IPE Breakfast Seminar Series 2018
Factor Investing - The Next Chapter
Zurich, Thursday 03 May Marriott Hotel
Breakfast & Networking
Introduction & Overview
Frank Schnattinger, Chefredakteur, IPE Institutional Investment
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
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.
Ferdinand Haas, Head Of Investment Specialists EMEA and APAC/Head Of Product Strategy, DWS
Coffee & Networking
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.
David Wickham, Senior Investment Specialist, Aberdeen Standard Investments
Factor Investing in Practice: Efficient Implementation of Risk Premia Strategies
Not everything that is backed by thick academic literature works. This session examines the cost of trading and what investors should look out for, as factor portfolios tend to have a large turnover that is not suitable for each market. Topics raised include:
Why is factor investing becoming more and more popular: A different reading of the active versus passive debate;
Overcoming the first challenge of factor investing about where a multifactor strategy sits in an institutional portfolio:
Core/strategic versus satellite/tactical:
A case study of factor investing in Swiss equities.
Andrea Nardon, Head of Quant, Partner, Portfolio Manager - Sarasin Quant Solutions (SQS)