November,09 2017 @ 0:00am - November,09 2017 @ 0:00am



Factor Investing Conference: “From Traditional to Alternative Risk Premia”

After the success of the London 2015 Workshop on “Risk Based and Factor Investing”, we are proud to announce this new event organized by the QMI and Imperial College London Business School with the support of Unigestion and UBS.


8:30–9:30: Registration

9:30–9:45: Opening address

Robert Kosowski, Imperial College and Unigestion
Emmanuel Jurczenko, EHL and QMI
Gaëlle Le Fol, Université Paris – Dauphine and QMI
Fiona Frick, Unigestion

9:45–12:00: Factor Investing – Session 1

Chair: David Jessop (UBS)

– Vitali Kalesnik (Research Affiliates): Investment and Profitability – Quality Factor that Actually Works
DiscussionJames Sefton (Imperial College)
– Daniel Giamouridis (Bank of America Merrill Lynch): Go with the Flow, or Hide from the Tide? Trading Flow as Signal in Style Investing (not available online)
DiscussionCharles-Albert Lehalle (CFM)
– Dimitris Melas (MSCI): Factor Investing and ESG Integration
DiscussionAandreas Hoepner (ICMA)

12:00–13:45: Lunch Break

13:45–16:00: Factor Investing – Session 2

Chair: Robert Kosowski (Unigestion and Imperial College)

– Jérôme Teiletche (Unigestion): A Macro Risk-Based Approach to Alternative Risk Premia Allocation
DiscussionSpyros Mesomeris (Deutsche Bank)
– Harindra de Silva (Analytic Investors): Diversification and the Variance Risk Premium
DiscussionPascale Della Corte (Imperial College)
– David Jessop (UBS): Optimising Cross-Asset Carry
DiscussionBernd Scherer (Bankhaus Lampe)

16:00–16:45: Coffee Break

16:45–18:00: Panel Session – Factor investing and Risk Premia: New trends and future challenges

Moderator: Rob Mannix, Desk Editor for Asset Management and Insurance (Risk Magazine)

– Alexei Jourovski, Managing Director and Head of Equities (Unigestion)
– Bob Bass, Managing Director (BlackRock)
– Gerben de Zwart, Head of Quant Equities (APG)
– Jesper Kirstein, CEO (Spektrum)

18:00-19:00: Cocktail


Thursday, 9 November 2017 1 day conference

This event is organized by the Quantitative Research Initiative (QMI) and Imperial College London Business School, with the support of Unigestion and UBS. It will take place: Victoria and Albert suite at the Radisson Gloucester Road, London, Thursday 9 November.