San Francisco Chapter September 2008 MeetingMeeting was held on September 9, 2008
Venue:
101 California St
San Francisco, CA 94111 (415) 788-4101 Speaker: Yang Lu, Research Director, Quantal Asset Management
Topic: Queue structure - Another way to rebalance a portfolio
Abstract: Portfolio rebalancing is a logistical process to transfer alphas to investment returns. Time structure in alpha and portfolio formation is implicit in commonly used portfolio rebalancing tools.
In this presentation a new method is introduced to rebalance portfolios using a queue like structure. This structure makes it possible for managers to control both the cross sectional make-up and time structures explicitly. Risk management and liquidity considerations will also be discussed for this system. Bio: Yang Lu is the Director of Research for Quantal Asset Management and is a Senior Portfolio manager for the Fortress-Quantal Fund, which is a Global Long-Short Equity Fund. Yang's prior roles have included portfolio manager at Marin Capital Partners, Manager of R&D at Wharton Research Data Services and Scientific Officer at the Paul Scherrer Institute.
Use the acteva link below to register for the meeting. QWAFAFEW members who have already paid their 2008 dues do not need to register. https://www.acteva.com/go/qwafafew San Francisco QWAFAFEW Steering Committee (Alphabetical Order)
Niel Gibeau, Acme Alpha
Ralph Goldsticker, Mellon Capital Management Rosy Macedo, Thomas J Watson Fellowship Program Robert Maxim, Duff & Phelps Matt O'Hara, Barclays Global Investors Jim Quinn, Quantal International Irene Rusman, Oracle Membership & Inquiries Annual membership fee is a $50. Members will enjoy free attendance at meetings. To be added/removed to the SF QWAFAFEW mailing list please send email to mailinglist.sf@qwafafew.org.
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September 2008 Meeting |