04
June
9:00 — 10:30
Danske Bank, Bellevue Salen
Holmens Kanal 12

København K, 1060 Denmark
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Three Blunders that Plague Factor Investing

Factor investing has failed to live up to its press. Its success is compromised by three risks that are often underappreciated by investors. First, investors are led to develop exaggerated expectations about factor performance due to datamining, crowding accompanied by rising valuations, underappreciated trading costs and other concerns. Second, factor returns are prone to downside shocks far larger than investors might expect, for those using naïve risk management tools. Finally, investors are often led to believe that their factor portfolio is diversified. However, that diversification can vanish in certain economic conditions, when factor returns become much more correlated. Before investing, it is essential to understand the risks. Our article measures the gravity of each of these types of risks.

Registration, coffee and networking from 8:30.

Speaker

Vitali Kalesnik, PhD
Partner, Director of Research for Europe

Vitali Kalesnik is a partner and senior member of the investment team. He leads research and business strategy in the European region. Previously, Vitali led the Equity Research team and continues to perform general equity-related research.

Articles he has co-authored with others have been recognized with two Graham and Dodd Scroll Awards, a Financial Analysts Journal Readers’ Choice Award, a William F. Sharpe Indexing Achievement Award, and a Bernstein Fabozzi/Jacobs Levy Award. His research strengthens and expands Research Affiliates’ products—in particular, RAFI™ Fundamental Index™ strategies—and supports our global tactical asset allocation products.

Vitali earned his PhD in economics from the University of California, Los Angeles, where he was a winner of the UCLA Graduate Division Fellowship for 2001–2005. He speaks fluent English, Russian, and French.

Tilmeld

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Details

Date:
4 June
Time:
9:00 - 10:30
Event Category: