Beating Benchmarks with Multi-Asset Factor Premia

Beating Benchmarks with Multi-Asset Factor Premia

Presented by: Louis Scott - formerly of Alphidence, no current affiliation

Time: doors opening at 5.15pm with the presentation starting at 5.30pm Sharpe

Cost: Free (drinks and canapés sponsored by Northfield and Qontigo)

Abstract

Capital preservation is one of the major concerns of long-term investing, and how best to protect a portfolio against drawdowns is one of its most vexing elements. The authors turned to factor premia, or smart beta, and studied its effects on a long horizon (20-30 years), goals-based investment strategy. To date, there is limited but very suggestive evidence that supports the downside protection properties of factor premia, and hence their ability to mitigate drawdowns. They consider multi-asset-class factor premia overlays to underlying equity–bond investments. The benefits of the overlays are assessed across the accumulation and decumulation stages of an investor’s lifecycle. Their analysis suggests that factor premia provide notable benefits by increasing the likelihood of achieving accumulation goals, smoothing the transition path to achieving those goals, and enhancing decumulation outcomes.

Louis Scott

Louis Scott was a quantitative researcher at Alphidence Capital, a systematic macro hedge fund. No current affiliation. Louis was the founder of Kiema Advisors, a research and development consultancy. He was previously Head of FactSet's Risk and Quantitative Research, managing their multi asset class risk models. Louis was a Senior Portfolio Manager and researcher at Old Mutual Asset Managers Quantitative Strategies Group where he developed market neutral and asset allocation strategies. He managed a US long only fund with over 1 billion is assets at Citigroup Asset Management. Prior to that he was a research quant at PanAgora Asset Management where he developed alpha models for global equities and risk models for equities, bonds and FX. He was also a co-manager of the currency strategy with over 1 billion in assets. He serves as a member of the London Quant Group's informal management committee. He is a mathematician trained at Brown and MIT. His research interests include the dynamics of returns across countries, industries and asset classes, and optimal forecast selection methods.

What is QWAFAFEW?

QWAFAFEW (Quantative Work Alliance for Applied Finance, Education, and Wisdom) is an informal organization of quantitatively oriented professionals in various aspects of financial services (primarily investment management). With existing chapters in Boston, New York, Chicago, Denver, Pittsburgh, Princeton, San Francisco, Washington DC, Hartford, and Philadelphia. The Edinburgh chapter is the first in Europe.

The group was formed a number of years ago to provide a venue for quantitative researchers to discuss their evolving work with peers. Our membership includes a wide variety of interests and levels of responsibility. The members span the gamut from owners and senior executives of investment related organizations to recent entrants to the industry. All share a common interest in quantitative solutions to understanding investment markets. Join QWAFAFEW-Europe LinkedIn Group or the North American LinkedIn Group to keep up with the latest developments. 

Why join QWAFAFEW?

As the quantitative investment community in Edinburgh has grown QWAFAFEW organization provides a forum for discussing relevant topics, exchanging ideas and networking with peers in an informal setting. QWAFAFEW is a non-profit group created and managed by members of the quantitative community. 

Please join us and feel free to invite friends and colleagues. For more information contact Matt Monach ([email protected]).

Thank you to our sponsors: Northfield and Qontigo!

Event Venue & Nearby Stays

Lulu, 125b George St, Edinburgh, United Kingdom