IPE Breakfast Seminar Series 2018
Factor Investing - The Next Chapter

Munich, Friday 04 May
Hotel Bayerischer Hof
Promenadepl. 2-6
80333 Munich
08:00
Breakfast & Networking  
08:55
Introduction & Overview 
Frank Schnattinger, Chefredakteur, IPE Institutional Investment​ 
09:00
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 that exist and how these impact investment outcomes. He will cover a broad range of topics including:
  • Evaluating the impact of using optimisation techniques: Capturing behavioural and structural mispricings 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 David Wickham, Senior Investment Specialist, Aberdeen Standard Investments 
09:30
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 Marc Haede, Executive Director, Index Client Coverage, MSCI
10:00
Coffee & Networking
10:30
Factor investing: Avoiding the Pitfalls, Capturing the Full Potential
Using a comprehensive database of more than 200 granular sub-factors and 17 years of data and experience, DWS will look into some of the most important pitfalls of factor investing and how to potentially avoid them. Topics covered will include:
  • Factor definitions: How to avoid ambiguous or even arbitrary definitions;
  • Factor yields versus factor returns: Making the right structural assumptions;
  • Building your factor portfolio: Diversification versus conviction, integration versus combination;
  • Factor selection and factor allocation: Static versus dynamic;
  • Estimation and model design: Addressing non-stationarity and structural breaks;
  • Addressing and managing transaction costs.
Presented by Ferdinand Haas, Head Of Investment Specialists EMEA and APAC/Head Of Product Strategy, DWS
11:00
Discussion Panel / Roundtable
12:00
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