San Francisco Chapter Meeting Announcement
Next Meeting: 5.30 pm on November 10, 2009
San Francisco, CA 94111 Get directions Topic: The Dynamics of Active Portfolios
Abstract: Active
portfolios change continually as new information arrives. With turnover
controlled, today’s trading influences future trading, commingling past
and future information. Active management is a multi-period product but
is based on a single-period theory. This work expands active portfolio
analysis to include the time dimension. It shows what performance
investors can reasonably expect over time; how best to combine
short-run and long-run predictive signals; and how much trading should
be done. It includes expressions for active return before and after
trading costs, long-run active risk, and turnover. Investment
performance is seen to differ from the predictions of the Fundamental
Law of Active Management.
Speaker Bio: From 2004 through 2007 Leigh was Director of Research and then CIO at Westpeak Global Advisors in Boulder, Colorado . He joined State Street Global Advisors in 1995 and served there until 2004 in roles including senior portfolio manager of domestic equities, international equities and asset allocation, and deputy director of the Advanced Research Center. Prior to State Street, Leigh worked for The Analytic Sciences Corporation, solving statistical and computing problems for US defense and intelligence agencies. Leigh started his professional life as a theoretical physicist, with a doctorate from Oxford University, and postdoctoral research under a Nobel laureate at Princeton University. He has numerous publications in national and international journals, and contributes original presentations at investment conferences. Leigh received his PhD in theoretical physics from Oxford University in 1979, an MA from the University of New South Wales in 1976, and a BSc with First Class Honors and University Medal from the University of Sydney in 1975. He is a Chartered Financial Analyst. Use the acteva link below to register for the meeting or to purchase annual membership. QWAFAFEW members who have already paid their 2009 dues do not need to register. http://www.acteva.com/booking.cfm?bevaid=192234 The link is valid only before the meeting. San Francisco QWAFAFEW Steering Committee Jim Quinn, Quantal International - SF chapter chairman Members (Alphabetical Order) Anna Coppola, Flagship Global, Inc.
Ralph Goldsticker, Mellon Capital Management Rosy Macedo, Thomas J Watson Fellowship Program Robert Maxim, Duff & Phelps Matt O'Hara, Barclays Global Investors Irene Rusman, Oracle Seth Stafford, Oracle
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