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Using Sentiment Analysis and the Volatility Risk Premium to Enhance Portfolio Returns

3/28/2017

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You are cordially invited to join Chicago QWAFAFEW, along with other co-sponsors CBOE, Chicago CAIA, and Chicago PRMIA for a free event featuring presentations by Joe Gits and Edward Szado.

When: Wednesday, April 5, 2017 from 5:00 p.m. to 7:00 p.m.
Where: CBOE 4th Floor, 400 So. La Salle St., Chicago, IL 60605

Topics to be discussed include: 
•  Developing investable and actionable intelligence from analysis of sentiment trends on social media;
•  Utilizing sentiment and options-based benchmark indices showing stock-like returns and bond-like volatility;
•  Analysis of the volatility risk premium and the persistence of "rich” pricing for index options;
•  Review of the performance of dozens of funds that use options-based strategies.

Register: To register for the April 5 event please visit this webpage http://bit.ly/CBOE-Apr5 by the end of the month (space is limited).
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Panel Members:
·  Joe Gits, CFA, CEO and Co-Founder, Social Market Analytics (SMA)
·  Edward Szado, Ph.D., CFA, Assistant Professor of Finance, Providence College.
·  Moderator: Matt Moran, VP, CBOE 
Biographies:
Joe Gits, CFA, is CEO and Co-Founder of Social Market Analytics (SMA), and he is a pioneer in the emergence and growth of quantitative trading systems and alternative data. Prior to launching Social Market Analytics (SMA), he co-founded Quantitative Analytics, Inc. (QAI), a market-leading provider of integrated database solutions for quantitative researchers and traders. Joe integrated QAI’s technology into Thomson Financial (now Thomson Reuters), after its 2007 acquisition. He oversaw the development and maintenance of the content, analytics and APIs that drove historical analytics. Joe earned his MBA from DePaul University and his BA from the University of Iowa. He is a CFA Charterholder.
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Edward Szado, Ph.D., CFA, is Assistant Professor of Finance, Providence College. He is also the Director of Research at the Institute for Global Asset and Risk Management and received his Ph.D. in Finance from the Isenberg School of Management, University of Massachusetts, Amherst. He has taught Risk Management at the Boston University School of Management, Derivatives at Clark University and a range of finance courses at the University of Massachusetts Amherst. He is a former options trader and his experience includes product development in the areas of volatility-based investments and structured investment products. He is also a Chartered Financial Analyst and has consulted for the Options Industry Council, the Chicago Board Options Exchange, the Chartered Alternative Investment Analyst Association and the Commodity Futures Trading Commission.
 
QWAFAFEW is an informal organization for discussions of quantitative investment topics. QWAFAFEW has active chapters in Chicago, Boston, Hartford, New York, Denver, Princeton, and San Francisco.
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Current Chicago QWAFAFEW Steering Committee members: 
  • Adam Cohen, Zacks Investment Research, Inc.
  • Barry Feldman, IMCI, LLC
  • Ben Johnson, Morningstar, Inc.
  • Mark Shore, Shore Capital Research and DePaul University
  • Matthew Moran, Chicago Board Options Exchange
  • Ram Ben-David, Eckhardt Trading Company
Recent emeritus members: 
  • Cindy Tsai, Environment Envisioned, Inc. 
  • Peter Carl, William Blair and Company
  • Steve Greiner, Charles Schwab

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Marketplace Lending for Institutional Investors and Wealth Managers: An Overview 2017

3/15/2017

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By Mark Shore
Chief Research Officer, Shore Capital Research LLC
Adjunct Professor, DePaul University

Since 2014 when we published “P2P Lending for Institutional Investors and Wealth Managers: An Overview” about investing in peer-to-peer lending, the industry has continued to grow and evolve, so the timing seemed appropriate to provide an updated overview of the industry.

Not only has the lending volume increased, but the types of loans have expanded to include consumer loans, small business loans, student loans, auto loans and real estate loans.

Topics of the paper include:
  • MPL Lending Industry Overview
  • Growth of Loan Origination
  • Evolution of Industry Infrastructure
  • MPL: Fixed Income or Alternative Investment?
  • Accessing the Asset Class
  • How does P2P/MPL behave in a rising interest rate environment?
  • Risk and Return of MPL


To download the paper click here​

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Copyright ©2017. Contact Mark Shore for permission for republication at info@shorecapmgmt.com Mark Shore has more than 25 years of experience in the futures markets and managed futures, publishes research, consults on alternative investments and conducts educational workshops. www.shorecapmgmt.com 
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Mark Shore is also an Adjunct Professor at DePaul University’s Kellstadt Graduate School of Business, where he teaches the only known accredited managed futures course in the country. He is also a Board Member of the Arditti Center for Risk Management at DePaul University.
​

Past performance is not necessarily indicative of future results.  The opinions expressed are only for educational purposes. Please talk to your financial advisor before making any investment decisions.

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Mark Shore on VSTOXX Derivatives 3-part series

3/9/2017

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Mark Shore has more than 25 years of experience in the futures markets and managed futures, publishes research, consults on alternative investments and conducts educational workshops (see full biography on page 18).

Part 1: Utilizing a European volatility index for Pan-European volatility 
 
Part 2: VSTOXX®/VIX volatility spread behavior during recent volatility events  

Part 3: Introduction of CFTC-certified options on VSTOXX® Futures 

To download the paper click here

Follow Mark Shore on Twitter, Facebook and Linkedin


Copyright ©2017 Mark Shore. Contact Mark Shore for permission for republication at info@shorecapmgmt.com Mark Shore has more than 25 years of experience in the futures markets and managed futures, publishes research, consults on alternative investments and conducts educational workshops. www.shorecapmgmt.com 
​

Mark Shore is also an Adjunct Professor at DePaul University’s Kellstadt Graduate School of Business, where he teaches the only known accredited managed futures course in the country. He is also a Board Member of the Arditti Center for Risk Management at DePaul University.
​

Past performance is not necessarily indicative of future results. There is risk of loss when investing in futures and options. Futures and options can be a volatile and risky investment; only use appropriate risk capital; this investment is not for everyone. The opinions expressed are solely those of the author and are only for educational purposes. Please talk to your financial advisor before making any investment decisions.
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NYC Managed Futures / Emerging Manager Forum 2017

3/9/2017

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CTAExpo LLC Presents:
CTA Expo / Emerging Manager Forum in NYC 2017

The New York event on April 27, 2017 is a combination of Emerging Manager Forum and CTA Expo. The Expo / Forum is a one day conference consisting of speakers and panels combined with extensive networking opportunities. Attendees can attend any of the presentations throughout the day or decide to talk and network with other industry professionals.

Topics include:
Presentation Of The CTA Expo / Emerging Manager Forum Lifetime Achievement Award
Recipient:
Emerging Manager Selection... An Investors Prospective
Alternative Shark Tank
Cyber Security... It's Effect On Investors, Managers And Global Markets
Opportunities Overseas For Emerging Managers And Emerging Manager Investors
Becoming An Industry Thought Leader... What Steps Do I Take
Financial Technology... The Future For Investors And Trades
Operational Issues And Client Services... What Investors Look For And What Managers Should Provide
 
Speakers Include:
Bucky Isaacson & Frank Pusateri (CTAExpo LLC)
Dermot Butler
Julie DeMatteo (Managing Partner, RJ Oasis)
Bobby Schwartz (Managing Partner, RCM Alternatives)
Michael Rose (Managing Partner, Rose Capital Advisors)
Marc Rosenberg (Founder, Quality Management Consultants)
Bruce Frumerman (Founder & CEO, Frumerman & Nemeth LLC.)
Michael Dubin (Senior Advisor, Silvercrest Asset Management)
Brett Horton (Consultant)
Ole Rollag (Managing Principal, Murano Systems)
Ronald Honka (Partner in Charge - Financial Services, Grassi & Co.)
Craig Holliday (Abbey Consulting)
Carlos Collazo (Principal Advisor, Cyber Intelligence & Business)
Stephen Klein (President, Abington)
Alex Lenhart (Director of US and Europe Sales, SGX)
Bob Swarup PhD (Principal, Camdor Global)
Lynette Lim ( CEO, Phillip Capital Inc.)
Tracy Williams (CEO, Olmstead Williams Communications)
Rumi Morales (Executive Director, CME Ventures)
Brad Janitz (Manager Futures Division, Midland IRA)
Keith Willis (Senior Manager, Trident Fund Services)
Rainford Knight PhD (Managing Partner, Florida Institute of Finance)
Mark Ruddy (Principal, Ruddy Law Office, LLC.)
John Hynes (CEO, HedgeFacts)
 
Date: Thursday April 27th, 2017
Time: 8am to 4:30pm
Venue: Stewart Hotel, 371 Seventh Ave (at 31st Street) New York City, NY
 
There will be a cocktail reception immediately following the event
 
For more information and registration click here
 
About CTA Expo:
The CTA Expo and Emerging Manager Forum conferences were started in 2008 to help Professional Investors, Allocators, Capital Raisers, Institutions, and RIA’s meet and identify new and emerging talent in the Hedge Fund, CTA, FX, and Alternative Management space to promote alternative investments. We now offer events in New York, Chicago, and Miami.

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    The postings on this site are not recommendations for trades and should not be perceived as such. Losses may occur from trading futures and options. Please talk to your financial advisor before trading futures or options. Past performance is no guarantee of future results.

    Proposals for consulting projects may be sent to mshore@shorecapmgmt.com

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