Date And Time
Tue, 7 May 2019, 18:00 – 21:00 BST
Lulu, 125b George St, Edinburgh, EH2 4JN, United Kingdom
The impact of portfolio construction on equity factor portfolios
Presented by: Melissa Brown
Time: doors opening at 6pm with the presentation starting at 6.15pm Sharpe
Cost: Free (drinks and canapés sponsored by Northfield and Axioma)
What, exactly, is a “Factor”? And more specifically how does one define a factor’s performance? Your Bloomberg terminal may say one thing, while a risk model vendor may tell you something completely different. We believe that many things can drive those differences, and aim to address some of them head-on.
In this presentation we will compare different methods of constructing global factor portfolios (given a specific factor definition) that are used in factor evaluation and performance attribution. We will show that the way the portfolio is defined is critical in evaluating a factor’s effectiveness and portfolio impact. Other topics will include issues faced by managers using long-short factors to attribute long-only portfolios and why simple factor bucketing can give quite misleading results. The bottom line is that the simplest definition, such as a quintile sort, captures too many other factors to be an effective measure of factor performance.
Melissa R. Brown, CFA – Managing Director, Applied Research, Axioma
As the Head 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. Melissa’s perspectives help both clients and prospects to better understand and adapt to the constantly changing risk environment. As an author of Axioma Insight: Quarterly Risk Review, Melissa reports on the state of risk in publicly traded equity markets around the globe. In addition, she produces periodic special reports on a broad range of topics of interest to investors and asset owners, 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.
What is QWAFAFEW?
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 (firstname.lastname@example.org)
Thank you to our sponsors!