New York Meeting: How Correlated are the Quants? and From Document to Database

NEW YORK QWAFAFEW MEETING: Tuesday Nov. 25 2008 – RSVP Now

Speakers:

Matthew S. Rothman, Managing Director, Barclays Capital

Jeremy Payne, Senior Vice President, Capital IQ

Venue and Time:

Tuesday, November 25^th, 2008; 5:45 - 8:45 pm; Patrick Conway's Pub & Restaurant (downstairs), 40 E 43rd St (between Madison & Vanderbilt), NY, NY. (Note: meeting previously rescheduled to Dec. 2, but now moved back to original date)

Admission:

$30 for Paid-Up Members of QWAFAFEW-NYC in 2008; $40 for members of PRMIA, SQA, CQA, CAIA, any CFA society, and/or unemployed business grad students; $50 for all other RSVPs

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

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

Please note if you join QWAFAFEW-NYC now for 2009 you also get this meeting (final one in 2008) included in your membership. The fee for 2009 is still just $90.

QWAFAFEW - NYC Chapter, e-mail: nyc@qwafafew.org website:

www.qwafafew.org/New York Chapter   

Administrator: Moira Hand, moira727@yahoo.com 

Please send checks for Membership Dues to:

Herb Blank, QWAFAFEW Steering Committee

c/o Rapid Ratings International, 7^th Floor

86 Chambers Street, NY, NY 10007

hblank@qwafafew.org; (917) 992-7852

To get on Mailing List: transfer the following to your browser and click

http://www.qwafafew.org/phplist/public_html/lists/?p=subscribe

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AGENDA 

5:45 - 6:25 pm Registration and Networking

6:25 - 6:35 pm Chapter Business – C. Michael Carty

6:35 - 7.10 pm - Matthew S. Rothman, Ph.D., Managing Director and Global Head of Quantitative Equities Strategies, Barclays Capital

“How Correlated are the Quants?” – Highlights of a proprietary study that his group performed - the study examines how correlated the Quants really are and what we can expect in the future. 

7:10 - 7.30 – Libation and networking break

7:30 – 8:10 - Jeremy Payne, Capital IQ

‘From Document to Database’ – This discussion is a high-level overview of the process and challenges in building and maintaining a time-series-aware database of company fundamentals. It traces the journey of corporate data items from financial statements to the databases. 

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About our speakers:

Matthew S. Rothman, Ph.D., joined Lehman Brothers/Barclays Capital in May 2006 and is currently a managing director and the global head of the firm's Quantitative Equities Strategies team. This team is responsible for developing quantitative stock selection, sector selection, and country selection models. Matthew is also a member of the firm's Investment Policy Committee, which is committed to maintaining the quality and accuracy of the firm's research.

Prior to joining Lehman Brothers, Matthew was the senior quantitative analyst at Sanford C. Bernstein from 2003 to 2006. During that time, the team achieved First Team status in Institutional Investor magazine's "All America Research Team" poll in 2005 and was ranked No. 1 in the Greenwich Associates poll for 2003-2006. Additionally, Matthew was a senior research analyst/portfolio manager in the Quantitative Equities group at Goldman Sachs Asset Management, and an associate in the Quantitative Equity Derivative and Strategies group at Morgan Stanley.

Matthew earned a Ph.D. in Finance from the University of Chicago, an M.A. in Statistics from Columbia University, and a Bachelors degree from Brown University. He is also a visiting professor of Economics at Brown University, and serves on the advisory board for the Center for Accounting Research and Education (CARE) at the University of Notre Dame. Finally, Matthew is the co-chair of the Development Committee of the Innocence Project, a national litigation organization dedicated to exonerating wrongfully convicted people through DNA testing.

Jeremy Payne is a Senior Vice President at Capital IQ.

Prior to joining Capital IQ in 2003, Jeremy was an associate partner at Newtonmore Advisors, a London-based private equity firm. Prior to Newtonmore, Jeremy was an M&A banker at JP Morgan and Banc Paribas. Earlier in his career, Jeremy was a motion picture and literary agent for The Artist Group and The William Morris Agency. Jeremy has an AB in History & Soviet Studies from Dartmouth College and an MBA in Finance from the Stern School of Business at New York University.

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ABOUT QWAFAFEW [quaff- a -few], the Quantitative Alliance For Applied Finance Economics & Wisdom, is an informal professional association with chapters in various states of functionality throughout the globe. A typical QWAFAFEW meeting includes topics of discussion on quantitatively oriented investment industry issues along with the opportunity to network, relax, and enjoy libations. Please visit www.qwafafew.org to learn more about the organization, its resources, and the events held by our many chapters. Our dress code, rules of “etiquette” and everything else are strictly casual.

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Other Events

PRMIA West Coast Risk Management Conference, taking place at the Stanford Grill in San Francisco on November 13 and 14, 2008.

PRMIA frequently posts QWAFAFEW-NYC partner events for us on its site. To reciprocate, we like to spread the word about their excellent events to our subscribers. If you are planning to be in the SF area Nov. 13 or 14, I believe you will want to take a look at this event. The conference is designed to cover various complex issues related to today’s market and liquidity conditions. The speaker line-up is exceptional, and the topics covered are most pertinent to the turbulent times we are facing. The two day event will cover much coveted topics for risk professionals. To register for a single day, use either of the links below. If you want to attend both days, you must register separately for each day by visiting both of the links below.

Valuation and Liquidity Risk (Day 1)
Event details can be found using this link:
http://www.prmia.org/events/view_events.php?eventID=3057

Portfolio Construction and Risk Budgeting (Day 2)
Event details can be found using this link:
http://www.prmia.org/events/view_events.php?eventID=3123

Sponsors: Algorithmics and RiskMetrics Group.
If you have any questions about the event, please email support@ prmia.org .

Other upcoming PRMIA events in North America include:

• November 13 at 3 Post Office Square in Boston. The event is free and features speakers Nicole Boyson, Jonathan York, and David Silk.

• November 13, 5:00 PM – 7:00 PM, at Deloitte and Touche, 111 W. Wacker in Chicago. “The Financial Crisis and its Aftermath” with featured speaker, Dr. Christopher Culp. ($10 for non-sustaining members of PRMIA). This event is also being promoted by Chicago QWAFAFEW.

• November 30 – Dec. 2 in Montreal, Canada, “Stochastic Modeling Symposium and Investment Seminar” in concert with the PRMIA-Toronto Chapter.

Visit www.prmia.org for information on all of the above as well as info on rleated certification and training programs offered throughout the world.

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Future QWAFAFEW-NYC Meetings (Other org. events below):

Jan 27 2009 –

Ron Ryan, Ryan ALM LLC & Michael Wilcox, Alford Associates

Feb 24 2009 –

Savita Subramanian, Merrill Lynch & Jim O'Shaughnessy, O’Shaughnessy Capital Management

Mar 24 2009 –

Laurence Siegel, Ford Foundation & Todd Petzel, Offit Capital LLC

Apr 28 2009 –

Brooke Allen, Maple Securities USA – Head, Quantitative Strategies – “Very Personal Finance”

May 26 2009 –

Joseph Mezrich, Nomura Securities 

Jun 23 2009 –

To Be Announced (Volunteers Encouraged)

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If you wish to speak at QWAFAFEW in 2009, please contact Herb Blank at herbert.blank@rapidratings.com. Those of you who are also members of linked-in are welcome to join Herb Blank’s QWAFAFEW networking group on that site. The URL is http://www.linkedin.com/e/gis/59644/530E700BF98A; if you have not been permissioned in advance, please e-mail hblank@qwafafew.org

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Efforts continue on new QWAFAFEW chapters. A meeting is tentatively being planned for Wednesday Feb. 20 in Hartford, CT. Efforts are already underway for a Southern Cal chapter that would meet four times a year in various LA Metro locations. Other volunteers are trying to hold meetings in DC (where we had an active chapter a few years back) and Princeton (where we used to hold annual meetings). If you or a friend to whom you pass this on is interested in helping in any of these efforts, please contact Herb Blank at hblank@qwafafew.org.