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QWAFAFEW Edinburgh – Melissa Brown, MD-Axioma, “Impact of constraints in optimised factor portfolios”

June 6, 2018 @ 7:00 pm - 10:00 pm

All details: https://www.eventbrite.co.uk/e/impact-of-constraints-in-optimised-factor-portfolios-tickets-45734028711

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

Image result for 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.


QWAFAFEW (Quantative Work Alliance for Applied Finance, Education, and Wisdom) is an informal organization of quantitatively oriented professionals in various aspects of financial services (primarily investment management). With existing chapters in Boston, New York, Chicago, Denver, Pittsburgh, Princeton, San Francisco, Washington DC, Hartford, and Philadelphia. The Edinburgh chapter is the first in Europe.

The group was formed a number of years ago to provide a venue for quantitative researchers to discuss their evolving work with peers. Our membership includes a wide variety of interests and levels of responsibility. The members span the gamut from owners and senior executives of investment related organizations to recent entrants to the industry. All share a common interest in quantitative solutions to understanding investment markets. Join QWAFAFEW-Europe LinkedIn Group or the North American LinkedIn Group to keep up with the latest developments.

Why join QWAFAFEW?

As the quantitative investment community in Edinburgh has grown QWAFAFEW organization provides a forum for discussing relevant topics, exchanging ideas and networking with peers in an informal setting. QWAFAFEW is a non-profit group created and managed by members of the quantitative community.

Please join us and feel free to invite friends and colleagues. For more information contact Matt Monach (matt.monach@aberdeenstandard.com)

Thank you to our sponsors!



June 6, 2018
7:00 pm - 10:00 pm