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    Joint Meeting with MTA | The 60/40 Portfolio is Dead: How Machine Learning Can Drive a Better Dynamic Portfolio

    February 18, 2015
    5:30 PM - 8:00 PM
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    103 West 103 West Paces Ferry Rd
    Atlanta, GA 30305  Directions


    $0.00 Member Fee

    $35.00 Guest Fee

    We are partnering with the Market Technicians Association on this Event and is free to ASFIP and MTA members.  Please join us!  

    The 60% stock / 40% bond portfolio has been a cornerstone of investment practice for decades.  The general idea is to allocate one’s assets in this static ratio, with occasional rebalancing to maintain the ratio.  The 60/40 approach does have benefits and many wealth managers and conservative investors still follow this practice.  It is conservative, reliable and “time proven.” But we believe there’s a better way — A dynamic portfolio using conservative instruments (large cap stocks and fixed income) can outperform the 60/40 and even the recent bull market.

    Lucena Research CTO Tucker Balch, Ph.D. will show you how we can improve on the 60/40 in two ways: First, by using a Machine Learning-inspired macro economic model we can dynamically shift the ratio between stocks and bonds in anticipation of downturns or bull markets.  Second, by choosing better equity instruments and more reactive fixed income assets to reduce volatility as well.

    The talk will cover:
    * A review of the 60/40 portfolio and its benefits.
    * How macro economic factors can forecast market strength.
    * Building a macro model using Machine Learning approaches.
    * Using the macro model to dynamically allocate assets.
    * How more reactive fixed income securities make a better portfolio.
    * A review of backtests and live trading results.

    Tucker Balch, Ph.D is a former F-15 pilot, current co-founder and CTO of Lucena Research, Inc. and current professor of Interactive Computing at the Georgia Institute of Technology.  His research focuses on topics that range from understanding social animal behavior to the challenges of applying Machine Learning to Finance. His online course, Computational Investing Part I, is the top online course offered by Georgia Tech with over 175,000 students enrolled. Balch earned his B.S. and Ph.D. at Georgia Tech.  Tucker’s honors include the NSF CAREER Award, the Georgia Tech Outstanding Service Award and a distinguished graduate designation from the USAF in Undergraduate Pilot Training. His work has been reported in Institutional Investor, the New York Times and the New Scientist.  Tucker has authored over 150 technical papers, journal articles and books, including the recent book What Hedge Funds Really Do with Philip Romero. His work has been covered by CNN and by the New York Times. His graduated students work at Goldman Sachs, Morgan Stanley, Citadel, AQR, and Yahoo! Finance.


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