THE QUANTster blog

Boston | QWAFAFEW

http://www.qwafafew.org/boston-20080219

Next Boston QWAFAFEW Meeting: Tuesday, 19 February 2008
Time: 6:15 PM sharpe
3rd Floor of the Tennis & Racquet Club, 939 Boylston Street
[call 617-536-4630 for directions]
RSVP to Boston@QWAFAFEW.org
 

a QWAFAFEW discussion led by: Van Harlow, FMR

Topic: Demographic Changes and Economic Growth

ABSTRACT
Using an extensive population database developed by the United Nations, this study examines the historical and projected age structures of a large number of countries. More importantly, it explores the links of country-specific demographic characteristics to the intertemporal and cross-sectional performance of asset markets and economies. Significant relationships are found between various determinants of age structure and changes in age structure and future economic growth. Based on these relationships, forecasts of economic growth are developed for 42 countries using medium-variant projections of long-term fertility rates and child mortality.

NYC / QWAFAFEW

Tuesday, February 26th, 2008
Speakers: Stuart J. Rosenthal, Credit Suisse Volaris, Adam Burczyk, Actuarials Holdings, LLC
Venue and Time: Tuesday, February 26th, 2008, 5:45 - 8:45 pm
Patrick Conway's Pub & Restaurant
40 E 43rd St (between Madison & Vanderbilt), NY, NY
Admission: (Please note that rising costs have necessitated the raising of admission fees, as follows:) $30 for Paid-Up Members of QWAFAFEW-NYC in 2008 (must have already paid dues for 2008 or pay with admission for this meeting) $40 for Members of the following investing-related organization (any CFA society, CAIA, CQA, FAMMS, PRMIA, or any other QWAFAFEW chapter; members of the financial press and full-time business students also may pay this reduced rate).
$50 for non-members of QWAFAFEW or any of the above affiliates.

Dress code and everything else about QWAFAFEW is casual.

To RSVP: Please e-mail nyc@qwafafew.org and put date of event in Subject Line. Please include the names, phone numbers, Organization Names for name tags, e-mails, and zips for all attending.

ONLY cash or check (to QWAFAFEW) can be accepted. NO PLASTIC.
Paper receipts are available upon request. Remember, 2008 Membership dues are now $90. Bring a check with you to the meeting, or follow the instructions at the end of this missive.

AGENDA
5:45 - 6:25 pm Registration and Networking
6:25 - 6:35 pm Chapter Business, C. Michael Carty, Chapter President
6:35 - 7.15 pm   Presentation 1:
Stuart J. Rosenthal, Credit Suisse Volaris, "Volatility as an Investible Asset Class”

*Volatility-based products, instruments and volumes have experienced tremendous growth in recent years
*Volatility strategies can be used to reduce risk and improve return
*Investors interested in volatility strategies can hire an experienced volatility manager
*Volaris is a specialized active volatility management group within the Alt. Investments division at Credit Suisse

7:15 - 7.30 Break
7:30 - 8.15 pm   
Presentation 2:  Adam Burczyk, CEO and Chairman, Actuarials Holdings, LLC

*Value-at-Risk and other stat forecast metrics no longer provide reliable protections for capital-at-risk
*Post 2007-8, to improve RaRoC amid adverse whiplash tail risk, quant shops need to eliminate tails altogether from speculative positions – eliminating underlyings, futures, and options and moving to non-tailed instruments
*Non-tailed instruments provide enhanced RaRoC with existing valid quant methods
*Non-tailed instruments are almost always in the long run superior to tailed instruments when pursuing improved RaRoC

8.30 pm Go Home
About our Speakers: Stuart Rosenthal is a Director at Credit Suisse Volaris. As a senior member of the portfolio management and trading team, Stu is responsible for portfolio management and research of investment volatility strategies. Prior to joining Volaris, Stu was an Assistant Portfolio Manager at Rampart Investment Management, a Boston-based boutique specializing in option-related strategies. Stu was also an Analyst at GMO in Boston and served as a Captain at the U.S. Air Force's Electronic Systems Center, Hanscom AFB, MA. Stu earned his MS in Operations Research from Northeastern University and his BS in Applied Statistics from Rochester Institute of Technology. He is a CFA charterholder.

Adam Burczyk is presently the CEO and Founder of Actuarials Holdings, LLC, which is the parent of an institutional exchange, OTC electronic trading facility, and clearinghouse for equity derivatives and/or other types of derivatives. The AE Clearinghouse is a self-regulatory organization that is the first new company to gain and maintain its approval by regulators to clear OTC and exchange-traded derivatives for institutional investors since the Options Clearing Corporation was so designated circa 1980. Mr. Burczyk is also the Managing Partner of Spica Fund, LLC, which is a market maker routinely providing over 300 million lots of liquidity daily to institutional traders of Clippers and Folios, which are two new-to-the-world “crash-proof” financial instruments guaranteed to preserve trader opportunities for targeted return while simultaneously insuring against excess losses and excess volatility on every trade.

Mr. Burczyk started his derivatives career in 1993 as the Chief Technical Writer for derivatives trading systems at two major derivatives dealer banks in Chicago , continuing as a strategic planner and consultant to various hedge funds and insurance companies with respect to instituting and documenting best practices in derivatives risk management. Mr. Burczyk obtained his Bachelor’s in 1989 from the University of Pennsylvania , and has pending or has been awarded US patents on 5 different risk management and pricing methods and/or financial instruments since 2000.

Chicago / QWAFAFEW

SAVE THE DATE FOR A QWAFAFEW AND PRMIA JOINT MEETING ON WEDNESDAY, FEBRUARY 13th.

The 46th meeting of Chicago QWAFAFEW (Quantitative Work Alliance for Applied Finance, Education & Wisdom) will be held on WEDNESDAY, February 13th, from 5:00 to 7:00 p.m. at the members lounge of the Chicago Board Options Exchange (CBOE), 400 South LaSalle Street, Chicago. The meeting is sponsored by Chicago QWAFAFEW, Chicago PRMIA (Professional Risk Managers' International Association) and the Structured Products Association (SPA).

Four financial experts will discuss the topic:

“Options in 2008 - Tools to Navigate More Volatile Markets”

The four panelists will be:

(1) Mr. Jason Ungar, Director, at Ansbacher Investment Management in New York City. Jason specializes in the development and implementation of short volatility strategies designed to meet the needs of institutional clients.

(2) Mr. Jon Yalmokas, Managing Director, UBS in Stamford, CT. Jon is Head of Flow Derivative Sales, Americas, and he has spent the last 12 years in trading and sales roles in equity derivatives.

(3) Mr. Jon Najarian, cofounder of optionMONSTER in Chicago. “Dr. J” is a noted media analyst and speaker who appears daily on First Business Television, hosts a CBS Radio show, and webcasts twice daily on CBOE-TV.

(4) Mr. Joe Cusick, Vice President of Education for optionsXpress in Chicago, a firm that services more than 250,000 self-directed investors, and that was named Best Online Broker by Barron's in four of the last five years.

Mr. Matthew Moran of the CBOE will serve as moderator for the meeting. Trading volume on the U.S. options exchanges rose 41 percent in 2007, and more volatility in early 2008 is leading to new options volume records.

Here are some of the questions that will be posed to the panelists:

- In light of the fact that implied volatility and the volatility indexes have more than doubled over the past twelve months, how can investors and traders benefit from these big moves?

- Can investors achieve superior risk-adjusted returns with a collateralized put selling strategy as reflected by the CBOE S&P 500 PutWrite Index (PUT)?

- How are hedge funds using correlation trades and equity derivatives to add value in today's markets?

-  What types of profits can be achieved with trading applications used to identify unusual activity in stock, options, and futures markets?

- Which options strategies and tools are popular with online self-directed investors in 2008?

Admission is $10 in advance (or $15 at the door) with snacks and drinks provided. Please RSVP via Acteva: http://www.acteva.com/go/ChicagoQWAFAFEW by Friday, February 8th.

Other Professional Group Events in Chicago:

CREDIT RISK ANALYSIS, MITIGATION & TRANSFERENCE
February 28 and 29, 2008
20 South Wacker Drive, Chicago, IL 60606

The Fred Arditti Center for Risk Management at DePaul University and the Professional Risk Managers’ International Association (PRMIA) are presenting a conference on credit risk. The conference is part of the PRMIA Global Event Series, which PRMIA is launching in February 2008. The conference is co-sponsored by the CME Trust and Mesirow Financial.

The major theme of this conference is credit risk, in particular, its analysis, mitigation and transference. The conference will be held in the auditorium of the CME Group in Chicago at 20 South Wacker Drive. Conference registration will open at 7:30 A.M. and the conference will begin at 8:30 A.M. on Thursday, Feb. 28. The conference will end at 3:15 P.M. on Friday, Feb. 29.
The deadline for registrations is Thursday, Feb. 21, 2008. Space is limited. For program information and to register, please visit: http://finance.depaul.edu/arditti/events.asp

Chicago QWAFAFEW’s Steering Committee members are as follows (in alphabetical order): Mr. Sanjay Arya, Morningstar; Mr. Keith Black, Ennis Knupp + Associates; Mr. Adam Cohen, Zacks Investment Research; Dr. Michele Gambera, Ibbotson Associates; Mr. Matthew Moran, CBOE; Mr. Ranga Nathan, InvestMatrix; Mr. David O’Brochta, UBS; Ms. Hilary Till, Premia Capital Management and Co-editor, Intelligent Commodity Investing.

A list of past meetings and their presentations appears in the Chicago section of the QWAFAFEW website, http://www.qwafafew.org/?q=chicago-pastschedule.

NYC / Columbia

FINANCIAL ENGINEERING PRACTITIONERS SEMINAR AT COLUMBIA UNIVERSITY

We are pleased to invite you to hear Robert Navin at the Financial Engineering Practitioners Seminar.

Sponsored by: D E Shaw & Co., Guzman & Company, ISE, Murex, Prisma Capital Partners

The Financial Engineering Practitioners Seminar meets on Monday evenings from 6:00 pm to 7:30 pm, and is followed by a reception and refreshments. The seminars are open to the public and we welcome attendees from industry and academia.

See the fall and spring seminar schedule at: www.ieor.columbia.edu/seminars/financialengineering/2007-2008/

For directions to the seminar please see below: The Financial Engineering Practitioners Seminar is held at 412 Schapiro CEPSR in Davis Auditorium on Columbia University's Morningside Campus. Enter through campus at 116th Street and then walk north. Davis Auditorium is located in the Schapiro Center towards the north end of the Morningside campus. Please click below for a map of the campus: www.columbia.edu/cu/aboutcolumbia/maps/index.html

How to build derivatives risk/trading analytics systems for Hedge Funds

Date:  02-11-2008
Start Time:  6:00pm
End Time:  7:30pm
Speaker:  Robert Navin, Real Time Risk Systems LLC
Location: 412 Schapiro CEPSR, Davis Auditorium

ABSTRACT: Having the unique perspective of an entrepreneurial quant, Robert Navin describes his personal views on how to build portfolio analytics/risk systems for hedge fund trading desks based on his experiences founding and growing a small profitable company, Real Time Risk Systems LLC, that sells a software product and services.

BIO: Real Time Risk Systems, New York. Robert Navin founded Real Time Risk Systems LLC in July 2004. He hired a small team to build an industry leading real-time risk system tailored specifically to hedge funds. In an eighteen month time-frame they built a demo of a next generation system that can handle real-time ticking and scenario analysis of the very largest books. They signed two very large clients by the 18 month birthday of the company. The company is now profitable and has an outstanding outlook to grow. Previously, in 2002, Robert helped start a multi-strategy hedge fund based in Stamford, that grew to $1bn under management during the first two years of business.
From 1997 to 2002 Robert was head Quantitative Analyst at Highbridge Capital Management in New York. Robert learned a lot of the basics of his quantitative finance expertise in the o'Connor risk-group at, then Swiss Bank, in Chicago from 1995 to 1997. Robert worked on exotic interest rate derivatives models and built the CB model that underpins the firm's global risk-management system at what is now UBS.

Education: Robert graduated with a Ph.D. and an M.S. in theoretical particle physics from the California Institute of Technology in 1993, after sitting for Part III of the Math Tripos at Cambridge, England in 1988 (passing with distinction). This followed a B.Sc. (honors) First Class in Physics with Astrophysics from the University of Leeds, England in 1987.

Publications: Robert has recently published a book, "The Mathematics of Derivatives" and also authored and co-authored published papers on topics in finance including a solution to the 20 out of 30 provisionally callable convertible bond problem.

Denver / QWAFAFEW

QWAFAFEW Denver Meeting - Feb. 20th

Date/Time:  Wednesday, February 20, 2008 at 6PM
Location:   Via Trattoria (Located on Wynkoop between 18th and 19th in LoDo) 6PM: Networking, hors d’oeuvres (including vegetarian options), and complimentary wine; 6:30PM: Presentation
Admission:  $10 Members; $35 Guests
RSVP:  Secure your seat by sending your admission check to the address below by February 13, 2008.
Address:  QWAFAFEW Denver, PO BOX 19013, Boulder CO 80308
Questions:  Email Denver@qwafafew.org

Presentation: “Portfolio Construction from Ordering”
Speaker: Gioel Molinari 
Mr. Molinari, one of ClariFI's founders, is responsible for the company's technology vision, strategy, and product development and plays a leading role for the company during a time of unprecedented growth. He has extensive experience working at the intersection of mathematics and computer science, having successfully developed leading-edge quantitative technologies to solve novel business problems. Among his many accomplishments, Mr. Molinari spearheaded the design and development of the Sengent Broker Investment Advisor Grid, an Internet "grid"-based quantitative modeling platform; a high throughput Bluetooth testing environment as System Architect for Ericsson; and the world's first visual expression analysis application as Bioinformatics Engineer for CuraGen Corporation. Prior to founding ClariFI, Mr. Molinari was a Software Architect for Xcelerate Corporation where he led the development of several successful e-business projects including E-Exchange.com. He holds a Bachelor of Science degree in chemical engineering from Carnegie Mellon University.

Presentation Summary: Traditional mean variance portfolio construction requires inputs of expected return and asset covariances. In practice however, the production of expected return estimates is a very sensitive and error prone process. In particular, forecasts produced by multifactor models may not be in the form of return estimates at all, which requires ad-hoc transformation for use in portfolio optimization. We present a method for optimal portfolio construction that replaces the requirement for expected returns with ranking information and accomodates the numerous forms of rankings that practioners produce with their forecasting models including sector-relative and multifactor rankings. This presentation is based on research conducted in collaboration with Neil Chriss and Robert Almgren.

QWAFAFEW Denver Steering Committee:
Tommi Johnsen, University of Denver
Elisabetta Basilico, Qwest Asset Management
Chris Gantz, AMG National Trust Bank
Anna Coppola, Flagship Global
J.P. Tremblay, Standard & Poor's Investment Services

San Francisco / QWAFAFEW

The next San Francisco QWAFAFEW meeting is scheduled for Monday, February 4.  Please mark your calendars.  The meeting is held at the London Wine Bar at 5:30 pm. 
Use the Acteva link below to  pay your 2008 QWAFAFEW dues which allows you to attend all 2008 meetings for free.  You can also pay for the February meeting only. 

February  4 Meeting

Speaker:  Michael Lasinski, Ocean Tomo

Topic:  Patent Rating Systems--Applications to Investment Management

http://www.acteva.com/booking.cfm?bevaid=148951

NYC / Columbia

****RSVP here: http://www.cfe.columbia.edu/misc-pages/RSVP-NYQF.html ****

The VENUE on January 31 is: American Conference Center 780 Third Avenue (between 48 St & 49 St).

The Center for Financial Engineering at Columbia University is pleased to invite you to the forthcoming New York Quantitative Finance Seminar

http://www.cfe.columbia.edu/seminars/NY_Quantitative_Finance/

on Thursday, January 31st, 2008, 5.30 PM-7:00 PM at the American Conference Center, 780 Third Avenue (between 48 St & 49 St) for a presentation by Andrew W. Lo, MIT

'What Happened to the Quants in August 2007?'

http://www.cfe.columbia.edu/seminars/NY_Quantitative_Finance/

During the week of August 6, 2007, a number of quantitative long/short equity hedge funds experienced unprecedented losses. Based on TASS hedge-fund data and simulations of a specific long/short equity strategy, we hypothesize that the losses were initiated by the rapid ``unwind'' of one or more sizable quantitative equity market-neutral portfolios. Given the speed and price impact with which this occurred, it was likely the result of a forced liquidation by a multi-strategy fund or proprietary-trading desk, possibly due to a margin call or a risk reduction. These initial losses then put pressure on a broader set of long/short and long-only equity portfolios, causing further losses by triggering stop/loss and de-leveraging policies. A significant rebound of these strategies occurred on August 10th, which is also consistent with the unwind hypothesis. This dislocation was apparently caused by forces outside the long/short equity sector in a completely unrelated set of markets and instruments suggesting that systemic risk in the hedge-fund industry may have increased in recent years.

VENUE:  The American Conference Center - 780 Third Avenue (between 48/49).
An ID will be needed to access the auditorium (lower level).

A cocktail will be served after the seminar.

* About the speaker:

Andrew W. Lo is the Harris & Harris Group Professor of Finance at the MIT Sloan School of Management and the director of MIT's Laboratory for Financial Engineering. His research interests include the empirical validation and implementation of financial asset pricing models; financial engineering and risk management; trading technology and market microstructure; hedge-fund risk and return dynamics and risk transparency; and, most recently, evolutionary and neurobiological models of individual risk preferences and financial markets.He has published numerous articles in finance and economics journals,and is a co-author of The Econometrics of Financial Markets and A Non-Random Walk Down Wall Street.He is currently an associate editor of the Financial Analysts Journal, the Journal of Portfolio Management, and the Journal of Computational Finance. He is a former governor of the Boston Stock Exchange, and currently a research associate of the National Bureau of Economic Research, a member of the NASD's Economic Advisory Board, and founder and chief scientific officer of AlphaSimplex Group, LLC, a quantitative investment management company based in Cambridge, Massachusetts.

The New York Quantitative Finance Seminar is a forum for discussion of new results and insights coming from quantitative modeling in finance and risk management, for the New York quantitative finance community. The New York Quantitative Finance Seminar  is organized by Center for Financial Engineering, Columbia University  and NYU Courant Institute of Mathematical Sciencesand sponsored by Blackrock, JP Morgan, Standard and Poor's, Finance Concepts, Europlace Institute of Finance. Organizing committee:

Andrew ABRAHAMS ( JP Morgan ), Marco AVELLANEDA ( NYU Courant Institute) , Rama CONT ( Columbia University ) , Emanuel DERMAN ( Columbia University ) , Craig FRIEDMAN ( Standard and Poor's) , Bernard LEE (BlackRock)

The New York Quantitative Finance Seminar

http://www.cfe.columbia.edu/seminars/NY_Quantitative_Finance/

NYC / Columbia

FINANCIAL ENGINEERING PRACTITIONERS SEMINAR AT COLUMBIA UNIVERSITY
We are pleased to invite you to hear Andrew J. Sterge at the Financial Engineering Practitioners Seminar. Sponsored by: D E Shaw & Co., Guzman & Company, ISE, Prisma Capital Partners.

The Financial Engineering Practitioners Seminar meets on Monday evenings from 6:00 pm to 7:30 pm, and is followed by a reception and refreshments. The seminars are open to the public and we welcome attendees from industry and academia.

See the fall and spring seminar schedule at:

www.ieor.columbia.edu/seminars/financialengineering/2007-2008/

For directions to the seminar please see below: The Financial Engineering Practitioners Seminar is held at 412 Schapiro CEPSR in Davis Auditorium on Columbia University's Morningside Campus. Enter through campus at 116th Street and then walk north. Davis Auditorium is located in the Schapiro Center towards the north end of the Morningside campus. Please click below for a map of the campus:
www.columbia.edu/cu/aboutcolumbia/maps/index.html

Where have all the Stat Arb Profits Gone?

Date: 01-28-2008
Start Time: 6:00pm
End Time: 7:30pm
Speaker: Andrew J. Sterge, AJ Sterge Division of Magnetar Capital, LLC.
Location: 412 Schapiro CEPSR, Davis Auditorium

ABSTRACT
Profitable statistical arbitrage depends to a certain extent on frictions in the price discovery process. The advent of decimal pricing for US stocks eliminated a prime source of frictions in the trading process. In this presentation I suggest that decimal pricing not only reduced frictions but also had a dramatic effect on the stochastic behavior of cross-sectional stock prices.

BIO

Andrew J. Sterge is President of the AJ Sterge Division of Magnetar Capital, LLC. In this capacity Mr. Sterge manages Magnetar's reinsurance investments and quantitative trading strategies. Additionally, Mr. Sterge serves on the Board of Directors of Pulsar Re, Ltd., including on the Underwriting Committee of the Board. Mr. Sterge is Portfolio Manager for the Magnetar Risk Linked Fund, which invests its assets into Pulsar Re.

In 2004 Mr. Sterge founded AJ Sterge Investment Strategies after 15 years at the Cooper Neff Group, the last four of which as the firm's Chairman and Chief Executive Officer. AJ Sterge Investment Strategies pioneered investment strategies in reinsurance and various segments of the equity and fixed income markets. AJ Sterge Investment Strategies was acquired by Magnetar in April 2006.

Mr. Sterge joined Cooper Neff & Associates in 1989 as Director of Options Research. In this position, Mr. Sterge developed options pricing models which captured the effects of fat-tailed and skewed distributions, as well as investors' relative risk aversion for the downside versus upside insurance aspect of options. Mr. Sterge was promoted to Partner in 1993.
Prior to joining Cooper Neff, Mr. Sterge was employed by CoreStates Financial Corporation where he was Assistant Vice President trading interest rate options from September 1986 to November 1989.

In 1991, Mr. Sterge founded a new variety of short term equity trading based on models of stock market microstructure, or how stocks' bids and offers evolve over time and in response to order flow and other information. Called Active Portfolio Strategies, this business flourished following the acquisition of Cooper Neff by Banque Nationale de Paris (now BNP Paribas) in 1995. Effectively, an internal hedge fund strategy, Active Portfolio Strategies at times managed well over $20 billion in global equity positions for BNP Paribas. Mr. Sterge's groundbreaking strategy was profiled in a December 1997 front page Wall Street Journal article titled "Trading by the Numbers." Mr. Sterge's strategy remains the centerpiece of BNP Paribas'
proprietary equity trading.

In May 2000, Mr. Sterge created the CooperNeff Risk-Linked Assets Fund, one of the first hedge funds dedicated to exploiting inefficiencies in the reinsurance markets.

Mr. Sterge is a 1981 graduate of Wake Forest University where he received his Bachelor of Science degree in Mathematics. He was awarded the Kenneth Tyson Raynor Math scholarship in 1980 as well as the John Y. Phillips Prize in 1981, given to the senior who most excels in the study of mathematics. Mr. Sterge received his Ph.D. degree in Mathematics from Cornell University in 1985. His doctoral thesis built a mathematical model of coalition formation in a voting context. As an application, Mr. Sterge measured the relative importance of voters in the United States Federal Legislature. In addition to his academic credentials, Mr. Sterge published an article for the May/June 1989 issue of the Financial Analysts Journal entitled "On the Distribution of Financial Futures Price Changes".

NYC / QWAFAFEW

QWAFAFEW MEETING

Tuesday, January 29th 2008

Speakers: Ron Ryan, Ryan ALM Inc. – Pension Scoreboard 2007

Michael Wilcox, Alford Associates – Currency Markets: A Prelude to Further Turmoil in International Markets?

Venue and Time:  Tuesday, January 29th, 2008, 5:45 - 8:45 pm
Patrick Conway's Pub & Restaurant
40 E 43rd St (between Madison & Vanderbilt), NY, NY

Admission: (Please note that rising costs have necessitated the raising of admission fees, as follows): $30 for Paid-Up Members of QWAFAFEW-NYC in 2008 (must have already paid dues for 2008 or pay with admission for this meeting)

$40 for Members of the following investing-related organization (any CFA society, CAIA, CQA, FAMMS, PRMIA, or any other QWAFAFEW chapter; members of the financial press and full-time business students also may pay this reduced rate).

$50 for non-members of QWAFAFEW or any of the above affiliates.

Admission includes: appetizers, soda, and water. Beer, wine and mixed drinks are available for sale.  Dress code and everything else about QWAFAFEW is casual.

To RSVP: Please e-mail nyc@qwafafew.org and put date of event in Subject Line. Please include the names, phone numbers, Organization Names for name tags, e-mails, and zips for all attending.

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

AGENDA
5:45 - 6:25 pm Registration and Networking
6:25 - 6:35 pm Chapter Business, C. Michael Carty, Chapter President

6:35 - 7.15 pm   Presentation 1:

Ronald Ryan, Ryan ALM Inc - Pension Scoreboard 2007

How did Pensions fare in 2007?
How much progress have pensions made since 2002?
What does the new PPA legislation mean for pensions?
What lies ahead … anyone heard of the Healthcare crisis?

7:15 - 7.30 Break

7:30 - 8.15 pm   Presentation 2: 

Michael Wilcox, Alford Associates - Currency Markets: A Prelude to Further Turmoil in International Markets?

Geopolitical and economic events have dramatically roiled foreign exchange markets in 2007, but will they continue to amaze in 2008? What critical factors will determine exchange rate parity in the near term? Which currencies will be the strongest, which will be the weakest and, importantly, what’s ahead for the US dollar?

Our speaker uses a combination of valuation modeling to provide a long-term view and adaptive (feedback) modeling to make short-term predictions. These approaches can sometimes yield different predictions, and the challenge becomes one of combining the results.

This talk will include:

A review of factors influencing currency movements and markets in 2007
A discussion of the critical factors currently influencing those markets
Predictions for 2008 

8.30 pm Go Home

About our Speakers:

Ronald J. Ryanis the CEO, Chief Financial Architect, of Ryan ALM, Inc., an organization that offers turnkey solutions for liability driven objectives and connects Custom Liability Index with Asset Management. Their core products include Liability Index Funds and Liability Hedge Funds.
Prior to Ryan ALM, Inc., Ron was President/Founder of Ryan Labs, Inc., and Ryan Financial Strategy Group and also enjoyed a successful career as Director - Research & Strategy at Lehman Brothers and Head of Fixed Income Trust Department at First in Dallas. Ron attained his MBA and BBA at Loyola University.

Michael F. Wilcox, CFA is currently the CEO of Alford Associates, a research and consultancy firm specializing in foreign exchange analysis. He has been in the investment business for more than 25 years.

Immediately prior to founding Alford Associates in 1992, Michael was an international equity portfolio manager and head of Global Asset Allocation at State Street Global Advisors in Boston. Before that, he spent 10 years on Wall Street, 5 years of that as head of Quantitative Research in the Equity Research Department at Morgan Stanley. Although specializing in currency management, Michael has broad experience in the valuation and trading of all types of securities and derivatives.

Michael is an active member of several professional groups, including the Boston and New York QWAFAFEW chapters, which he helped organize. He served on the Board of Directors of INQUIRE Europe and as a member of its program committee. He is an internationally recognized authority on quantitative investment methods and frequently speaks at international conferences.

Michael holds a Master’s degree in Economics from Trinity College in Hartford, and received his CFA designation in 1981

Future Meetings:

February 26th, 2008
Presentation 1 - Stuart J. Rosenthal, Credit Suisse Volaris - "Volatility as an Asset Class

March 25th, 2008 - TBC
April 22nd, 208 - TBC
May 27th, 2008 - TBC
June 24th, 2008 - TBC
July 22nd, 2008 - TBC
August 19th, 2008 -TBC
September 23rd, 2008 -TBC
October 28th, 2008 - TBC
November 25th, 2008 -TBC
December 30th 2008 - TBC

Boston / QWAFAFEW

Next Boston QWAFAFEW Meeting: Tuesday, 15 January 2008
Time: 6:15 PM sharpe
3rd Floor of the Tennis & Racquet Club, 939 Boylston Street
[call 617-536-4630 for directions]
RSVP to Hugh@QWAFAFEW.org
 
a QWAFAFEW discussion led by Steven J. Kusiak, Ph.D.

Topic: Active Equity Portfolio Allocation Sensitivity and Modern Robust Risk Models

ABSTRACT
Markowitz mean-variance optimization (MMVO) is a well-established and commonly practiced method put to work in many financial institutions and is employed to select optimal, or efficient, portfolios with specified risk (or return) associated with a collection of investment securities. While the fundamental technique has gained much popularity within the investment and asset/portfolio management communities, it is well-known that the underlying optimal selection process can suffer greatly from uncertainty derived from estimated asset performances and incorrect forecasts of expected return. For this reason many stabilization techniques, and firms developing them, have emerged which aim to mitigate the instability inherent to MMVO and create robust and economically viable portfolios.

Until recently, the degree of negative influence that MMVO may have on active portfolio selection has remained a matter of debate and point of question, especially within the arena of equity portfolio management.

To this end we systematically formulate sharp analytical lower and upper bounds on the performance, and amount of misallocation, stemming from uncertain observed return series and also provide sample statistics describing the average behavior of such portfolio weight misallocations. Moreover, we introduce and exhibit a modern robust risk measure that, when used within the MMVO framework, outperforms in large measure many currently popular equity portfolio allocation techniques.

Guest fee for attendance is $30. Members attend at no charge. If you are not yet a member or have not paid your dues lately, you may pay your annual dues of $150 (your membership year starts on the day you pay). You may bring cash or a check for either amount ($150 or $30) made out to "QWAFAFEW" and give it to our Treasurer, Hugh Crowther

Please let us know if you intend to come to the meeting. Walk-ins are always welcome; still, we greatly appreciate all RSVPs so that we can have adequate food and drink on hand.

Help needed.  We are always in need of people to arrive early for the meetings to help set up the seating and refreshments. If you are willing to help out please contact Hugh Crowther.
--------------------------------------------------------------------------------

2008 Boston QWAFAFEW Schedule
(names are Steerage Committee members in charge of the program)
                                 
2008

February 19                                              Michael Wilcox
March 18                                                 John Nagorniak
April 15                                         Jarrod Wilcox presents
May 20                                                               Dan Rie
June 17                                                      Mark Kritzman
July 15                                                        John Minahan
August 19                                              Dan diBartolomeo
September 16                                                            TBD
October 21          André Perold arranged by Evan Schulman
November 18                                                             TBD
December 16                                                            TBD

One member of the Steerage Committee is responsible for coordinating each meeting. Program suggestions from members are always welcome.  Hugh Crowther (Treasurer) and Donna Murphy also serve in an advisory capacity on our Steerage Committee.