridge Capital, and Adjunct Professor, Courant Institute of Mathematical Sciences, New York University

 

Where: Patrick Conway's Pub - 40 E. 43rd Street - Downstairs Private Room - 1/2 b from Grand Central, http://www.patrickconways.com - ideal for business lunches, happy hour meet-ups and delicious casual suppers.


Start time: - 5:30 PM


Ending time: 8:30 PM




All are welcome. Please invite colleagues.

This is a PRMIA Partner Event.
Venue: Patrick Conway's Restaurant and Pub, 40 E. 43rd Street, Downstairs Room - 1/2 block from Grand Central Station;

RSVP to nyc@qwafafew.org. In text body, please provide the name, phone number, email, and membership/affiliation status for each attendee
Admission Fees: (Cash or Check payable to QWAFAFEW at the door please)
New Policy: a $10 surcharge will apply to anyone who has not RSVP'd by 7:30 AM on the morning of the event.
$30 for paid-up QWAFAFEW members (any chapter);
$35 for CQA members, SQA members, CQFs, MTA mwembers, and sustaining (paid) PRMIA members;
$40 for full-time students, those between positions, CAIA's, CTHFA members, FWA members, IAFE, 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;
Pay 12-month membership dues of $100 at the door (CHECK to QWAFAFEW or CASH only), attend this meeting for free;
Student membership now available for $50 (first meeting free).
Between Positions? Transitional membership now available for $75 (1st meeting free)
Due to rising costs, the Steering Committee has approved fee increases in memberships effective March 1, 2013 - so become a member at this meeting and lock in the current lower rates until 2014
(the new rates will be $120/$60 for students/$80 for between positions).
To learn more about QWAFAFEW Quantitative Investment Networking Society and to sign up for our mailing list, sign up at www.quaffers.org to receive these email announcements directly
AGENDA
5:30- 6:15 Registration, Networking, and Refreshments
6:15 - 6:20 Chapter Business - Mike Carty, New Millennium Advisors & Herb Blank, S-Network LLC
6:20 - 7:15 Presentation #1

7:15 - 7:30 Refreshment and Networking Break
7:25 - 8:25 Presentation #2

8:30 pm Adjournment

NYC meetings are usually held on Tuesdays on 43rd Street in Manhattan near Grand Central Station at Patrick Conway's Pub & Restaurant (downstairs), 40 E 43rd St (between Madison & Vanderbilt), NY, NY 10017 – ½-block from Grand Central Station).

To receive email notifications - please go back to the top of the page and fill in your name and e-mail address in the rightmost column. You will be e-mailed to confirm your subscription to our free newsletter.

Time: 5:30 PM – 8:15 PM.

Admission - all are welcome. Please RSVP.
Fees:
$30 for Paid-Up Members of QWAFAFEW-NYC;
$40 for members of CAIA, CQA, PRMIA, SQA, GARP or any CFAs, unemployed students and/or members of this Linked-In group;
$50 for all other RSVPs.

To RSVP: Email nyc@qwafafew.org and put date of event you wish to attend in Subject Line. In text body, please provide the names, phone numbers, organizations (if any), emails, and membership status for each attendee.

Note: ONLY cash or check (to QWAFAFEW) can be accepted. NO PLASTIC. Paper receipts are available upon request.

Membership: You need not be a member to attend but there are benefits. Membership is noiw on a 12-month basis. NYC dues for 2011 are only $100 (Students $50, Jobless $75). Join by cash or check payable to QWAFAFEW at the door and attend that meeting for free.  If you wish to join by mail, please send check (ONLY) made to QWAFAFEW to Herb Blank, Rapid Ratings International, 86 Chambers Street, S uite 701, NY, NY 10007

Application: for those who wish to submit a Membership application (not required) please click here

Pay membership dues at the door (CHECK to QWAFAFEW or CASH only) and attend this meeting for free.

 

 

Special Meetings

Users Group for QWAFAFEW- Quantitative Work Alliance

Venue: Patrick Conway's Pub & Restaurant (downstairs), 40 E 43rd St (between Madison & Vanderbilt), NY, NY – ½-block from Grand Central Station. www.patrickconways.com

Admission Fees accepted at door (cash or check to QWAFAFEW, no plastic):

 


Admission Fees: $30 for Paid-up Members of any QWAFAFEW Chapter and/or Sustaining PRMIA members

FOR THIS MEETING ONLY, Email qwafafew.nyc@gmail.com. We will only be able to accept the first 75 verified RSVPs. But, we will maintain a waiting list if we are fully subscribed. So, if you will be unable to attend. If it's last-minute, please call Herb at 917-992-7852.

On your RSVP, please provide your name, THE CHAPTER of which you are a dues-paid member, Organization, and a contact phone number. One e-mail per attendee please. ONLY cash or check (to QWAFAFEW) can be accepted. NO PLASTIC - paper receipts available. Questions? Call Herb, 917-992-7852.

 

 

Meeting Schedule for QWAFAFEW-NYC in 2013

Location is usually the same (see map above). Day is Tuesday (Except when otherwise specified)

Date Agenda
Tuesday
January 8, 2013

FIRST MEETING of 2013 - The State of Risk Modeling and Analytic Tools
Melissa Brown, Executive Vice President, Axioma Inc.
Dan DiBartolomeo, CEO and Founder, Northfield Information Systems

Tuesday
January 29, 2013
Risk Analytics for Hedge Fund Managers and Currency Traders
Jon Kinderlerer PhD, Credit Suisse Prime Brokerage Risk Management
Alexander Dunegan, State Street Global Markets and Matthew Lyberg CIPM, Acadian Asset Management
Tuesday
February 26, 2013

De-constructing Black-Litterman and Beyond & Economic Risks: Attempting to Measure the Unmeasurable
Richard Michaud, PhD, CEO & Founder, New Frontier Advisors
Deborah Berebichez, PhD, Quantitative Risk Consultant, MSCI

Tuesday
April 2, 2013

Quantitative Strategies and Their Implementation
Savita Subramanian and Alex Makedon, BA Merrill Lynch
Alper Atamturk, University of California Berkeley and Bloomberg LP

Tuesday
April 23, 2013

Fifty Shades of ETFs
David Abner, Director - Institutional Sales, Wisdom Tree Asset Management
Matthew Moran, Vice President - Index Products, Chicago Board Options Exchange

Tuesday
May 28, 2013

Applicability of Sharpe Ratio in Near-Zero-Interest-Rate Environments & A New Perspective on Trading Systems Analytics
Marcos Lopez de Prado, Head of Global Quantitative Research, Tudor Investment Corporation
David Marra, CEO, Boston Post Analytics

Tuesday
June 25, 2013

Quantitative Research on Strategy Indexes
Jason Hsu, Chief Investment Officer, Research Affiliates
Ted Stover, Managing Director - Research & Analytics, FTSE Americas

Tuesday July 23 2013

Portfolo Strategies from Chief Investment Officers
Mary Ann Bartels, CIO, Merrill Lynch Wealth Strategies &
Mike Carty, CIO,New Millennium Advisors

Tuesday August 27 2013

Quantitative Trading Research
Marcos Lopez de Prado, Head of Global Quantitative Research, Hess Trading;
Alexander Izmailov Market Memory Trading LLC

Tuesday September 24, 2013

Applied Optimaztion Problems
"Currency Risk and Globilisation", Jason MacQueen, MD, R-Squared Risk Management;
"Power-Log Optimizaion", Jivendra Kale, Professor, St. Mary's College of California

Tuesday October 22, 2013 ETF Trading Efficiency and Inefficiencies Panel Discussion
Brandon Clark, Vanguard; Ron Fernandes, Avatar; Chris Hempstead, WallachBeth; moderated by Richard Radnay, XTF;
followed by an index research presentation by Jennifer Bender PhD, MSCI
WEDNESDAY November 13 2013

Volatility and Reurns: Behind the Numbers
Robert Michaud, New Frontier Advisors;
Petter Kolm PhD and Gordon Ritter, Phd, NYU Courant Institute

Tuesday December 10, 2013

Examining the Disconnection between Economics and Finanical Risk Engineering
Merav Ozair, PhD, Mackabie Capital
A Comparison of Leveraged Index Products for Long-Term Investment

Jeff Stollman, ITU-T

QWAFAFEW Chapters

Click here to get on a mailing list of one or several of the QWAFAFEW chapters (other than NY,CT, NJ)
Note - for New York, Hartford CT, and Princeton NJ - sign on the top of this page.
To become a member and get discounts - contact corresponding chapter.

Chapter Info
New York - email: NYC@qwafafew.org
- meetings: Patrick Conway's Pub & Restaurant (downstairs), 40 E 43rd St (between Madison & Vanderbilt), NY, NY 10017
-steering_committee_nyc.doc
-NYC Chapter Membership Application
Chicago - email: chicago@qwafafew.org
- RSVP: https://www.acteva.com/go/ChicagoQWAFAFEW
- meetings occur at Chicago-area financial services institutions and universities.
- steering_committee_chicago.doc
Boston

- email: Hugh@qwafafew.org
- meetings: 3rd Floor of the Tennis & Racquet Club, 939 Boylston Street
- [call 617-536-4630 for directions]
- steering_committee_boston.doc

Hartford, CT

- email: hartford@qwafafew.org
- meetings: City Steam Brewery Café, 942 Main St., Hartford, CT 06103
- steering_committee_hartford.doc

Princeton, NJ - email: princeton@qwafafew.org
- meetings: Nassau Club, 6 Mercer Street, Princeton, NJ
-Princeton Chapter Membership Application
Denver - email: denver@qwafafew.org
- meetings: Marco’s Coal Fired Pizza, 2129 Larimer St., Denver
- steering_committee_denver.doc
San Francisco - email: sanfrancisco@qwafafew.org
- meetings: L'Olivier French Restaurant, 465 Davis Ct, San Francisco, about 4 1/2 blocks north of Market Street from the Embarcadero BART station.
- steering_committee_sf.doc
Vancouver

- Efforts now active to locate a new home for website as googlegroups.com will soon be unsupported. Ideas? Please contact Jeff Wiebe
- email: qwafafew-vancouver@googlegroups.com
- contact people - Jeff Wiebe at jtwiebe@gmail.com or 778.628.6744; Dion Roseman at DRoseman@cclgroup.com
- meetings: at The Vancouver Club and other various area venues as available

other There are efforts to open/revitalize groups in Washington DC, LA Metro, Dallas, Toronto.
If interested in these or other locatrions- please contact Herb Blank via email: hblank@qwafafew.org

To receive email notifications for chapters in New York, New Jersey, and Connecticut - fill out the form on the top of this page.

For all other locations use this form: click here to get on the mailing list (note - do NOT use it for NY, NJ, CT).

Other QWAFAFEW Groups and Events

Other QWAFAFEW Groups and Events:

Wednesday October 10, 2012

Triumph Brewing Company

138 Nassau St. #A

Princeton, NJ 08542

 

WEDNESDAY October 10 - QWAFAFEW- Aarkarsh Ramchandani, Director of Client Solutions, Revere Data "How GICS Erodes Alpha"

Venue: Triumph Brewing Company, 138 Nassau Street, #A, Princeton NJ 08542; (609) 924-7855www.triumphbrewing.com/princeton

Admission details (CASH or personal checks only - NO plastic): RSVP to qwafafew.princeton@gmail.com

Food and soft drinks included.  Cash Bar.  

$20 for paid-up QWAFAFEW members from any chapter and sustaining PRMIA members.  

$30 for students, full-time academics; members of the SQA, free PRMIA members, CQA members, CAIAs, CFAs, CMTs, NYSSA memberIAFE members, GARP members, and those without full-time paid positions.

$40 for others. Princeton Membership paid for in 2011 is now good for 2012 since we've had a 9-month hiatus in meetings. Become a Princeton member at the door for $50 and attend this meeting for free.

Time and Date: Wednesday October 10, 5:30 PM - 7:30 PM.  Program begins at 6:10 PM.

Aakarsh Chandani is Director of Client Solutions at Revere Data. He has been with the firm since 2010. He has investment banking experience from Madosn Howe Hunter and worked as a programmer at Ohio Wesleyan University where he also earned his degree.

 

 

Date Where Agenda

February 19, 2013 Tuesday

Boston. MA

 

Next Boston QWAFAFEW Meeting: Tuesday, 19 January 2013
Time: 6:15 PM sharpe
3rd Floor of the Tennis & Racquet Club, 939 Boylston Street
RSVP to Hugh@QWAFAFEW.org

Structural Model of Sovereign Debt - Dan diBartolomeo, Northfield Information Systems

 

 
 
A QWAFAFEW discussion led by:
 
 Guillaume Weisang
Baed on Joint Work with Thierry Roncalli
 
Abstract
 

Portfolio construction and risk budgeting are the focus of many studies by academics and practitioners. In particular, diversification has spawn much interest and has been defined very differently. In this research, we analyze a method to achieve portfolio diversification based on the decomposition of the portfolio's risk into risk factor contributions. First, we review principles to achieve risk parity under Non-Gaussian Risk Measures. Second, we expose the relationship between risk factor and asset contributions. We formulate the diversification problem in terms of risk factors as an optimization program. Finally, we illustrate our methodology with some real life examples and backtests, which are: budgeting the risk of Fama-French equity factors, maximizing the diversification of an hedge fund portfolio and building a strategic asset allocation based on economic factors.

 
 
 
Bios:
Guillaume Weisang is Assistant Professor of Finance at the Graduate School of Management at Clark University in Worcester, MA. His formal training and personal interests lie in the overlap between business (esp. finance), applied mathematics (including statistics) and computer science. A recent graduate from Bentley University's doctoral program in Business (2011), his research interests include: Bayesian statistics and Bayesian econometrics, times series, hedge fund performance evaluation and replication, hedge fund systemic risk. While at Bentley, Weisang received the Best PhD student in Business Award, 2007-2008
 
Hugh Crowther is Treasurer at Boston QWAFAFEW
 
Please RSVP hugh@QWAFAFEW.org



------
Executive Management Associates (EMA) is now managing the billing and dues collection for Boston QWAFAFEW

Charlene Glorieux and EMA come highly recommended by the Boston Committee on Foreign Relations. EMA has been managing the BCFR for many years.

Please note the following changes:

· All annual dues ($150) should be paid to Boston QWAFAFEW by check or credit card through EMA.
By check:
Executive Management Associates
12 Academy Avenue
Atkinson, NH 03811
bostonqwafafewbilling@gmail.com

· By credit card (PayPal) http://qwafafew.org/BostonPayDues.html
Link at the bottom of Boston QWAFAFEW home page. If payment is made close to the meeting, bring receipt.
bostonqwafafewbilling@gmail.com

· 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, Boston Fire Dept).

· All current annual members should contact EMA to be sure they are properly recorded as being paid up. We will be maintaining two mailing lists; one for paid members and one for everyone else.

· Guest fees ($30) can be paid through EMA (check or PayPal, bring receipt). We still allow walk-ins (space permitting). The $30 guest fee can be paid by cash or check at the door, no credit cards at the meeting.

· EMA can be reached at bostonqwafafewbilling@gmail.com

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

Questions, comments:
· bostonqwafafewbilling@gmail.com
· hugh@QWAFAFEW.org

Guest fee for attendance is $30. Members attend at no charge. Send e-mail to hugh@qwafafew.org for inquiries

Wednesday October 10, 2012

Triumph Brewing Company

138 Nassau St. #A

Princeton, NJ 08542

 

WEDNESDAY October 10 - QWAFAFEW- Aarkarsh Ramchandani, Director of Client Solutions, Revere Data "How GICS Erodes Alpha"

Venue: Triumph Brewing Company, 138 Nassau Street, #A, Princeton NJ 08542; (609) 924-7855www.triumphbrewing.com/princeton

Admission details (CASH or personal checks only - NO plastic): RSVP to qwafafew.princeton@gmail.com

Food and soft drinks included.  Cash Bar.  

$20 for paid-up QWAFAFEW members from any chapter and sustaining PRMIA members.  

$30 for students, full-time academics; members of the SQA, free PRMIA members, CQA members, CAIAs, CFAs, CMTs, NYSSA memberIAFE members, GARP members, and those without full-time paid positions.

$40 for others. Princeton Membership paid for in 2011 is now good for 2012 since we've had a 9-month hiatus in meetings. Become a Princeton member at the door for $50 and attend this meeting for free.

Time and Date: Wednesday October 10, 5:30 PM - 7:30 PM.  Program begins at 6:10 PM.

Aakarsh Chandani is Director of Client Solutions at Revere Data. He has been with the firm since 2010. He has investment banking experience from Madosn Howe Hunter and worked as a programmer at Ohio Wesleyan University where he also earned his degree.

 

 

San Francisco Tue Nov 6 2012

 

L'Olivier French Restaurant

465 Davis CT San Francisco CA 94111

 

 

Nov 6, 2012: Aleksander Sobczyk on The Promise of Unstructured Data: Exploring Hidden Value in News and Text

Abstract: Unstructured Data" in the form of news, earnings call transcripts, regulatory filings, or even social media posts, holds great potential for quantitative financial managers. We will review recent advances in the text and sentiment analytics, as applied to systematic trading and investment strategies. Using advanced natural language processing techniques to quantify the tone in news, we will show that equity markets tend to under-react to the arrival of new information, and alpha generated from such models is relatively orthogonal to the traditional quant factors.

Speaker Bio: Aleksander Sobczyk is the head of quantitative research team for Machine Readable News at Thomson Reuters. Prior to his work at Thomson Reuters, Aleks was a Senior Fixed Income Research Analyst at BondDesk Group, developing models supporting electronic bond trading. Before that, he was Portfolio Manager for a quantitative hedge fund, managing global long/short equity strategies. Aleks holds PhD in Physics from Stony Brook University and BA/MS in Theoretical Physics from Jagiellonian University. 

REGISTRATION

Use the acteva link below for full details and to register for the meeting or to purchase annual membership.

http://www.acteva.com//booking.cfm?bevaid=233689

 

Thursday January 31 2013

 

Marco's Coal Fired Pizza

2129 Larimer Street, Denver, CO

 

 

QWAFAFEW DENVER - Thursday January 31, "The National Debt: Myths and Reality", Winthrop Smith, Win Analytics

The National Debt: Myths and Reality

Where: Marco's Coal Fired Pizza, 2129 Larimer St., Denver 80205

Start time: Thu, January 31, 2013 - 5:30 PM

Ending time: Thu, January 31, 2013 - 8:00 PM

Description:

Date/Time: Thursday, January 31, 2013, at 5:30PM. Networking, hors d'oeuvres; 6:15 PM: Presentation

Location: Marco's Coal Fired Pizza, 2129 Larimer St., Denver 80205 (we are now alternating between Marco's LoDo and the Tech Center)

Non-Member Admission: $40 cash/checks only payable to QWAFAFEW-Denver

RSVP: Secure your seat by emailing your registration and sending your check to the following address prior to the event. Please make checks payable to QWAFAFEW Denver.

Address: Secretarial Solutions, 6057 S. Lakeview St., Littleton CO 80120

Questions: Email Denver@qwafafew.org

Presentation Summary:

“The National Debt: Myths and Reality”: The national debt dominates the news, but it is shrouded in misconceptions. A close examination of the debt as a bond portfolio can help to separate the myths from the surprising reality. We will consider how the debt is managed, the role played by the Fed, and the risks that the debt could pose.

Speaker: Winthrop T. Smith, Win Analytics LLC

Mr. Smith is the President of Win Analytics LLC, an independent financial consulting firm which provides research, advice, valuations, and litigation support. Recent clients have included a major European bank, a large real estate company, a national consortium of non-profit agencies, and a for-profit college.

Previously, Mr. Smith was CFO of a $7 billion education finance company, and before that he structured billions of dollars worth of bond offerings and securitizations as an investment banker and financial analyst. He holds an MSC in Mathematical Finance from Christ Church College, Oxford University and a degree in mathematics from Yale University

Recent Activity for Denver
Files
Denver Bond Pricing, Monetary Policy and Interest Rate Dynamics - Burton Hollifield, Carnegie Mellon University
Denver Behavioral Measures of Expected Market Returns - Thomas Howard, AthenaInvest
Denver Behavioral Measures of Expected Market Returns - Thomas Howard, AthenaInvest
Denver Variations on Minimum Variance - Ruben Falk, Capital IQ
Denver Investors’ Horizons and the Amplification of Market Shocks (Presentation) - Andrew Ellul, Indiana University
Denver Investors’ Horizons and the Amplification of Market Shocks (Paper) - Andrew Ellul, Indiana University
More Files >>


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Monday September 10, 2012

Hot Tomato's, 1 Union Plaza at Asylum, Union Station

Hartford, CT

Technically Speaking with Mary Ann Bartels CFA, Head of Technical and Market Analysis, B of A Merrill Lynch

What are the current technical and asset flow trends in the markets? What shifts are occurring in leadership? Particular attention will be paid to which hedge fund strategies have been working recently.

5:00 Registration & Refreshments. Ms. Bartels goes on at 5:45. Adjournment is 7:00 PM. QWAFAFEW, Hartford CFA & Sustaining PRMIA members pay $20; most others pay $30.Food & Soft drinks included. Cash bar.
Cash or check at door for admission. e-mail hartford@qwafafew.org with your RSVP before September 4 and save $5 on you admission. Call Herb Blank at 917-992-7852 with questions.

All are welcome to attend.

Time: 5:00 PM 7:00 PM NEW Venue: Hot Tomato's - One Union Station, NE corner of Union Street and Asylum Street, Hartford, CT 06103 http://www.hottomatos.net

RSVP to hartford@qwafafew.org or qwafafew.hartford@gmail.com

Admission Fees accepted at door (cash or check to QWAFAFEW, no plastic):
$20 for paid-up QWAFAFEW members of any chapter at the door, Hartford CFA Society members, and sustaining PRMIA members;
$25 for CQF Designates, CAIA's, members of any other CFA Society, Alumni of any CT-based college, and SQA Members
$35 for members of CQA, FWA, IAFE, PRMIA (free members), GARP, SPA, FIRMA, LQG, BPOE, or any CFAs, CMTs, and/or members of any Quant-affiliated Linked-In group; $40 for all other RSVPs;

Special deals: Pay 12-month dues of $40 at the door (CHECK to QWAFAFEW or CASH only), attend this meeting for free.
New offer this year for full-time students, Student membership now available for $30 for 2012 (first meeting free). Transitional membership now available for $35 for 2012 (first meeting free)
To learn more about QWAFAFEW Quantitative Investment Networking Society and to sign up for our mailing list, sign up at www.quaffers.org to receive these email announcements directly.

We wish to thank the Hartford CFA Society (www.hartfordcfa.org) for their continued support of QWAFAFEW-Hartford.

Beyond QWAFAFEW: Other Events of Interest

Date Where Agenda

May 15 - 17 2012

PRMIA Global Risk Conference

 

1

Marriott Marquis

1535 Broadway, NY 10036 @ 45th Street

This is the link to the Global Risk Conference: http://www.prmia.org/globalriskconference/

All QWAFAFEW members and newsletter subscribers will receive a 5% if they use the code below. The prices of the conference is at its lowest before Feb. 29. If they use the code and register by this date, this would give you the best savings.

Discount Code:

GLO_EV_9HX2

 

LUMINARY SPEAKERS include David X. Li of CICC; Allan Malz of the New York Fed; Ben Golub of BlackRock; Henry Azzam of Deutsche Bank - and many more - If you are in Quantitative Risk, you cannot afford to miss this event!

 

Wednesday March 7th - CQF Seminar NYC & Thursday March 8th Webinar for all in US region

Concierge Conference Center - 780 3rd Avenue @48th St., NYC, NY

 

CQF Information Seminar - the Global Standard in Financial Engineering -

Find out more about the quantitative finance industry, your career options within it and the CQF by attending one of our information sessions, where you can meet active quants, members of the CQF team and course alumni. Each session lasts approximately 1 hour. All info sessions take place in a central location in a specific city, and include drinks, refreshments and networking after the presentation.
http://www.cqf.com/admissions/information-session-dates for more details.

Can't make it to Midtown on March 7th? Here's a second chance: Find out more about the quantitative finance industry, your career options within it and the CQF by logging into one of our online information sessions where you can find out about the program and ask questions directly to members of the CQF team. Each session lasts approximately 1 hour.
http://www.cqf.com/admissions/webinar-dates for details.

Thursday June 14, 2012 - CQA/SQA Event - 12:00 - 5:00 PM

60 Wall Street, New York, NY

CQA/SQA Annual Trading Conference

The CQA and SQA are pleased to present our Annual Trading Conference, on June 14th in New York City, hosted by Deutsche Bank.  CQA Members may register for free at www.cqa.org.  SQA members and other guests may register here.
Schedule
12:00pm: Registration (a light lunch will be served)

1:00pm Maureen O'Hara, Cornell University
"The Volume Clock: Insights into the High Frequency Paradigm"

2:00pm Chase Lochmiller, GETCO Execution Services
"Demystifying Market Making"

3:00pm Miguel Alvarez, Deutche Bank
"Short-term Alpha"

4:00pm Dmitry Rakhlin, AllianceBernstein
"High Frequency Trading and Long-term Investors: A View from the Buy-Side"

5:00pm Cocktails & Networking Reception

Early Registration Fees (prior to 6/11/12) 
$40 SQA Members; $80 Non-members; $60 IAFE, LQG, and QWAFAFEW Members. 


Early registration ends and fees will increase $10 on 6/11/12. 


For more, visit http://www.sqa-us.org

 

 

 

Hartford CFA Society March 22

5:30 - 7:30 PM

The Colony Club, Springfield, MA

Commodities: The Case for a Strategic Asset Allocation - presented by the Hartford CFA Society

Speaker: Keith Black

Keith Black has over twenty years of financial market experience, serving approximately half of that time as an academic and half as a trader and consultant to institutional investors. He currently serves as Associate Director of Curriculum for the CAIA Association. During his most recent role at Ennis Knupp + Associates, Keith advised foundations, endowments and pension funds on their asset allocation and manager selection strategies in hedge funds, commodities and managed futures. Prior experience includes commodities derivatives trading at First Chicago Capital Markets, stock options research and CBOE market-making for Hull Trading Company, and building quantitative stock selection models for mutual funds and hedge funds for Chicago Investment Analytics. Dr. Black previously served as an assistant professor and senior lecturer at the Illinois Institute of Technology's Stuart school, where he taught courses in both traditional and alternative investments. He contributes regularly to The CFA Digest, and has published in The Journal of Global Financial Markets, The Journal of Trading, The Journal of Financial Compliance and Regulation, The Journal of Investing, The Journal of Environmental Investing, and Derivatives Use Trading and Regulation. He is the author of the book "Managing a Hedge Fund." Dr. Black was named to Institutional Investor magazine's list of "Rising Stars of Hedge Funds" in 2010. Dr. Black earned a BA from Whittier College, an MBA from Carnegie Mellon University, and a PhD from the Illinois Institute of Technology. He has earned the Chartered Financial Analyst (CFA) designation and was a member of the inaugural class of the Chartered Alternative Investment Analyst (CAIA) candidates.

Members: $5 / Non-Members: $30. For more details visit www.hartfordcfa.org or click this link:

http://www.cfasociety.org/hartford/Lists/Events%20Calendar/DispForm.aspx?ID=65&Source=http%3A%2F%2Fwww%2Ecfasociety%2Eorg%2Fhartford%2FPages%2FHome%2Easpx

 

Thursday March 22 - NYSSA Seminar - A Special Event

NYSSA Conference Center

1540 Broadway, Suite 1010, NY, NY 10036

Defined Benefit Pension Panel

New regulations, confusing capital markets, and deteriorating plan financial positions pose new challenges for pension investment managers. Questions arise such as What are realistic investment expectations? Where are better risk-adjusted investment opportunities? Are standard analytical tools like Mean-Variance or VAR still viable? Should there be a re-think of the various dimensions of pension risk to plan participants and corporate shareholders? To tackle these issues you have to develop short-term tactics and long-term strategies. Attend this program to hear solutions from leading defined benefit plan investment practitioners.

Register now by clicking on: http://www.nyssa.org/programs/mastercalendar/tabid/121/vw/3/itemid/336/d/20120322/Defined-Benefit-Pension-Panel.aspx


 

Past Meetings and Presentations (ppt & pdf files)

Past Agenda Index: for those who wish to view past meeting agendas for most chapters, please click here

 

Job Postings (Quant-Related only) (ppt & pdf files)

Posted 11/26/2012 by jennifer@westwood-partners.com

Senior Quantitative Researcher/Portfolio Manager needed to build and manage a small team focused on portfolio construction and risk in Toronto. This person will be responsible for understanding, managing and reporting aggregate portfolio exposures and risks. Our client is a professional investment management organization with over $150bn in AUM. We are looking to help our client find a strong investment/risk professional who has a good understanding of managing investments and constructing portfolios across all global asset classes.  This individual will also be responsible for managing the risks of the same global macro portfolio and will do so with the help of a small team. 

Responsibilities:

 

*              Develop and communicate a thorough understanding (qualitative and quantitative) of the exposures, risks and performance drivers of the portfolio (e.g. statistical estimates, factor-based models, custom indices, forward-looking scenarios)

*              Recommend hedges for the overlay portfolio, changes to the risk allocation between portfolios, and the additions of risk controls; provide the day to day management of the overlay positions

*              Oversee the research and implementation of world-class portfolio construction, transaction costs forecasting, performance attribution, and provide quantitative research on topics common across all the portfolios (e.g. factor weighting)

*              Provide input and constructively challenge portfolio positioning and research initiatives

*              Maintain a thorough grasp of current market conditions and the economic outlook

*              Maintain and reinforce a strong culture based on partnership, high performance, humility and integrity

 

Requirements:

 

*              Masters degree in fields related to Finance, Economics, Statistics, and/or Operation Research

*              Minimum 10 years of relevant experience, with a minimum of 5 years with direct asset management experience

*              Demonstrated track record to lead a team and execute on ambitious business plans

*              Solid knowledge of risk, modern portfolio theory, and macroeconomics

*              Detail-oriented with ability to produce creative and realistic ideas

*              Good communication and listening skills

*              Collaborative nature and ability to work well in a team environment

 

In addition to the above requirements, a strong options background would be considered an asset for this role.

If interested, please contact: Jennifer Fetta at jennifer@westwood-partners.com or at 212.672.3359

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Director, Sector Allocation and Quantitative Resarch - Posted August 1 2012 on behalf of Fidelity Investments along with 2 fixed income positions listed below

The Position: Director, Sector Allocation and Quantitative Research

We are seeking a senior investment professional to serve as a primary sector allocation and portfolio construction resource that helps generate alpha for products built by this team.  The Director, Sector Allocation and Quantitative Research will lead the research efforts focused on developing new sector-based investment products and solutions and will have primary responsibility for the design and implementation of our alpha seeking sector allocation models, investment philosophy and framework.

The position will help to set the strategic direction for the effort and contribute to overall investment strategy by generating the research and resources necessary to substantiate key strategic and tactical sector allocation decisions.  The Director, Sector Allocation and Quantitative Research will also help develop thematic investment ideas and work with the senior sector strategist, portfolio and product managers to commercialize those themes.

The Director, Sector Allocation and Quantitative Research has a high level of independence and autonomy and will foster an environment of innovation.  Demonstrated creativity and out-of-the-box-thinking are critical.  Sufficient experience to apply market research, build models to test/confirm theories, and publically communicate a point of view on sectors is also required.

Qualifications

PhD or advanced degree in math, financial engineering, statistics, or other related field

Interested applicants, please e-mail allison.wilson@fmr.com

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The Position
Fidelity is looking to hire a Quantitative Research Analyst to join its Fixed Income Division. This position will be located in Fidelity’s office in Merrimack, New Hampshire. This individual will focus on supporting liability-driven portfolios through excellence in analytic development, thought leadership, and investment recommendations.

Responsibilities

Qualifications

This is a unique opportunity to work with high caliber investment professionals in one of the premier Fixed Income investment management divisions in the world. The ideal candidate will have demonstrated consistent success in his or her academic experience and his or her work experience.  He or she will have very strong analytical and communication skills and exhibit the highest level of personal and professional integrity. He or she will be able to think creatively, work independently and be able to make decisions quickly, often with limited information.  The ability to consistently develop, clearly articulate and effectively communicate investment recommendations supported by a comprehensive and thoughtful research process is critical to success in investment management at Fidelity.

Values
The following values are considered to be fundamental to the way in which our company operates:

Interested applicants, please e-mail allison.wilson@fmr.com

--

The Position
Fidelity is looking to hire one Quantitative Research Analyst to join its Fixed Income Division. This position will be located in Fidelity’s office in Merrimack, New Hampshire. This individual will focus on supporting taxable bond portfolios through excellence in analytic development, thought leadership, and investment recommendations.

Responsibilities

Qualifications

This is a unique opportunity to work with high caliber investment professionals in one of the premier Fixed Income investment management divisions in the world. The ideal candidate will have demonstrated consistent success in his or her academic experience and his or her work experience.  He or she will have very strong analytical and communication skills and exhibit the highest level of personal and professional integrity. He or she will be able to think creatively, work independently and be able to make decisions quickly, often with limited information.  The ability to consistently develop, clearly articulate and effectively communicate investment recommendations supported by a comprehensive and thoughtful research process is critical to success in investment management at Fidelity.