New York Meeting: Non-Standard Indices and Related Instruments
Wednesday, October 27, 2004 - 5:30pm
Patrick Conway's Restaurant and Pub 40 East 43rd Street
NYC-Area
Event Last Call - Wednesday October 27
RSVPs
Requested, ETF Seminar Discount Offer, Jobs, and More
Date:
WEDNESDAY (note, not Tues.) October 27, 2004 Time:
5:30 PM - 8:30 PM Venue: Patrick Conway's Restaurant
and Pub, Downstairs Dining Room 40 E. 43rd
Street, between Vanderbilt & Madison (phone:
212.286.1873) South side of Street -- 1/2 block from
GC Station
Admission: $20 for QWAFAFEW Members
of any chapter. Members of PRMIA, SSIA, NYSSA, SQA,
FAMMS, and full-time masters or doctoral students also
pay $20. Non-member fee: $30.
ONLY cash or
check (payable to QWAFAFEW) can be accepted. Receipts
are available. Sodas, tap water, and assorted hors
d'oeuvres on table are free until 8 PM. All else is
pay-as-you-go
RSVPs: Please e-mail nyc@qwafafew.org (or
click reply). Please include the names, phone
numbers, Organization Names (for name tags), e-mails,
and zip codes for all attendee. If no e-mail, phone is
917-992-7852.
We are no longer selling
memberships for 2004 (since membership to QWAFAFEW-NYC
is on a calendar-year basis). However, we have a special
offer available to nonmembers. We have just opened our
books on memberships for calendar-year 2005; the fee is
$80. Those who wish to join for 2005 will automatically
get immediate membership for 2004 as well. We prefer
checks (but will accept cash) for memberships. Again,
please make checks payable to "QWAFAFEW."
QWAFAFEW stands for Quantitative Work Alliance
For Applied Finance Education Wisdom. We are a casual
society for investment professionals interested in
quantitative issues and anyone else interested enough to
join us. Visit the site at www.qwafafew.org for
membership application and more details. (Application
not necessary to purchase membership at door, but can be
filed via e-mail or snail mail later if
desired). ------------------------------------------------------------- IF
YOUR RECEIVED THIS THROUGH A FRIEND AND WISH TO
SUBSCRIBE TO THIS FREE NEWSLETTER DIRECTLY, please cut
and paste this link into your browser: http://www.qwafafew.org/phplist/lists/?p=subscribe To unsubscribe, paste this link: http://www.qwafafew.org/phplist/lists/?p=unsubscribe
Disclaimer/Explanation: As
a result of unusual happenings, this is a parallel
announcement being broadcast via Topica that is expected
to be re-sent Monday through the QWAFAFEW e-mail server.
We still expect to discontinue Topica in the near
future, but needed to use it today. I apologize in
advance for any inconvenience or clutter this may cause
you. In particular, if someone unsubscribed last month,
they may still be on this list. Please accept our
apology and let us know if this happened to you, and
we'll take care of it.ber of people did not get the
transmission of the similar newsletter HQ sent out
Monday, this should be the last month during which you
will receive substantially duplicated e-mails for
events.
On the other hand, we DO wish to make
certain that those who wish to remain in contact may do
so. Please click reply and put in the Subject Line "Did
not receive earlier version of October 27 Announcement"
if you did not receive the announcement that went out
through the qwafafew.org server a bit more than a week
ago.
6:30 PM - 7:15 PM
PRESENTATION # 1 "Performance-Driven Intelligent
Indexes" John Southard, Managing Director Power
Shares Capital Management LLC (www.powershares.com)
A.
Exploring the myths of cap-weighted passive indexing as
a shortcut to risk-return efficiency B. Market risk
mis-specification issues inherent in cap-weighted
indexing C. Designing and constructing more
intelligent indexes for portfolio management D.
Comparisons of portfolio characteristics E. A
discussion of the empirical results F. Implications
for the future and A & Q
7:30 PM - Presentation,
Josef Schuster, Founder and Principal, IPOX Schuster
Ltd. (website = www.ipoxschuster.com)
"The
Challenges Of Indexing IPO's A. What are the
principal characteristics of the IPO market? How have
fundamental changes in this market increased the need
for investors to consider how to include IPO's as part
of their opportunity sets? B. What are the drivers
of risk and return in the IPO market? C. Addressing
the conceptual and practical challenges in attempting to
index the US IPO marketplace D. Return/risk
characteristics, factor attribution, and empirical
results? E. What's Next?
8:15 PM - Q & A
and Open Issues 8:30 PM Go Home or Go Upstairs and
Patronize The Good People at Patrick Conway's Restaurant
& Pub.
From INSTITUTIONAL
INVESTOR Event Title: "Exchange Traded
Funds for Financial Advisors, Wealth Managers and Hedge
Funds -- an educational seminar and interactive
workshop" Faculty includes: Nathan Most, Gus Fleites,
Kathleen Moriarty, many other industry-recognized ETF
experts, and 3 of QWAFAFEW’s very own: Dr. Marvin Appel,
Herbert Blank, and Michael Carty.
Dates: Tue.
Oct. 26 (All day) and Wed. Oct. 27 (AM only) Venue:
Le Parker Meridien, south side of W. 57th Street between
5th Avenue and Avenue of Americas
The following
is an EXTRA-special discount offered to QWAFAFEW
subscribers from any Chapter in order to bolster
potential audience participation levels (we ARE renowned
for our interactive inquisitiveness; list price for this
event is $1395.00):
If you are not affiliated
with any asset manager but are a subscriber to a
QWAFAFEW Chapter -- $160 for both days' events,
including Tuesday lunch, cocktail reception, and Wed.'s
interactive workshop; or $40 for the Wednesday
workshop ONLY.
If you are affiliated with an
Asset Manager with total assets between $15 MM and $750
MM AND a QWAFAFEWer, you may take an additional 50% off
this already-discounted price [certain restrictions may
apply].
This comes to just $80 for everything and
$20 for Wednesday's workshop alone.
Please call
Institutional Investor Conferences at 800.437.9997. Tell
the operator you are with QWAFAFEW to receive your
organizational discount, and if you qualify for the
special added 50% discount.
-------------------------------------------------------------- From
the Stamford Society Of Investment Analysts
(SSIA); please go to www.ssia.org for more
info.
CTA INVESTING: the Discipline of Systematic
Trend Following Applied to Commodity Trading
Advisors
Date/Time: Thursday, October 28, 2004
(6:00-8:30) Venue: Giovanni's II - The Water's Edge,
Stamford, CT (203) 325-9979 for
directions Speaker: Robert Vrooman, Senior Vice
President, Graham Capital Management
A. General
Overview of Managed Futures and CTAs B.
Trend-Following and systematic strategies C. Nature
of returns/drivers of performance D. Positive and
negative trading environments explained E. Benefits
and risks of investing in CTAs, and F. Much, much
more. RSVP Email: ssiacentral@aol.com Members:
$35 Guests:
$45
---------------------------------------------------
FAMMS Forum Date:
MONDAY, NOVEMBER 15, 2004 (This is changed -- it was
previously scheduled for October 12) John O'Dea, a
Chapter Steering Committee Member, is also President of
the Financial Analyst Money Managers Society (known as
FAMMS).
This is a special forum on Master
Limited Partnerships (MLPs) on November 15 at the
Manhattan Club (52nd St. and 7th Ave) - Meeting will
start at 4:30 PM.
MLPs are listed securities
that have attracted a lot of investing and trading
attention in industry circles lately. The featured
speaker, Mike Krimbell, President of Energy Trading
Partners, will demonstrate how to analyze the financial
statements of MLPs in a manner designed to solve the
accounting mysteries that seem to shroud them. FAMMS
meetings are open only to members and their guests.
For this special meeting, Steering Committee
Member John O'Dea has arranged for QWAFAFEW Members who
respond to this invitation before registration exceeds
capacity to attend this special forum for free --
including dinner and all.
MLP's are hot, so if
you are interested in getting ahead on the learning
curve and meeting some interesting people along with a
terrific night out, sign up today. Once 20 QWAFAFEW
members have signed up, no more slots are available. To
sign up, ple ase reply to this e-mail ONLY FOR FAMMS,
and put in the Subject Line:
"Nov. 15 FAMMS RSVP
-- Please confirm." You will receive confirmation (if
possible) from FAMMS. Again, please RSVP separately for
the FAMMS and QWAFAFEW events as they will be forwarded
to different addresses.
--------------------------------------------------------- Key
links to sites of affiliates and event partners of
QWAFAFEW include: www.prmia.orq for Professional Risk
Mgr. Ind. Ass'n. www.sqa-us.org for the Society of
Quantitative Analysts www.ssia.org for Stamford
Society of Investment Analysts www.imn.org for
Information Management Network www.iinvestor.com for
Institutional Investor
[Any other organization
who wish to partner with QWAFAFEW regarding their events
should send an e-mail with "Proposed Event Partnership"
in the subject line to nyc@qwafafew.org.]
Or you may address your requests directly to our
Directors of Liaison Activities, Antonio Ferrareis, aferrareis@qwafafew.org and
Steve Sax, ssax@qwafafew.org. ------------------------------------------------------- Non-affiliated
area event posted upon request of chapter
member:
Friday, November 5, 2004,
9AM--6PM Columbia University, New York City Davis
Auditorium, Fourth Floor Shapiro Center
The
Center for Applied Probability (CAP) at Columbia
University presents the Eleventh Annual CAP Workshop on
Derivative Securities and Risk
Management Speakers: Rama Cont, (Ecole
Polytechnique) Finite Difference Methods for Option
Pricing Models David Hobson, (Princeton
University) Extending Figlewski's Option Pricing
Formula Michael Kalkbrener, (Deutschebank) A
Quantitative Framework for Measuring Risk and
Profitability Ozgur Kaya, (Columbia
University) Exact Simulation of Financial Models with
Stochastic Volatility and other Affine Jump Diffusion
Processes Jussi Keppo, (University of
Michigan) Does the Market Risk Capital Requirement
Affect Bank Behavior? Roger Lee, (Stanford
University) Robust Hedging of Volatility
Derivatives Richard Martin, (Credit Suisse First
Boston) Developments in Credit Portfolio Theory H.
Eugene Stanley, (Boston University) Understanding
Large Movements in Stock Market Activity
A light
lunch will be provided, and a wine and cheese reception
will be held at the end of the day.
A full
schedule with more details is on the CAP website:
http://www.cap.columbia.edu/CAP-MF04.html
REGISTRATION
FEES: Academic: Before Oct. 22: $125 ($40
student) On site: $175 ($100 student) Corporate:
Before Oct. 22: $225; On site: $325
11/18/2004 (Thursday), 6 PM - 8:30
PM Greenwich, CT Joint Meeting with the Stamford
Society of Investment Analysts (SSIA) Discussion
Panels - II & III
Starting a Hedge Fund and
Managing Hedge Fund Legal Issues, Structures, and
Risks
Last month's panel on Hedge Fund
Transparency attracted more than 70 attendees, so it is
highly recommended to RSVP for this event with two
distinguished panels ASAP.
Panel
II: How to get funded, respond to
investment technology and research challenges,
operational and reporting issues, and more while
maintaining the integrity of your investment disciplines
and processes Moderated by Deborah J. Weir, CFA,
Wealth Strategies Panelists include: C. Michael
Carty, New Millennium Advisors Michael Grotell,
Valquest Partners LLC Andrew White, FOCUS Fund
Strategies
Panel
III: Managing Hedge Fund Legal
Issues, Structures, and Risks
This
is an in-depth and hands-on discussion of the legal
issues and risks affectong hedge funds from
pre-inception onward. This panel of highly
quallified experts will explore how to identify these
risks, manage them professionally, and how understanding
them well could open doors to potential
opportunities.
Moderated
by Deborah J. Weir, CFA, Wealth Strategies Panelists
include: Joel Bernstein, Attorney and Partner,
GRLS Susan Mangiero, CFA & Ph.D., BVA LLC Rick
Slavin, Attorney and Principal, Cohen and
Wolf
This meeting will take place in Connecticut
at Manero's Restaurant, 559 Steamboat Road
Greenwich, CT 06830. [Ph. (203) 869-0049] Fees:
$30 (Members of SSIA and QWAFAFEW) $40 (nonmembers of
either group) Includes APPETIZER BUFFET. Please come
promptly at 6 PM as there will be a lot of material
covered. QWAFAFEW can only accept checks or cash, so
if you need to use a credit card, you must register
through the SSIA and do so at least one day IN ADVANCE
of meeting.
Please go to www.ssia.org for more
information on the
SSIA.
---------------------------------------- Please
join us the Tuesday following Thanksgiving
for:
11/30/2004 Research Methodology and Data
Issues
"Modeling Expected Returns" Manish
Aurora, Rational Investing (presentation now
available on website)
"Extreme Risk Management
and Ultimate Portfolio Optimization", Frederick
Siboulet, FinAnalytica
(at Patrick Conway's --
Please see below)
12/28/2004 Toast to 2005 &
Getting Behind The Data Recent Study Findings - Stan
Levine, QED International
* Unless otherwise
noted (such as Nov. 18 in CT), all meetings are
scheduled to be held at: Patrick Conway's Restaurant
and Pub AT 40 E. 43rd Street, between Vanderbilt
& Madison, South side of Street -- Downstairs
Dining Room JUST ONE-HALF BLOCK FROM GRAND CENTRAL
STATION. (on-premises phone: (212)
286-1873.) RSVPs for all the above events now being
accepted, 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. No e-mail? Phone
917.992.7852. For all meetings held at Patrick
Conway's -- Admission: $20 for QWAFAFEW Members of
any chapter, or members of PRMIA, SSIA, NYSSA, and/or
SQA. Full-time masters or doctoral students also pay
$20. Non-member fee for this meeting $30. ONLY
cash or check (to QWAFAFEW) can be accepted. Receipts
will be available. Sodas, tap water, and assorted hors
d'oeuvres on table
-------------------------------------------- 2005 We
still have many slots open for volunteers with qualified
discussions/presentations for 2005. Please hit reply and
put "Request to Present in 2005" in the subject line of
the e-mail.
------------------------------------------------------------- JOB
POSTINGS
Research Position Available in
NY Interact with our client services group and our
clients to understand client requirements. Pose client
requirements as problems that can be solved by
extending/enhancing our software and data products and
produce innovative solutions to these problems. Document
the solutions by writing internal software
specifications and external working papers. Interact
with software developers and assist them in the
implementation of the solution. Interact with our
quality assurance group and assist them in testing the
implementation. Communicate the solution to our client
services group and our clients. Disseminate your work at
industry seminars and conferences. · Required
Qualifications:
PhD or MS degree in a
quantitative field (e.g., finance, economics,
mathematics, engineering.) with strong grounding in
probability theory, statistics, linear algebra, and
numerical analysis. At least one year of experience
at a bank, hedge fund, asset management firm or a firm
that specializes in financial risk management. Deep
understanding of the theoretical and practical aspects
of financial risk management (i.e., asset pricing, VaR,
stress testing, and market data.) Strong numerical
programming skills in a high-level language or technical
computing environment (e.g., Matlab or Mathematica.)
Strong oral and written communication skills.
Excellent interpersonal skills. Ability to work
as a contributing member of a team.
Please
contact recruiter Stan Davenport Director, ETR
Technology Center 180 Oser Ave Suite 0400, Hauppauge
NY 11788 631-952-1300 Ext# 13,
www.etrtechcenter.com --------------------------------------------------- Head
of Risk Management, NY-based team. 10-12 years
experience; responsible for market risk, credit risk
and overall data integrity for trading ops. A detailed
knowledge of risk management for trading desks involved
in credit derivatives and corporate bonds is essential.
Experience of equity derivatives is desirable, and the
successful candidate will have previous practice at
managing a small team. The role will suit someone who is
a team player, technically strong and good at
prioritizing among multiple tasks. It offers a
challenging role in a successful and evolving
environment .
2nd Position -- Risk management on
Hedge fund side. Risk Management for Alternative
Investment Management ($5bn HF) AIM RM part of local
FP RM team; Monitor and manage global market, credit and
operating risk arising from convertible and credit
arbitrage funds Significant interaction with trading
staff; located on trading desk. Involved in market risk
development work Design and production of
quantitative risk analysis and reports for internal
use Monitoring of Investment Guidelines and internal
trigger levels. Analysis / attribution of p/l, testing
prices and parameters Candidate: At least 7 years
Risk Management experience with excellent understanding
of credit or equity derivatives. Analytical,
attention to detail; demonstrate willingness to get
involved in day to day "hands on" tasks; outgoing
personality and good communication skills. Contact
Recruiter -- John P Del Cioppo, Director of Business
Development HF-Solutions Voice: 732.431.5725;
Mobile:732.713.2010 Fax: 732.303.1146; E-mail:
John@HF-Solutions.com Web site:
www.HF-Solutions.com ------------------------------------------------------------ Latin
American/Emerging Markets Derivatives
Quant-NYC
Total compensation is targeted at
$250-350k and could go higher depending on
experience/qualifications.
The position is with a
front-office quant group, directly supporting the Latin
American Emerging Markets Derivatives trading desk. The
person will work as part of a joint EMD/Structured
Credit quant team, since many of the models (from a
mathematical perspective) are identical. The work
involves mathematical development of models, including
core coding in C++, and possibly some light spreadsheet
work.
Analytics will cover deal types including
local currency swaps and cross-currency swaps; bond
options; leveraged notes with credit trigger;
credit-linked cross-currency swaps; FX options; range
notes; etc. A Ph.D. in math/science is preferred. The
key requirement is specific knowledge of the Latin
American local markets, specifically Mexico and Brazil.
Please send your resume/contact me. This is an immediate
job opportunity.
Recruiter -- Denise Gomer,
Managing Director Executive Search, RMS 1185
Avenue of the America's, 36th FL New York, NY
10036 212-840-8666 ext. 242 917-539-8416
Cell ---------------------------------------------------------- We
will be announcing arrangements for Job Postings to go
on the QWAFAFEW Website and other new features in the
near future. Please stay tuned for updates. All
suggestions for input are welcome, especially from those
volunteering to follow through with them.
FYI --
Herb Blank recently has a hard drive crash and lost all
data that was in his mail client server mailbox. He
believes this may have included some Job Postings
intended for QWAFAFEW. Following last month's steering
committee meeting, these now are being handled by
Communications Director Ann Barber who should be cc'ed
on such emails at abarber@qwafafew.org;
the main address on job postings to be included in
Newsletters remains nyc@qwafafew.org.
Herb Blank (at any of his addresses) should no longer be
the recipient of such posting
requests. -----------------------------------------------------------
Please
click on the subtitle heading this subsection to visit
the newly revamped QWAFAFEW Website. We now have quite a
few more modern communications options along with other
capabilities available to our chapter members. Each
Chapter has its own page. Please visit today. We welcome
suggestions for improvement.
Other Chapters
continue to thrive. Please see the website for further
details.
The DC, London, San Francisco, Sao
Paulo, and Toronto Chapters are still actively
recruiting interesting speakers. If interested, please
hit reply and indicate what information you wish to
present at which chapter during which month. NYC will
forward these submissions to the appropriate chapter and
to QWAFAFEW worldwide headquarters in Boston (hq@qwafafew.org).
There are now ongoing efforts to organize a
Chapter in Southern California as well as an interest
expressed in holding one or two "bonus" Boston Chapter
meetings each year in Hartford, CT. Efforts also
continue in Portland OR, Pittsburgh PA, and St. Louis,
MO, as well as beyond US borders in Johannesburg S.
Africa, Paris, France, and Frankfurt, Germany . If you
have interest in any of these locations, please click
reply and let us know.
This
list is replacing the Topica e-mail-publisher list as
our official mailing list engine. Subscriptions are
free, but chapter memberships are not. Please email nyc@qwafafew.org wiith any
questions you may have.
It is my contention that the CAPM and other Markowitz- based "optimal" solutions are to real life as the Prisoner’s Dilemma is to the Repeated Prisoner’s Dilemma [as demonstrated by Robert Axelrod].
Chicago
