Harvesting Risk Premia in Equity and Bonds Markets Seminar (New Haven, CT)

July 11 – 13, 2017

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Investment portfolios are based on the idea that risk must be taken in order to increase expected returns. However there are intelligent ways to take risk. Participants will learn about how to use current models and empirical evidence about global capital markets to construct asset portfolios based on the principles of factor investing, with a particular focus on equity and bond markets. The seminar introduces the historical evidence for the existence of “smart beta” portfolios based on equity and fixed-income factors in global markets. The economic rationale behind factor portfolios is explored: why have they provided higher returns historically? What are the risks the factor portfolios are exposed to and when do they manifest themselves? Will factor risk premia continue in the future? How do factors behave during financial crises? How costly are they to implement? How are factor exposures combined into a portfolio? The behavioural foundations of factor risk premia and portfolio choice are also essential for modern risk managers and portfolio managers to understand, and they will be discussed.

EDHEC Business School
10 Fleet Place
London
EC4M
United Kingdom