Event
QWAFAFEW Denver Holiday Party
Event Details and Location:
We will meet at Marco's Coal Fired, located at 2129 Larimer St, starting at 5:30pm. Our format will allow ample time for networking both before and after the presentation.
Featured Research What, exactly, is a Factor?
We will be joined by Melissa Brown from Axioma / Qontigo.
In this presentation we will compare different methods of constructing factor portfolios (given a specific factor definition) that are used in factor evaluation and performance attribution. We will show that the way the portfolio is defined is critical in evaluating a factors effectiveness and portfolio impact. Other topics will include issues faced by managers using long-short factors to attribute long-only portfolios and why simple factor bucketing can give quite misleading results.
As Managing Director of Applied Research, Melissa Brown generates unique insights into risk trends by consolidating and analyzing the vast amount of data on market and portfolio risk maintained by Axioma. Browns perspectives help both clients and prospects to better understand and adapt to the constantly changing risk environment. As author of Axioma Insight: Quarterly Risk Review, Brown reports on the state of risk in publicly traded equity markets around the globe. In addition, Brown produces periodic special reports on a broad range of topics of interest to investors and asset owners. Brown is a frequent speaker on the subject of market risk and is often quoted by the financial media. Prior to joining Axioma in 2011, Brown was Managing Director and head of the institutional business at Wintrust Capital Management. Before that she spent 10 years at Goldman Sachs Asset Management, most recently as a Partner in the Quantitative Investment Strategies (QIS) Group. At Goldman Sachs Asset Management, Brown worked closely with clients as the senior portfolio manager for GSAMs US Equity Strategy, before becoming co-head of Client Portfolio Management in the QIS Group. She was previously Director of Quantitative Research at Prudential Securities, where among other things she popularized the idea of the cockroach theory of earnings surprise and appeared on Institutional Investors All-Star list for 10 straight years. Brown is a Chartered Financial Analyst. She holds a BS in economics from The Wharton School of the University of Pennsylvania and an MBA in finance from New York University.
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LocationMarco's Coal-Fired Pizzeria (View)
2129 Larimer St.
Denver, CO 80205
United States
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