19 November 2007
Applying Earnings Quality to Your Process
Tim Gaumer, CFA, Director of Fundamental Research, Starmine
StarMine’s research in the area of earnings quality indicates that there are multiple “sources” of corporate earnings, all with varying levels of sustainability. Applying Earnings Quality to Your Process provides an in-depth look at what these sources are and how they determine the degree to which reported earnings are both reliable and likely to persist. Mr. Gaumer will explore several recent case studies where impending earnings disappointments were precluded by clear signals that earnings quality was deteriorating. Please join us for this vibrant discussion geared towards defining how earnings quality analysis can be used to enhance portfolio returns.
21 November
The Risks You Know and the Risks You Don’t – The End of the Affair?
Dr John Blin, Chairman and Founder, APT
Did August 2007 spell the end of the affair for “quant” investing? Now that the massive losses of yesterday’s quant darlings have made it to the front page of the Wall Street Journal what can an agnostic risk model tell us?
We tell the tale of two portfolios: an actual (typical) quant portfolio and a less ambitious one. We analyse the sudden change in the US market “fabric” and its source. We compare it to other seismic events in previous market shifts. And we measure how much this altered the risk forecasts both short term and long term. Can an agnostic risk model react fast enough to sound the alarm? And why? We review the evidence and show how a new factor wreaks havoc with dogmatic risk views, and exposes the conflation of systematic tilts with stock selection discipline.
Early December
Searching for Better Beta
Jason Hsu, Principal & Director, Research and Investment Management, Research Affiliates LLC
Indexing is a powerful and inexpensive method for equity investing. It is has immense capacity, is highly liquid and naturally diversified. It has increasingly become more in demand as some pension fund investors seek to segregate alpha active returns from more broadly defined market beta. But defining “beta” can itself be in question as methods utilised in its construction are under scrutiny. Historically, index/passive construction has relied primarily upon market-capitalisation weighting to determine the portfolio. Inherent limitations in this method have lead to alternatives such as equal weighting and, more recently, weighting based on company fundamentals.
Jason will discuss the pros and cons of different indexing methodologies in his presentation.
