LOCATION: Lulu, 125b George St, Edinburgh, EH2 4JN, United Kingdom
Impact of constraints in optimised factor portfolios
Presented by: Melissa Brown
Time: drinks served 6pm with the presentation beginning at 6.30pm Sharpe
Cost: Free (drinks and canapés sponsored by S&P Global, Northfield and Thomson Reuters)
Many investors who use optimization to construct their portfolios believe they need to layer on constraints to ensure that portfolio risk will remain within bounds. In this study we look at how those constraints can have significant impact, creating portfolios that often stray from the factor they are targeting, introduce unwanted characteristics, appear less efficient than those with fewer constraints, and do not necessarily help returns. Our discussion will focus on global portfolios attempting to tilt on low volatility and high momentum.
Melissa Brown – Axioma
As Managing Director of Applied Research, Melissa Brown generates unique insights into risk trends by consolidating and analyzing the vast amount of data on market and portfolio risk maintained by Axioma. Brown’s perspectives help both clients and prospects to better understand and adapt to the constantly changing risk environment. As author of Axioma Insight: Quarterly Risk Review, Brown reports on the state of risk in publicly traded equity markets around the globe. In addition, Brown produces periodic special reports on a broad range of topics of interest to investors and asset owners. Brown is a frequent speaker on the subject of market risk and is often quoted by the financial media.
Prior to joining Axioma in 2011, Brown was Managing Director and head of the institutional business at Wintrust Capital Management. Before that she spent 10 years at Goldman Sachs Asset Management, most recently as a Partner in the Quantitative Investment Strategies (QIS) Group.
At Goldman Sachs Asset Management, Brown worked closely with clients as the senior portfolio manager for GSAM’s US Equity Strategy, before becoming co-head of Client Portfolio Management in the QIS Group. She was previously Director of Quantitative Research at Prudential Securities, where among other things she popularized the idea of the “cockroach theory” of earnings surprise and appeared on Institutional Investor’s
“All-Star” list for 10 straight years. Brown is a Chartered Financial Analyst. She holds a BS in economics from The Wharton School of the University of Pennsylvania and an MBA in finance from New York University.
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