Denver / QWAFAFEW

We are pleased to announce our third event of 2008. On Wednesday, March 19th, Jennifer Bender of Barra Inc. will present "New Insights into Short Extension Strategies" & "Market Dislocation". Please see details below.

Date/Time: Wednesday, March 19, 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 March 12, 2008.
Address: QWAFAFEW Denver, PO BOX 19013, Boulder CO 80308
Questions: Email Denver@qwafafew.org

Presentation: “New Insights into Short Extension Strategies” & “Market Dislocation”
Speaker: Jennifer Bender 

Ms. Bender is a Vice President in Applied Research at MSCI Barra, where she works on portfolio management and risk related research for asset owners and investment managers. Previously Ms. Bender was a quantitative analyst at State Street Associates.  Ms. Bender's research areas in addition to risk management and portfolio theory include investor behavior, market microstructure, market efficiency and asset pricing. Ms. Bender has held research assistantships at Harvard Business School and MIT, and spent four years as an economist for Standard & Poor's DRI.  Ms. Bender holds a PhD and MS from Brandeis University in International Economics and Finance. 

Presentation Summaries: New Insights into Short Extension Strategies

We look beyond the conceptual advantages of active extension strategies to focus on some of the important implementation challenges: What is the optimal leverage ratio given a set of expected returns and risk targets and will the optimal leverage ratio change over time? What are some of the key differences between 130/30 and a strategy based on long market exposure combined with a 30/30 market neutral  strategy? Performance attribution for 130/30 strategies is yet another challenge, and we will highlight some important issues. These are just some of the questions critical to institutional investors moving further into the active extension world.

Market “Dislocation”

High volatility regimes share an unnerving quality that drives many market participants to take quick action. Importantly, there are significant structural differences between turbulent periods that can be analyzed with factor models. We examine three such periods: the sub-prime mortgage crisis (2007), the bursting of the internet bubble (2000), and the rouble default and collapse of Long Term Capital Management (1998). We show how factor models provide information required by both asset managers and asset owners to make effective decisions in a crisis