Programme


May 24, 2016, from 12.30pm – 5.30pm
ROSARIUM, Amsterdam
Seminar Factor Investing: What steps need to be taken for Factor Investing 2.0?

 

11:30 Registration and reception with lunch

12:30 Welcome & Introduction
Ramon Tol, Fund Manager Equities at Blue Sky Group

12:45 Break out session 1
13:15

A: Factor Investing is Active Investing, Brian Wimmer, Senior Investment Strategist in the Investment Strategy Group at Vanguard
B: Green Beta – Integrating Environmental (and Social and Governance) Factors into Smart Beta, William Cazalet, Managing Director, Head of Equities at Mellon Capital Management
C: Effective and Efficient Factor Exposure, Gareth Parker, Senior Director, Indexes Research, Design & Development at FTSE Russell
D: Benchmarking Systematic Equity, Mark Voermans, Senior Portfolio Manager Quantitative Equities at APG

13:45 Break out session 2
14:15

E: The Crowding and Liquidity Dilemma in Factor Investing – Evidence from Different Asset Classes, Thomas Kieselstein, CIO, Managing Partner at Quoniam Asset Management
F: The Surprising Impact of Rebalancing on Rules-Based Portfolios, Carl Moss, Senior Managing Director of Investments at INTECH
G: Maintaining full diversification potential when combining factor risk premiums while managing implicit macro risks,Dr. Benedikt Henne, Managing Director and CIO Systematic Equity at AllianzGI
H: Are Factor Strategies Becoming Crowded?, Dimitris Melas, Global head of Equity Research at MSCI

14:45 Coffee break

15:15 Break out session 3
15:45

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
J: Key Design Questions in Factor Investing – Do’s and Don'ts, Tarek Eldin, PhD, Head of Research at GEODE
K: The Pitfalls of Factor Investing, Peter Wesselius, Senior Quantitative Portfolio Manager – Equities at Achmea Investment Management
L: The Smart, the Dumb and the Alpha: A framework to understand Smart Beta and Risk Factor Investing, Yves Choueifaty, President and CIO of Tobam

16:15 Break out session 4
16:45

M: Equity Factor Allocation using ETFs – a passive approach, François Millet, Head of Product Line Management, ETFs & Indexing at Lyxor Asset Management
N: Improving Risk-adjusted Returns in Factor Investing, Matt Peron, Managing Director, Global Equity at Northern Trust
O: Core/Satellite 2.0 - An Alternative Equity Proposition, Bram Bikker, Head of Equity & Fixed Income at Altis Investment Management
P: Mainstreaming factor-investing, Jaap van Dam, Principal Director Investment Strategy at PGGM

17:15 Summary of findings and conclusions, Closing

17:30 Drinks Reception

 

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). More information about the individual break out sessions.

 

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