Quant Meetup: QWAFAFEW With Matthew S. Rothman

Drinking alcohol in excess is not going to solve the problems on Wall Street and America at large, but a few beers probably can't hurt.

If history repeats itself Tipsy homegamers will take over the market Wednesday afternoon, but if you want to front run the revelers you now have your chance.

The Quantitative Work Alliance for Applied Finance, Education and Wisdom mixes pocket protectors with Lowenbrau, and is assembling Tuesday night with a special guest or two. It will set you back less than a Benjamin, drinks included, and could be the best networking opportunity for unemployed and inconsolable quants since Cliff Asness laid of his secretary.

New York Meeting: “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.

Matthew S. Rothman, Managing Director, Barclays Capital

Followed by: From Document to Database
Jeremy Payne, Senior Vice President, Capital IQ

Tuesday, November 25th, 2008; 5:45 - 8:45 pm; Patrick Conway's Pub & Restaurant (downstairs), 40 E 43rd St (between Madison & Vanderbilt), NY, NY.

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 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.
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Early Quant, believed to be a member of QWAFAFEW
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Matthew Rothman, late of Lehman and now with Barclays, gained fame after breaking down the quantmare of August, 2007 (PDF here on Dealbreaker -Turbulent Times in Quant Land) , when crowded trades set off a clusterf*ck among statistical arbitrage and quant strategies, and giving the rest of us a wake up call as to how crowded certain strategies had become. Veryan Allen provided a post-mortem:

August 2007
Many quants have similar risk factor driven stock ranking systems so an unwinding means popular shorts will go up while popular longs will go down. Convergence trades only work if there are reasons they should converge. In a regime change like this, “reasons” get overwhelmed by the shift from low volatility to high volatility. Historical relationships are just that - HISTORICAL. Beta and correlation just describe the PAST. We can learn from previous behavior but can’t rely on it.

Factor models and statistical arbitrage are not black boxes anymore. More a crowded, transparent box. It used to be off the radar screen for most investors and involve relatively small amounts of money. But success has led to significant trade crowding and transparency of methods that MUST be kept proprietary. All arbs eventually get arbed out so you have to keep finding new ones. With every strategy there is a point beyond which the dangers of copycats exceed the rewards. However, just like credit hedge funds, there were losers AND winners in quantitative funds. High frequency trading is actually safer than low frequency trading and it was the “slower” systems that performed worst recently. Some smaller, more agile quant funds using different models and shorter time frames were able to arb the bigger funds.

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.

For those of you in Boston, QWAFAFEW will be holding a meeting on December 16th, subject TBA

NEW YORK QWAFAFEW MEETING: Tuesday Nov. 25 2008 – RSVP Now
QWAFAFEW Homepage
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Have the quants learned how to play the game or are we all doomed?

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August 2007
Quant fund?
Hedge Fund Blog

August 2007
Pack Mentality Among Hedge Funds Fuels Market Volatility
NYT

AQR Fesses Up
1440 Wall Street
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QWAFAFEW is an informal organization of quantitatively oriented professionals in various aspects of financial services (primarily investment management). The group was formed a number of years ago to provide a venue for quantitative researchers to discuss their evolving work with peers. As the field has become more “main stream” our membership has also broadened. Our membership includes a wide variety of interests and levels of responsibility. The members span the gamut from owners and senior executives of investment related organizations to recent entrants to the industry. Most attendees have some technical training beyond the M.B.A. level, and many have Ph.D.s All share a common interest in quantitative solutions to understanding investment markets.

QWAFAFEW meetings are somewhat informal with a mix of social and intellectual content. Presentations are expected to be interactive (after a reserved period of at least 5 to 10 minutes for the speaker to present foundation material). Sometimes the interaction requires a kick-start. Typically, in keeping with the informal nature of the group, speakers use hand-outs rather than projection devices. Speakers who make materials available in electronic form for posting on the QWAFAFEW web site well before the meeting can expect at least half of the attendees to print out copies for use at the meeting. Presentations based on material used directly for client and prospect presentations is strongly discouraged (unless the presentation is unmasking fallacies and partial truths contained therein).

Typically, the monthly meetings (held on the third Tuesday from the end of the month) are attended by 40 to 50 professionals, although some topics have drawn twice that many attendees. Meetings start at 6:15 sharpe, although many members arrive at around 6:00 in order to chat with friends and enjoy the snacks and drinks that are provided free of charge. Refreshments are paid for from funds collected in the form of annual dues ($150) and guest fees ($30 per meeting). After announcements and administrative details are attended to, the speaker presentation usually begins around 6:30. The formal presentation (typically designed to last from 20 to 40 minutes) and subsequent discussion usually last for somewhat under an hour, with informal discussion following. After most meetings, a small group of hangers-on will adjourn to a neighborhood restaurant for a casual dinner and continued discussion.
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The content contained in this blog represents the opinions of 1440 Wall Street. This commentary in no way constitutes a solicitation of business or investment advice. It is intended solely for the entertainment of the reader, and the author.

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