Factor Based Asset Allocation
SFI Prof. Pierre Collin-Dufresne, Professor of Finance, EPFL
Andreas Koester, CIO Global Asset Allocation, UBS Wealth Management
Konrad Kania, Group Internal Audit, UBS Wealth Management
Dr. Francesco Mandalà, Fund Specialist, Julius Baer
This Master Class will be held by videoconferencing from 13h00 to 16h00
Factor models have been at the heart of optimal portfolio construction since the original diagonal market model of Bill Sharpe (1963). Recently, there has been renewed interest in factor-based investing among practitioners. The Master Class on “Factor Based Asset Allocation” provides the background to understand factor models and how they are used to build risk-models and investment portfolios. It reviews some of the most popular factor models and discusses benefits and pitfalls of factor-based investing.
Current Situation
Factor models have been at the heart of optimal portfolio construction since the original `diagonal market model’ of Bill Sharpe (1963). They are widely used to construct risk-models (e.g., MSCI-Barra factor models) and to estimate expected returns (e.g., Fama-French (1993)). Recently, there has been renewed interest among practitioners to develop factor-based investing approaches (e.g., BlackRock, AQR…).
Objective
The Master Class on “Factor Based Asset Allocation” provides the background to understand factor models and how they can be used to build investment portfolios. It reviews some of the most popular factors among investment professionals and discusses benefits and pitfalls of factor-based investing. The topics discussed during the afternoon are:
1. Factor Models, the APT and the CAPM
2. The Barra factor model of the covariance matrix of returns
3. The Fama-French-Carhart factor Model of expected returns
4. Performance measurement using factor models
Target Audience
The Master Class is aimed at professionals in the financial industry who work in Institutional Banking, Asset- and Wealth Management, and as well in Investment Banking. The format will be a combination of lectures, discussions, and group problem solving.
SAQ Recertification
This Master Class is an acknowledged SAQ recertification measure for the CWMA profile and comprises four learning hours.