Break Out Sessions


During each part of the break out sessions we will have 4 different presentations to choose from. Each of these presentations will be given 2 times. On the registration form you can select which 2 presentations you like to attend during each of the break out sessions (please select 8 presentations in total).

 

Break out session 1 (A/B/C/D):
12:45 – 13:15
13:15 – 13:45

Session A: Factor Investing is Active Investing:
Brian Wimmer, Senior Investment Strategist, Investment Strategy Group, Vanguard:
Factor investing, despite its ability to be passively implemented, is a form of active management. Brian Wimmer discusses why it's active and what investors need to think about when assessing factor strategies. Wimmer considers the sources of potential returns, the cyclical nature of performance and how a manager targets a factor to create a portfolio. He also explains why, regardless of the strategy chosen, investors should remain focused on the importance of costs and discipline.

Session B: Green Beta – Integrating Environmental (and Social and Governance) Factors into Smart Beta: William Cazalet, Managing Director, Head of Equities, Mellon Capital Management
Whether seeking to reduce their exposure to CO2, focus on specific social issues or encourage better corporate governance, investors increasingly demand the inclusion of Environmental, Social and Governance (ESG) factors in their investment strategies. Smart beta should be no exception. What means do investors have to incorporate ESG factors in their portfolios in a meaningful way? What are the potential advantages and pitfalls of a smart beta approach that aims to deliver a responsible investment strategy while targeting certain factor exposures?

Session C: Effective and Efficient Factor Exposure
Gareth Parker, Senior Director, Indexes Research, Design & Development at FTSE Russell
Discussion concerning factor combinations frequently focuses on beneficial reductions in tracking error & turnover. We consider the implications of such reductions for factor exposure objectives. The dynamics of the returns to individual factors vary considerably, highlighting the diversification opportunities arising from combining factors. We examine alternative approaches to multi-factor index construction and consider the implications of the resulting factor exposures. In this presentation Gareth Parker will outline an innovative way to construct a multi-factor indices that results in consistent and meaningful levels of exposure to targeted single and multi-factor objectives. The general approach outlined results in a flexible, transparent and efficient approach to achieving multi-factor outcomes. He will compare and contrast other construction methodologies outlining potential pitfalls and shortcomings.

Session D: Benchmarking Systematic Equity
Mark Voermans, Senior Portfolio Manager Quantitative Equities, APG:
Systematic equity (factor investing) strategies are widely used and currently very popular amongst investors. Most asset managers and index providers offer products in this area. Investors will have no problem finding systematic equity strategies, but they will have difficulties determining which strategy matches their investment objectives best. Choosing a benchmark is one of these difficulties. The goal of this presentation is to discuss what type of benchmark potentially matches what type of investment objective. Using no benchmark can be ideal, given that all parties involved are included in the process of researching and developing the strategy. In this presentation different types of benchmarks are discussed. What kind of portfolio construction rules are needed to develop a strategy and what kind of incentives a benchmark can give the investment manager will also be addressed.

 

Break out session 2 (E/F/G/H):
13:45 – 14:15
14:15 – 14:45

Session E: The Crowding and Liquidity Dilemma in Factor Investing – Evidence from Different Asset Classes: Thomas Kieselstein, CIO, Managing Partner, Quoniam Asset Management
There is a risk of crowding within factor investing: for equities, momentum exposure has been key in driving returns during the past few years. Today, it is expensive and potentially “crowded”. How can we measure crowding? Is it time to part with the trend and switch into value? We believe in managing factor exposures dynamically. Likewise, what does crowding mean for Fixed Income with the ECB elephant in the room? This and other liquidity considerations are crucial in portfolio construction today. Thomas Kieselstein will elaborate on how a systematic investment process can address these issues.

Session F: The Surprising Impact of Rebalancing on Rules-Based Portfolios
Carl Moss, Senior Managing Director of Investments, INTECH:
Traditional ways of analysing a portfolio’s performance are often essentially static. They typically neglect the dynamic effects of the rebalancing required to keep the portfolio in shape. We will be looking at an analysis of some well-known types of equity portfolio to see how their characteristics are due to their intrinsic style, and how much is due to the rebalancing required to keep the portfolios true to style. Since 1987 INTECH’s investment process relies on capturing a rebalancing premium by buying low and selling high, moving back to target weights that are only dependent on correlations and volatilities among stocks. INTECH's proprietary estimates of variances and covariances are the foundation of the process, while regular optimization and rebalancing are the alpha-capturing mechanisms. Rebalancing – the act of trading in the presence of volatility – is the mechanism for capturing an excess compound return over multiple time periods

Session G: Maintaining full diversification potential when combining factor risk premiums while managing implicit macro risks: Dr. Benedikt Henne, Managing Director and CIO Systematic Equity, AllianzGI:
The Best Styles approach to factor investing has created a very stable outperformance pattern over the last 17 years by combining factor risk premiums in a highly diversified way without using timing. Benedikt Henne will show how this integrated solution adds value by avoiding macro-sensitivities and unintended risks that are implicit in a simple combination of smart beta ETFs or in a simple multi-factor model.

Session H: Are Factor Strategies Becoming Crowded?
Dimitris Melas, Global head of Equity Research, MSCI:
Factor investing is having a profound impact on the way long term investors construct and manage their portfolios. Is the rising popularity of factor strategies leading to crowding? In this presentation we discuss how investors can use valuations and other indicators to assess potential crowding in factor strategies.

 

Break out session 3 (I/J/K/L):
15:15 – 15:45
15:45 – 16:15

Session I: Factor Investing: from concept to implementation
Joop Huij, PhD, Executive Director, Head of Factor Investing Research and Simon Lansdorp, PhD, Researcher, Factor Investing Research team at Robeco
When it comes to the implementation of Factor Investing strategies, many choices have to be made. In this session we discuss several considerations and its consequences related to implementing factor strategies. This includes tracking public factor indexes; following naïve factor strategies; and naively combining factors.

Session J: Key Design Questions in Factor Investing – Do’s and Don'ts
Tarek Eldon, PhD, Head of Research, GEODE:
How simple should factor portfolios be? While simplicity is a key advantage of smart beta portfolios, we argue that early implementations often overshot the goal. In this session we discuss the tradeoffs between simplicity and complexity and propose some general properties that a well-designed factor portfolio should possess. One area of focus will be the relationship between design decisions and a portfolio's risk profile.

Session K: The Pitfalls of Factor Investing
Peter Wesselius, Senior Quantitative Portfolio Manager – Equities, Achmea Investment Management
Choosing one or more factors to build a (multi-)factor portfolio is just one of the many choices we make within the factor investing process. Key in our investment process is the premise that the majority of portfolio’s realized performance must be explained by the performance of our selected factors. We discuss our experiences in dealing with factors' implicit sector/country bets, how to make the trade-off between turnover and expected return and how to ensure that the portfolio always has the intended factor exposure, also after the optimization process.

Session L: The Smart, the Dumb and the Alpha: A framework to understand Smart Beta and Risk Factor Investing: Yves Choueifaty, President and CIO, Tobam:
The Smart Beta initiative has been much talked about but remains a concept that has never been properly defined. The incarnation of Beta made by market cap-weighted indexes is now commonly accepted as non-efficient. The origins of the Smart Beta initiative was to propose an alternative to this ‘dumb’ beta. TOBAM, as one of the pioneers of the movement in the early 2000’s, with its Maximum Diversification approach set up a new framework to capture the risk premium and deliver the true ‘beta’. The emergence of Risk Factor Investing and its inclusion to the field of Smart Beta is questionable since it belongs to the scope of arbitrage strategies. We will propose in this presentation a framework to better understand the different solutions and illustrate how our approach remains a core investment while Risk Factor Investing provides satellite investments solutions.

 

Break out session 4 (M/N/O/P):
16:15 – 16:45
16:45 – 17:15

Session M: Equity Factor Allocation using ETFs – a passive approach
François Millet, Head of Product Line Management, ETFs & Indexing, Lyxor Asset Management
How does indexing lend itself to better factor investing? François Millet discusses how well-designed factor indices can lead to robust, factor-rich portfolios with granular regional focuses. Looking at cost, liquidity, transparency and simplicity, he will explain the benefits of an ETF approach to factor investing. He will also illustrate how investors can enhance their returns by building tactical portfolios with single factor ETFs, and strategic portfolios with multifactor ETFs.

Session N: Improving Risk-adjusted Returns in Factor Investing
Matt Peron, Managing Director, Global Equity at Northern Trust
How well smart beta indices capture exposure to compensated risk factors and minimize unintended, uncompensated exposure can help explain the wide differences in performance results among these products. To more accurately measure intended risk factor exposure, we undertook extensive research and developed a new metric called the Factor Efficiency Ratio (FER). In this session we will share our research and look at how investors can use the FER to identify indices or funds with purer factor exposure and correspondingly higher risk-adjusted returns.

Session 0: Core/Satellite 2.0 - An Alternative Equity Proposition
Bram Bikker, Head of Equity & Fixed Income, Altis Investment Management
Factor investing research and product innovation have been gaining momentum. Although the quality of these factor based solutions varies widely, we can indeed identify a number of interesting equity investment solutions, which only recently became available to investors. In our presentation we will demonstrate that a multi-factor portfolio can serve as an alternative to a market-cap weighted passive portfolio component. In addition we will also look at a new Core/Satellite 2.0 proposition, which combines a multi-factor portfolio component (´Core´) with a fundamental active (“Satellite”) component. We believe this approach improves the efficient separation between (factor) beta and (selection) alpha and enhances the risk adjusted return potential of an equity portfolio.

Session P: Mainstreaming factor-investing
Jaap van Dam, Principal Director Investment Strategy, PGGM
Factor investing generates a lot of interest and is gaining traction with pension funds. Investors typically have a strong conviction that factor investing adds value. However, it is a long way from being part of the standard toolkit of building blocks that pension funds use as part of their investment solution. Based on experience and conversations with pension fund trustees Van Dam will shed a light on the reasons why they might keep distance from factor investing. Based on these insights he will provide ideas as how to bridge the gap.

 

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