Programme

Programme

Programme

8:30

Registration and refreshments

8:50

Welcome remarks: Erik Vynckier, Chief Investment Officer, ELI GLOBAL

9:00

KEYNOTE ADDRESS:

9:30

Panel discussion: Examining the smart beta landscape and implementation challenges in factor investing

  • Role of smart beta in the market: how has the market grown and where is it heading?
  • Combining smart beta strategies – being optimal across the whole portfolio
  • Factor portfolio construction:
    • How do you define the factor that you are tracking?
    • How do you build a factor investing portfolio?
    • How much difference can portfolio construction make?
  • Exploring approaches to minimising transaction costs
  • Does factor purity matter?
  • Avoiding unintended sector biases and excessive concentration on a particular sector

Moderator: Erik Vynckier, Chief Investment Officer, ELI GLOBAL

Damian Handzy, Global Head of Risk, STATPRO

Enrico Massignani, Head of Risk Management, GENERALI

Gianni Pola, Head of Systematic Strategies and Quantitative Research, ANIMA SGR and Lecturer on Quantitative Finance, THE MILAN POLYTECHNIC

Chiara Bertolesi, Senior Equity Portfolio Manager, ZURICH INSURANCE GROUP

10:15

Presentation: Equity factor positioning and the interest rate cycle

  • Factor timing is challenging, however striking the right balance across factors to take into account prevailing market conditions is key
  • For example, how do you manage interest rates risk within an equity factor portfolio?
  • We introduce our bottom-up and top-down factor rotation systems and demonstrate implementation through factor-specific options

Andrew Lapthorne, Global Head of Quantitative Research, SOCIETE GENERALE CIB

Benjamin Herzog, Head of Equity Factors QIS structuring, SOCIETE GENERALE CIB

10:45

Morning refreshments and networking break

11:15

Panel discussion: Integrating environment, social and governance (ESG) factors into a smart beta portfolio

  • Is there an ESG factor?
  • How do you score your investments in terms of ESG?
  • Considering asset class diversification and the growth of ESG in the fixed income space 
  • What future ESG trends should investors be thinking about?

Cristina Ungureanu, Head of Corporate Governance, EURIZON CAPITAL

Kai Hirschen, Vice President, Portfolio Manager Systematic Equity, ALLIANZ GLOBAL INVESTORS

12:00

Presentation: Generate long term performance with factor investing

  • Answering new investor challenges with risk and diversification management
  • Building factor portfolio to diversify risks and enhance long-term performance

Alessandro Russo, Head of Factor Investing, AMUNDI ASSET MANAGEMENT

12:30

Panel discussion: Challenges and opportunities in incorporating cross asset alternative risk premia to a traditional balanced portfolio

  • Allocating to alternative risk premia strategies around the macroeconomic cycle
  • Risk premia as risk hedges, challenges and opportunities
  • Credit, Interest rates, forex and commodities risk premia
  • Portfolio construction of an innovative balanced portfolio exposed to both traditional asset classes/factors and alternative risk premia

Moderator: Mauro Cesa, Quantitative Finance Editor, RISK.NET

Teodor Naumov, Head of Quantitative Portfolio Management, UBI PRAMERICA SGR

Luca Simoncelli, Senior Fund Manager, Multi Asset Absolute Return, FIDEURAM ASSET MANAGEMENT

13:15

Closing remarks: Erik Vynckier, Chief Investment Officer, ELI GLOBAL

13:20

Lunch