PRELIMINARY NOTICE OF JUNE MEETING
New venue. Epsom Community Centre.
200 – 206 Gillies Avenue, near the corner of Gillies Avenue and Kimberley Road.
Park in the lower car park with access off Kimberley Road
WHEN: Wednesday 1 June 2011
Time: 7:15pm for 7:30 start
Presentation: Tony Cooper of Double-Digit Numerics
Beating the Market using Leveraged Exchange Traded Funds and Volatility Prediction
Leveraged ETFs let you leverage your exposure to the markets without borrowing money or risking margin calls. Can we use them to boost our returns?
It is difficult to predict market returns but easy to predict volatility. How can we use this predictability to make money?
This is a presentation of the 2010 NAAIM (www.naaim.org) $US10,000 award winning paper “Alpha Generation and Risk Smoothing Using Managed Volatility” (paper can be downloaded from http://ssrn.com/abstract=1664823). NAAIM is the US National Association of Active Investment Managers, a non-profit trade group of nearly 200 registered investment advisor firms that collectively manage over $US16 billion in assets.
“Volatility has long been an important element of market analysis,” explained Dr. William Barack, president of Barack Capital Management, a member of the judging panel and co-chair of the 2010 Wagner Awards committee. “Rising volatility is typically a sign of uncertainty, and often precedes market declines, while low volatility tends to occur in rising markets. Tony’s approach digs deeper into volatility, beyond analyzing VIX charts and other volatility measures, to predict volatility and apply that knowledge to a leveraged investment approach.”
“Mr Cooper’s paper is a significant addition to the body of knowledge on active investment management,” said Jerry Wagner, president of Flexible Plan Investments, Ltd. and co-chair of NAAIMs 2010 Wagner Awards Committee. “He was able to mathematically synthesize a formula for determining optimal leverage of a portfolio. I believe his advancement has multiple applications for the investment management industry”
Mr. Cooper has a distinguished academic record, including having won the IBM Prize in Computer Science and the G.H. Bennett Prize in Statistics at Massey University; he was a recipient of the National Research Advisory Council Fellowship to study at Stanford University. His professional career includes experience as a consulting statistician for the Applied Mathematics Division of the New Zealand Department of Scientific and Industrial Research, significant IT experience at New Zealand Funds Management, as well as quantitative experience at hedge fund Crema Capital. A volunteer for Team New Zealand, Mr. Cooper has conducted wind field interpolation studies for the America’s Cup. He has a graduate degree in Statistics from Stanford University. In 2004, Cooper founded Double-Digit Numerics, an independent quantitative research and consulting firm.
We will also be covering 2 topics for our less experienced members covering: