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“The Sharpe Ratio Efficient Frontier” and “Big Data Predictive Analytics”
2013 May 28 - Marcos Lopez de Prado and David Marra
Next Boston QWAFAFEW Meeting: Tuesday, 21 May 2013
The Low Risk Anomaly: A Decomposition into Micro and Macro Effects, Brendan O. Bradley
The Alpha and Beta of Risk Attribution
Jose Menchero presents a general methodology for attributing tracking error to alpha and beta components. The presentation also provides several illustrative examples, corresponding to asset-based, sector-based, or factor-based investment processes.
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Boston QWAFAFEW Meeting: Tuesday, 30 Apr 2013 -
The Cost of Socially Responsible Investing, Mark Kritzman
Next Boston QWAFAFEW Meeting: Tuesday, 19 Mar 2013 -
Interdependencies in the Global Financial Village, Dror Y. Kenett
PDF: Use of Factor Portfolios for Hedging Effectiveness -
PDF Version of Berebichez MSCI 2013Feb26
Use of Factor Portfolios for Hedging Effectiveness -
Berebichez-MSCI Feb 26 2013
Boston QWAFAFEW Meeting: Tuesday, 19 Feb 2013 -
Feedback: New Analytics for Enabling Portfolio Managers to Improve
Next Boston QWAFAFEW Meeting: Tuesday, 15 Jan 2013 -
Beyond Risk Parity: Using Non-Gaussian Risk Measures and Risk Factors - Guillaume Weisang
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