Hanken Finance Day 2020
Den årliga Hanken Finance Day äger rum online 17 september med temat "Factor Investing".
Programmet går på engelska. Seminariet är gratis och öppet för Hankens alumner, studenter, personal och partnerföretag.
Se på bandningen här
Programmet går på engelska. Seminariet är gratis och öppet för Hankens alumner, studenter, personal och partnerföretag.
Deltagarlänken skickas till anmälda per e-post när evenemanget närmar sig.
Hankens studenter och personal kan också delta utan anmälan. Mera information hittas här.
Hanken förbehåller rätten till eventuella ändringar i programmet.
Program
14.00-15.30
Välkomnande ord
Factor Investing in Practice: Diversification Benefits and Implementation Costs
Marie Brière
Head of Investor Research Center at Amundi and Affiliate Professor at Paris Dauphine University
Framework for Risk Premia Investing: Is There Anywhere to Hide?
Kari Vatanen
Chief Investment Officer at Veritas Pension Insurance Company
The foundations of factor investing
Paulo Maio
Professor of finance at Hanken School of Economics
Diskussion och frågor
Dagens talare och ämnen
Marie Brière, Head of Investor Research Center at Amundi and Affiliate Professor at Paris Dauphine University
Factor Investing in Practice: Diversification Benefits and Implementation Costs
Factor investing emerged as the byproduct of factor models of asset pricing and is widely popular today among institutional investors. It consists in holding assets with positive exposure to selected risk factors and, if possible, shorting those with negative exposure. We will assess the merits of diversified portfolios of factors on the stock market by using sector investing as the benchmark. Then, we will examine the question of practical implementation. We will discuss the impact of shortselling restrictions on factor performance. Using a large database of the US institutional investors' trades, we will provide new insights on the question of factor portfolio transaction costs.
Kari Vatanen, Chief Investment Officer at Veritas Pension Insurance Company
Framework for Risk Premia Investing: Is There Anywhere to Hide?
Alternative risk premia (ARP) strategies are traditionally assumed to diversify both equity and bond market risk. We investigate the nature and risk characteristics of commonly known investable ARP strategies using investment bank strategy data. While most of the strategies have low full sample betas to both equity and commodity markets, several strategies exhibit statistically significant positive betas to bond markets. Additionally, characteristics of most ARP strategies change in the tails of equity and bond market distributions. Consequently, we propose a framework for diversified ARP portfolio construction that uses a hierarchical risk allocation process instead of whole sample volatilities and correlations.
Paulo Maio, Professor of finance, Hanken School of Economics
The foundations of factor investing
The presentation will cover some of the recent academic research related to this topic, with emphasis on the risk-return trade-off underlying factor investing.
Frågor
Hankens alumnverksamhet koordinerar evenemanget. Vid frågor, vänligen kontakta alumnkoordinator Mira Aarnivuo på alumni@hanken.fi Opens in new window