October,01 2015 @ 0:00am - October,23 2015 @ 0:00am



Risk Based and Factor Investing

At the heart of the asset management industry, risk based portfolio construction and factor investing will be taken up by the presentation of several academic papers recently published in a book on these themes.

This event is organized by the QMI/QuantValley Research Project and Imperial College London Business School, with the support of Unigestion, CFA Society of the UK and UBS. It will take place: LGS (Lecture Theatre Lower Ground Square), Imperial College Business School, South Kensington Campus, London SW7 2AZ, Thursday 5 November.


November 5, 2015


8.30am – 9.00am: Registration

9.00am–9.30am: Opening address

Alex Michaelides, Imperial College Business School
Emmanuel Jurczenko, EHL and QMI
Fiona Frick, Unigestion
David Jessop, UBS

9.30am–11.00am: Risk-based portfolio construction – session 1

Chair: David Jessop (UBS)

– Thierry Roncalli (Lyxor Asset Management): Smart beta : choosing the right diversification constraint in minimum variance portfolios
DiscussionMarie Brière (Amundi)
– Jérôme Teiletche (Unigestion): Risk-based investing but what risks?
DiscussionDaniel Giamouridis (Athens University of Economics and Business)

11.00am – 11.15am: Coffee Break

11.15am–12.45pm: Risk-based portfolio construction – session 2

Chair: Jérôme Teiletche (Unigestion)

– Nick Baltas (UBS): Trend-following meets risk-parity
DiscussionRafael Molinero (Molinero Capital Management)
– Bernd Scherer (Deutsche Bank Asset Management): Frictional diversification costs : evidence from a panel of fund of hedge fund holdings
DiscussionThierry Michel (Lombard Odier)

1.00pm – 2.00pm: Lunch Break

2.15pm–4.15pm: Factor investing session

Chair: Gaëlle Le Fol (Université Paris – Dauphine and QMI)

– Raul Leote de Carvalho (BNP Paribas Investment Partners): Low risk anomaly everywhere : evidence from equity sectors
DiscussionJames Sefton (Imperial College)
– Felix Goltz (ERI Scientific Beta, EDHEC Risk Institute): Designing multi-factor equity portfolios
DiscussantMichael Steliaros (Bank of America Merrill Lynch)
– Serge Darolles (Université Paris-Dauphine & QMI): Robust allocation with systematic risk contribution restrictions
DiscussionTristan Froidure (TOBAM)

4.15pm – 4.45pm: Coffee Break

4.45pm–5.45pm: Define and implement factor investing: panel session

Moderator: Barbara Petitt (CFA Institute)

– David Buckle (Fidelity)
– David Jessop (UBS)
– Alexei Jourovski (Unigestion)
– Lise Renelleau (Axa Investment Managers)

5.45pm – 7.00pm: Cocktail


LGS (Lecture Theatre Lower Ground Square), Imperial College Business School, South Kensington Campus, London SW7 2AZ