Tuesday, March 24th, 2009
Speakers: Laurence B. Siegel - Director of research in the investment division of The Ford Foundation and Research Director of the Research Foundation of CFA Institute.
Todd Petzel - Chief Investment Officer, Offit Capital Advisors.
Time: 5:30 PM – 8:15 PM
Venue: 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 2009; $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 the event you wish to attend in Subject Line along with the names, phone numbers, Organization Names, 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. NYC Membership Dues for 2009 are still just $90.
AGENDA
5:30 - 6:10 Registration, Networking, and Refreshments
6:10 - 6:15 Chapter Business
6:15 - 7:00 Laurence B. Siegel, Director of research in the investment division of The Ford Foundation and research director of the Research Foundation of CFA Institute
The Lost Decade
Three related issues are covered. First, in real total return terms, equity returns in the current decade are the worst in U.S. capital market history, worse than the 1930s (so far). This could either be a market forecast of a lost decade in the real economy, or a historic buying opportunity. I favor the second view. Second, I note that alpha is still hard to achieve and more likely to be negative than positive, while beta is still (possibly now more than ever) one of life's great bargains. Finally, I remind investors that liquidity is the often unappreciated "fourth dimension" (after returns, risks, and costs) of investment policy and is an especially timely concern given the bear market.
7:00 - 7:15 Break - More Networking & Refreshments
7:15 - 8:00 Todd Petzel, Investment Officer, Offit Capital Advisors
Modeling Liquidity and Income in the Modern Endowment
Most endowments and foundations have been strongly guided in their portfolio construction by some version of mean/variance optimization or Monte Carlo simulations. In the second half of 2008, serious flaws in these models appeared. Incorporating explicit income and liquidity considerations into these models may not be conceptually difficult, but the empirical challenges may be overwhelming. More ad hoc approaches may be necessary to meet all the needs of these institutions going forward.
8.00 – 8:15 PM – More Networking, Refreshments, and Libations
About our speakers:
Laurence B. Siegel is director of research in the Investment Division of the Ford Foundation in New York, where he has worked since 1994. Before that, he was a managing director of Ibbotson Associates, an investment consulting firm that he helped to establish in 1979.
In 2005 Larry was named Research Director of the CFA Institute’s Research Foundation. He holds this position concurrently with his responsibilities at the Ford Foundation.
Mr. Siegel currently chairs the investment committee of the Trust for Civil Society in Central and Eastern Europe, and serves on the investment committee of the NAACP Legal Defense Fund. Larry is a member of the editorial boards of the Financial Analysts Journal, the Journal of Portfolio Management, and the Journal of Investing, and serves on the board of directors and program committee of the Institute for Quantitative Research in Finance (the Q Group). His first book, Benchmarks and Investment Management, was published by the CFA Institute in 2003. With Zvi Bodie and Dennis McLeavey, he co-edited the book The Future of Life-Cycle Saving and Investing, published by the CFA Institute in 2007.
Larry received his BA in urban studies from the University of Chicago in 1975, and his MBA in finance from the same institution in 1977.
Todd E. Petzel, Chief Investment Officer, Offit Capital Advisors LLC
Petzel joined Offit Capital Advisors LLC in October, 2007 as its Chief Investment Officer. Offit is a Registered Investment Advisor with approximately $5 billion under advisement. He has been involved with manager selection and risk management of diversified portfolios as the CIO of Commonfund (1996-2002) and Azimuth Asset Management (2003-2007). Prior to that he worked in the futures industry and has taught economics and finance at the University of Chicago, Stanford University and Macalester College.
He is the author of numerous articles and a book, Financial Futures and Options, a Guide to Markets, Applications and Strategies (Quorum 1989). He serves as a trustee or board member for the National Futures Association, the Futures Industry Association, Lebanese American University and the Committee for Economic Development.
Mr. Petzel holds a Ph.D., M.A. and B.A., with honors, in Economics from the University of Chicago.
Other Upcoming QWAFAFEW Events:
QWAFAFEW Denver Meeting: Annual Forecast Dinner 2009 - joint meeting with Denver CFA Panelists include Burton Malkiel and Jeff Macke
Thursday, March 12, 2009 - 5:00pm; The Ritz-Carlton, 1881 Curtis Street, Denver
Date: Thursday - March 12, 2009
Time: 5:00 - 10:00 PM; Venue; QWAFAFEW is buying one table (of 10) and we will honor regular pricing:
Guests: $35; Members: $10; Space is limited.
Secure your seat by calling Lisa Rice at 303-683-3343 and send a check to the following address. Please make checks payable to QWAFAFEW Denver.
Address: Lisa Rice, Secretarial Solutions, 6057 S. Lakeview St., Littleton CO 80120
Questions: Email Denver@ qwafafew.org
QWAFAFEW Boston Meeting:- Tuesday March 17 – Speaker & Topic TBA
QWAFAFEW Hartford Meeting – Thursday May 7 – Dan DiBartolomeo & Michael Wilcox – More details to follow soon.
PRMIA Events, Programs, and Certification Training (www.prmia.org)
PRMIA Notes (visit www.prmia.org for more details):
Although the 2009 Complete Course in Professional Risk Management at Columbia University has kicked off as of January 14, registrations for the individual sessions (listed below) are still being accepted. The following classes take place Wednesday evenings from 6:30 - 9:30 pm at Columbia University in New York:
Market Risk Management - March 11, 18, & 25, 2009;
Credit Risk Management - April 1, 8 & 15, 2009;
Operational Risk Management - April 22 & 29, 2009;
Capital Allocation - May 6 & 13, 2009;
Governance and Case Studies - May 20 & 27, 2009.
On Tuesday, March 17, in Washington DC, PRMIA is hosting a free event, "Deflating Bubble V" featuring Christopher Whalen and four other experts in the field. Please see website for more details.
On Thursday, March 26, 8:30 AM (EDT), PRMIA invites you to join Professor Leo M. Tilman's discussion, "Effective Leadership for Risk Professionals", a 60-minute Webinar. Professor Tilman will make a short presentation and then answer questions about the persisting disconnect between strategic decisions and risk management across the financial industry. Please sign up for the Webinar through the PRMIA website or contact jill.fisher@prmia.org for further details.
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Future QWAFAFEW-NYC Meetings (all Tuesdays unless otherwise indicated)
Apr 28th, 2009 – Brooke Allen, Maple Securities USA – Head, Quantitative Strategies – “Very Personal Finance”
May 26th, 2009 – Joseph Mezrich, Nomura Securities & Michael Cook, AG Asset Management
Jun 23rd, 2009 – Seddik Meziani, Montclair State University, & Ronit Walny, Kellogg Specialists
Jul 21st, 2009 - Mary Ann Bartels, Merrill Lynch US Equity Strategist and C. Michael Carty New Millennium Advisors
Wednesday Aug 19th, 2009 - Diane Garnick, Equity Strategist, INVESCO and Herbert Blank, Rapid Ratings International
Sep 22nd, 2009 Ian Domowitz, ITG and Jennifer Bender, MSCI Barra
Oct 27th, 2009 - Dan DiBartolomeo, Northfield Information Systems & Jason MacQueen, Alpha Strategies
Nov 20th, 2009 – To be confirmed.
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