This month, let’s talk about maintaining and improving your personal and professional momentum – “sharpening your tools”. Stephen Covey, the popular and successful self-help author promoted a similar mantra in his 1989 book, The 7 Habits of Highly Effective People.  The idea, or lesson, was to take some time, no matter how busy you were, to self-renew. Grow by refreshing yourself, by learning new things, and by enhancing your tool kit.  I’ll give you a few suggestions that can be timely in the context of the current market volatility. The first recommendation is a book written by a good friend of the CMT Association, Dr. Andrew Lo.  The book I’m referring to is his 2017 work titled, Adaptive Markets.  In it, Dr. Lo argues the Efficient Market Dogma is an incomplete framework when it comes to understanding and profiting in the markets.  He advances a more complete framework he calls the Adaptive

On Wednesday, January 15, 2020, the New York Chapter hosted Larry Connors, Chairman and Principal Executive Officer and Chris Cain, CMT, Senior Quantitative Researcher from Connors Research LLC. Their presentation was titled: “The Alpha Formula Book and Quantamentals ” and was broken down into three sections: The three first principles that make up “The Alpha Formula” The strategies presented in “The Alpha Formula” book along with their results Quantamentals – Combining Technical and Fundamental analysis in a quantitative framework for better investment results Larry walked us through the first part of his presentation which discussed his team’s book “The Alpha Formula – High Powered Strategies to Beat the Market with Less Risk.” The three primary ideas in this book include applying first principles to portfolio management, combining uncorrelated strategies in a portfolio to increase risk-adjusted returns, and designing quantitative strategies backed by inherent human behavior (which is unlikely to change). The first principles used as

On January 21, 2020, 20 members of the Minnesota Chapter met at Piper Sandler’s headquarters to hear a presentation by John Kolovos, CFA, CMT, Chief Technical Strategist at Macro Risk Advisors. John blends traditional forms of technical analysis with quantitative methods and believes technical things happen for fundamental reasons. He cited factor trends as among the most important because active managers are focused on factor tilts and trends tell which ‘ponds’ to swim in. He discussed his 2020 price target of 3455 on the S&P500 and the process he used to arrive at his estimate. The long-term uptrend remains well established since 2009, with 2994 as the lower limit and 3915 as the upper limit, with his target is the average of the two. He noted that we are closing in on the target early but will likely see the rate of change slow throughout the year. Additional markets discussed included copper, which

Please tell us what you do professionally. I have a multifaceted career.  I manage money for clients in separate accounts using equities and options through a technical approach.  I run a subscription service for clients that wish to trade their own account.  I am also an Assistant Professor of Banking and Finance, Weatherhead School of Management, Case Western Reserve University. How did you get there? All of these roles have developed following a 22-year career trading and managing training desks at several Wall Street firms.  It started when I was laid off during the financial crisis and started Dragonfly Capital Management.  It was a consulting firm at first and then morphed into money management and the subscription service.  The teaching is the most recent. I began in 2015 on the introduction of a friend to the head of the Banking and Finance department.  We talked about my process for managing risk and that led to

The National Association of Active Investment Managers (NAAIM) invites members of the CMT Association to submit research to their annual Founders Award. The Founders Award is a research competition that draws entries from all over the world in the areas of computational finance, advanced algorithms, tactical investment management techniques, strategic investment strategies and numerous other topics, all designed to further our knowledge of the active investing world. The competition is open to anyone involved in financial services, including academic faculty, researchers and graduate students, investment advisors, analysts and other financial professionals. Papers need to focus on describing an investment technique, its pros and cons and the market conditions under which it is expected to fare well or poorly, or should explore topics in active investing that are of broad interest to the investment community. The winning author will receive the following prize package: $5,000 cash prize and the opportunity to present the winning paper at