Forskellige tilgange til faktorinvestering
Kom og hør nærmere omkring faktorinvestering og kvantitativ aktieforvaltning med forskellige tilgange. Kan markedet times og i så fald, hvordan skal dette gøres?
Scientific Beta, Robeco og Blackrock vil komme med hver deres syn på dette.
|08:30||Registrering, kaffe og let morgenmad|
|09:00||Velkomst og introduktion til dagens program|
|09:05||What is a Factor? Defining the Factor Menu
Felix Goltz, PhD, Research Director, Scientific Beta
|09:55||Constructing a well-diversified equity factor portfolio
Laurens Swinkel, Director Quantitative Research, Robeco
|11:00||Building a systematic active equity investment model: A differentiated approach for seeking consistent, differentiated alpha
Alex Ball, CFA, Director and Product Strategist and Rui Zhao, PhD, CFA, Managing Director and Portfolio Manager at BlackRock
|11:50||Debat og Sandwich|
|12:30||Tak for i dag|
Eric Shirbini, PhD
Eric Shirbini, PhD, is Global Research and Investment Solutions Director with Scientific Beta. Prior to joining Scientific Beta in 2011, Eric worked for close to twenty years as a quantitative analyst for investment banks including UBS, BNP Paribas and Nomura International. During this time he worked on a diverse range of topics including multi-factor models, fundamental stock valuation, equity market indices, portfolio construction and portfolio trading. At Nomura International, he served as Director of Quantitative Research and at BNP Paribas, he managed a team of analysts who were responsible for the Global Equity Research Database. He has also served for over twenty years on index management committees. He holds a B.Sc. and a Ph.D. from University College London and an MBA from CASS Business School.
Laurens Swinkels, PhD
Laurens Swinkels is Director at Robeco’s Quant Research team. He teaches Finance courses and has published his academic work in peer-reviewed journals. Prior to re-joining Robeco in 2016, he was a Researcher at Norges Bank Investment Management. He was a Researcher at Robeco from 2004 to 2012 and at PensionFactory and APG Asset Management from 1999 to 2004. Laurens holds a part-time position (with tenure) at Erasmus University Rotterdam, is member of the Research Committee of Inquire Europe, and the Investment Committee of the Robeco Pension Fund, and board member of the Norsk Forening for Kvantitativ Finans. Laurens holds a PhD in Finance and a Master’s in Econometrics from Tilburg University.
Alex Ball, CFA
Alex Ball, CFA, Director and product strategist, is a member of the Systematic Active Equity (SAE) business within BlackRock’s Active Equity Group. He is responsible for representing the SAE platform internally and externally within the EMEA region. Prior to his current role, Mr Ball was the lead product strategist for the Natural Resources Equities business within BlackRock. He began his time at the firm in the Proprietary Alpha Strategies team as a product strategist for BlackRock’s single strategy hedge funds. Mr Ball earned a BA degree, with first class honours, in English Literature and Language from Oxford University.
CFA CE Credit Hours
If you are a CFA Institute member, you are eligible to record 2.5 CE credit hours for your participation in this meeting.