Tuesday, May 26th
Joseph Mezrich, Nomura Securities International, Inc
Sriketan Mahanti, Orissa Group, Inc.
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
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AGENDA
5:30 - 6:10 Registration, Networking, and Refreshments
6:10 - 6:15 Chapter Business
6:15 - 7:00 Presentation 1 - How macro is priced in equity factors; A brief tour of the crisis and its aftermath - Joseph Mezrich, Nomura Securities
Factor based investing has traditionally ignored the influence of macro forces on performance. That caused considerable pain during the credit crisis. The force of macro continues to be disruptive to many as the market has rallied – though some have figured out what needs to be done.
I will review a number of points, including: why value was crushed and where the opportunity for value is likely to be now. The real signal in estimate dispersion; how it affects style investing, how it reflects and reveals the state of the economy. Volatility & risk: Has something changed about the market’s pricing of the VIX? There are obvious and not-so obvious implications on how to construct portfolios of factors for stock selection strategies.
7:00 - 7:15 Break - More Networking & Refreshments
7:15 - 8:00 Presentation 2 – Liquidity Risk: Estimation and Applications - Sriketan Mahanti, Orissa Group, Inc
A recent area of concern and analysis in both financial economics and capital markets has been liquidity. Broadly speaking, liquidity is the ease with which a financial asset can be traded. Liquidity risk, on the other hand, can be defined as the uncertainty associated with the measure of liquidity. We provide empirical evidence that validates the notion that liquidity risk is not efficiently priced and provides trading opportunities if exploited properly. Further, we design an information based model of liquidity where trading agents are driven by superior information, liquidity needs, or hedging requirements. We demonstrate that such a model can predict future period liquidity.
8.00 – 8:15 PM – More Networking, Refreshments, and Libations
About our speakers:
Joseph Mezrich is Managing Director and Head of Quantitative Research, at Nomura Securities International, Inc... Prior to joining Nomura in January 2006, he served as Managing Director and Head of U.S. Quantitative and Derivatives Research at UBS, commencing in 2002. From 1998 to 2002 he was Head of Quantitative Strategies/Quantitative Strategist at Morgan Stanley. From 1987 to 1998 he was Deputy Head of the Equity Portfolio Analytics Group at Salomon Brothers. Joe received the Ph.D. in Mathematical Psychology and MA in Statistics from the University of Michigan, and received the EE and the SM degrees in Electrical Engineering from the Massachusetts Institute of Technology.
Sriketan Mahanti, is a founder and Managing Director at Orissa Group, Inc.,
where he is responsible for the management of activities for product strategy and research in Liquidity Risk. Previous to this role, Mr. Mahanti spent several years at State Street Global Markets where he managed credit markets research. Prior to State Street, Mr. Mahanti was the founder of SKG Inc., a financial analytics company that was acquired by State Street. Mr. Mahanti has academic publications in area of Liquidity Risk in reputed financial journals. Mr. Mahanti has both a B.S. and an M.S. from the Indian Institute of Technology.
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