NYSSA’s Private Wealth Management Committee presents

Asset Allocation and Beyond

Thursday June 27, 2013 9:00 AM - 12:00 PM
NYSSA Conference Center
Available as: Live Session;
Categories: Private Wealth Management, Programs for Members, Seminar

The face of asset allocation has permanently changed. In the aftermath of the 2008 crisis, many investment managers realized that time-tested approaches no longer worked. NYSSA’s idea-packed Asset Allocation and Beyond will address new approaches to managing the risks, returns, and interconnectedness of multi-asset portfolios.

At this program, you will:

  • Be better able to define and discern risks inherent in investment portfolios 

  • Learn practical techniques for managing and identifying risks inherent in diversified portfolios

  • Deepen your professional networks by engaging with other participants and the speakers 

  • Gain exposure to ideas not frequently addressed in the classroom (especially valuable for students focused on careers in investment management)

Who should attend

Analysts, investment strategists, investment officers, portfolio managers, financial advisors, and investment advisors. Students particularly are urged to attend to get a heads-up on latest thinking in asset allocation with a focus on managing risk.


9:00 Introduction to Asset Allocation and Its Evolution
Attilio Meucci, CFA

9:45 Show Me the Money: What Works In Tactical Allocation?
Wesley Gray, PhD, Drexel University LeBow College of Business

10:45 Implementing Risk Factor and Risk Parity Models: Blackrock’s Experience
Phil Hodges, PhD, BlackRock Global Market Strategies Group 

11:30 A New Approach for Analyzing and Managing Macrofinancial Risks
Mila Getmansky Sherman, UMass Amherst


Wesley R. Gray, PhD, is an assistant professor of finance at Drexel University’s LeBow College of Business, where his research focus is on empirical asset pricing and behavioral finance. Gray teaches graduate-level investment management and a seminar on hedge fund strategies and operations. Gray is also the executive managing member of Empiritrage, LLC, an SEC-registered investment advisor, and Turnkey Analyst, LLC, a firm dedicated to educating and sharing quantitative investment techniques to the general public. Gray’s professional and leadership experiences include service as a US Marine Corps intelligence officer (captain) in Iraq and various posts in Asia. Gray has also published two books: Embedded: A Marine Corps Adviser Inside the Iraqi Army and Quantitative Value: Automating Intelligent Investment and Eliminating Behavioral Errors. Gray earned an MBA and a PhD in finance from the University of Chicago Booth School of Business and graduated magna cum laude with a BS in economics from the Wharton School, University of Pennsylvania.

Philip Hodges, PhD, director, is a member of BlackRock's Global Market Strategies Group (GMSG). Hodges is head of research for the Market Advantage Group which manages factor-based risk parity strategies for institutional and retail clients. He is also a member of the Global Markets Strategies Group Research Oversight Board. Hodges' service with the firm dates back to 2007, including his years with Barclays Global Investors (BGI), which merged with BlackRock in 2009. Previously, Hodges has served as a research officer within the Client Solutions group in San Francisco and a quantitative analyst within the Liability Driven Investment team in London. Prior to joining BGI, Hodges was a post-doctoral research associate in chemical physics at the University of Oxford and Université Lyon I. Hodges earned a MChem degree, with honors, in chemistry and a DPhil in molecular spectroscopy from the University of Oxford in 2002 and 2006, respectively.

Attilio Meucci, CFA
, is a pioneer in advanced risk and portfolio management. His innovations include Entropy Pooling (technique for fully flexible portfolio construction), Factors on Demand (on-the-fly factor model for optimal hedging), Effective Number of Bets (entropy-eigenvalue statistic for diversification management), Fully Flexible Probabilities (technique for on-the-fly stress-test and estimation without re-pricing), Copula-Marginal Algorithm (algorithm to generate panic copulas), and Liquidity Conditional Convolution (technique to generate liquidity- and funding-risk adjusted portfolio distribution). Meucci is the founder of SYMMYS, under whose umbrella he designed and teaches the six-day ARPM Bootcamp, and manages the charity One More Reason. Meucci is the chief risk officer and director of portfolio construction at Kepos Capital LP. Previously, Meucci was the head of research at ALPHA, Bloomberg LP's portfolio analytics and risk platform; a researcher at POINT, Lehman Brothers' portfolio analytics and risk platform; a trader at the hedge fund Relative Value International; and a consultant at Bain & Co, a strategic consulting firm. Concurrently, he taught at Columbia-IEOR, NYU-Courant, Baruch College-CUNY, and Bocconi University. Meucci is the author of Risk and Asset Allocation and numerous other publications in practitioner and academic journals. He holds a BA summa cum laude in physics from the University of Milan, an MA in economics from Bocconi University, and a PhD in mathematics from the University of Milan.

Mila Getmansky Sherman is an associate professor of finance at the Isenberg School of Management at UMass Amherst. Getmansky Sherman's research specializes in empirical asset pricing, hedge funds, performance of investment trading strategies, financial institutions, systemic risk, and system dynamics. She received a BS degree in chemical engineering and minor in economics from MIT and a PhD degree in management from the MIT Sloan School of Management. Prior to her current position at UMass Amherst, she was a post-doctoral fellow at the MIT Lab for Financial Engineering. Getmansky Sherman is an active faculty member of the Center for International Securities and Derivatives Markets (CISDM) at UMass Amherst. Her work has been published in several journals including the Journal of Financial Economics, Review of Financial Studies, Financial Analysts Journal, and the Journal of Investment Management. Professor Getmansky Sherman is an associate editor of the Journal of Alternative Investments. Before joining UMass Amherst, Getmansky Sherman worked in the quantitative research group at the Deutsche Asset Management. She has had numerous government appointments and affiliations being a visiting scholar at the US Securities and Exchange Commission (SEC) and the Board of Governors of the Federal Reserve System. She was a contractor at the US Commodity Futures Trading Commission (CFTC) and an interdepartmental government fellow at FRB, SEC, CFC, IMF, OFR, and OCC.

Program Details

Thursday, June 27, 2013

9:00 a.m.–12:00 p.m.
Breakfast will be provided.

NYSSA Conference Center
1540 Broadway, Suite 1010 (entrance on 45th Street)
 New York, NY

Member $55
Student $25
Virtual Member $75
Nonmember $75
($5 surcharge for walk-ins)

Press can attend this event free of charge. Please email press@nyssa.org if you’d like to attend. Space is limited.

Registration Deadline
Tuesday, June 25, 2013

If you are unable to register for this event online, please call (212) 541-4530 for assistance.

Wesley R. Gray, PhD, Assistant Professor of Finance, Drexel University LeBow College of Business
Philip Hodges, PhD, Director, BlackRock's Global Market Strategies Group
Attilio Meucci, CFA
Mila Getmansky Sherman, Associate Professor of Finance, Isenberg School of Management, UMass Amherst

Janet J. Mangano
Michael Livian

Additional Information
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