Asset Allocation Netværket II-2015

Program

8.30 Registrering, morgenbord

9.00 Dynamisk aktivallokering med Regimeskift”
Peter Nystrup (Sampension)
identifikation af regimeskift i finansielle tidsserier
betydningen af tidsvarierende parametre
giver en dynamisk strategi højere afkast end en statisk portefølje?

10.15
Pause, kaffe

10.30 Sharpe Parity as an alternative to Risk Parity”
Ramin Nakisa (UBS)
Risk parity has worked well but has had some “hiccups” (Summer 2013) when correlation broke down and equity and Treasuries sold off together.
Momentum strategies also work well, particularly for equities – Sharpe parity marries the two giving risk-adjusted momentum.
We show that Sharpe parity is not immune to drawdown but the recovery time for Sharpe parity is faster than risk parity and it will outperform in a low nominal growth World in which we now find ourselves

11.45 Wrap-up

12.00 Tak for i dag

BIOS

Peter Nystrup – Sampension
Peter er uddannet civilingeniør i matematisk modellering og computing fra DTU, har tidligere arbejdet i Nordea Markets og er nu erhvervsPhD hos Sampension og sektionen for dynamiske systemer ved DTU Compute.

Ramin Nakisa
Ramin works as a strategist in Global Multi Asset Strategy at UBS Investment Bank. The team advises clients on how to position portfolios across global capital markets to achieve superior strategic and tactical investment performance. Previously, Ramin taught at the UBS Business University covering all asset classes traded by the Investment Bank and prior to teaching was in UBS Delta. He has also worked in roles in market and credit risk, modelling bank customer behaviour using Bayesian statistics, and as a postdoc at Oxford on neural network models of language acquisition.

Ramin has a first in Physics and a doctorate in Biophysics from Imperial College, London. He is also the author of “Invest in Fear” which shows how to profit from financial storms, and an introductory finance textbook called “A Financial Bestiary” aimed at those embarking on a career in finance or those who want a readable introduction to banking and an understanding of the most popular instruments traded across all asset classes.