IPE Breakfast Seminar Series 2018
Factor Investing - The Next Chapter
London, Tuesday 17 April The Ritz
London W1J 9BR
Breakfast & Networking
Introduction & Overview
Daniel Ben-Ami, Deputy Editor, IPE
Factor Investing in Practice: Efficient Implementation of Risk Premia Strategies
Why is factor investing becoming more and more popular: a different reading of the active versus passive debate;
The first (but not the toughest) challenge for investors: where does multifactor strategy sits in an institutional portfolio? Core/Strategic versus Satellite/Tactical;
The cost of front running in smart beta: alarming evidence from listed smart beta ETFs! How best to harvest risk premia?
Not everything that is backed by solid academic literature works.
Presented by Andrea Nardon, Head of Quant, Partner, Portfolio Manager - Sarasin Quant Solutions (SQS)
Opportunities within Smart Beta: Understanding Methodologies and Assessing the Impact on Investment Outcomes
Aberdeen Standard Investments’ quantitative equities expert will discuss the various smart beta methodologies and how these affect investment outcomes. He will cover a broad range of topics including:
Evaluating the impact of using optimisation techniques: Capturing behavioural and structural mispricing and diversification opportunities;
Multifactor versus single factor approaches: Evaluating methods to minimise the timing risk of each factor;
Exploring the effect of more concentrated versus more diversified smart beta methodologies;
Frequency of rebalancing: Selecting the optimum time to implement a rules-based methodology and understanding the impact on a portfolio’s investment themes and allocation;
Integrating ESG in smart beta methodologies: Assessing benefits, challenges and approaches.
Presented by Boyan Filev, Co-Head Quantitative Equities, Aberdeen Standard Investments
Coffee & Networking
Bringing Clarity to the Confusion of Smart Beta
The recent growth in factor investing or smart beta has created the need for a common language and standards to create best practices in portfolio management and construction. This session will explore ways to implement factors into your portfolio in a consistent and transparent manner including:
Understanding the effect of factors within your portfolio;
Exploring the evolution from style investing to factor investing taking place today;
Examining a new framework and standard for evaluating, implementing and reporting factor allocations;
Learning how to analyse your portfolio including how to easily compare factor exposures with other funds and benchmarks, while effectviely reporting fund or style characteristics.
Presented by Dimitris Melas, Global Head Of Core Equity Research, MSCI
De-bugging Smart Beta: Experience Matters
This presentation will highlight common issues encountered by investors and provide solutions that Northern Trust Asset Management has developed over 20+ years managing factor-based strategies.
From appointment to disappointment: Lessons learnt from early adopters of smart beta
Alleviating common challenges: Applying a considered approach to portfolio construction and implementation;
Aligning expectations and reality: Avoiding unintended risks; finding factor efficiency.
Andrew Knell, Senior Equity Investment Strategist, Global Equity, Northern Trust Asset Management