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LQG 13/03/18 Blending Smart Beta & Multifactor Portfolios - 18:30 BlackRock

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BlackRock EC2N 2DL

12 Throgmorton Avenue

London

EC2N 2DL

United Kingdom

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LQG 13/03/18 Optimal Blending of Smart Beta & Multifactor Portfolios

18:30 @ BlackRock , 12 Throgmorton Avenue, London. EC2N 2DL

As smart beta investments in institutional portfolios have grown—along with the additional complexity introduced by multifactor approaches—there is a growing need for guidance on how to allocate across the ever-increasing array of smart beta products.

Smart beta and multifactor investments are exposed to a common subset of elementary smart betas, combined with more idiosyncratic residual exposures. Accounting for the incidental exposures to common factors as well as the idiosyncratic exposures is necessary to design a well-diversified and efficient portfolio.

This paper develops a standard framework for investors to blend single factor and multifactor smart beta in a total portfolio context. A case study demonstrates how the methodology can be applied.

This talk will be delivered by

Ashley Lester PhD
Head of Multi-Asset Research at Schroders

Ashley is responsible for factor investing strategies (long-only and long-short), risk premium allocation modelling and proprietary portfolio construction tools. Ashley is chair of the Strategic Investment Group Multi-Asset (SIGMA) and the Model Review Group. He joined Schroders in 2015 and is based in London.

Previously, he was the Head of Fixed Income and Multi Asset Research at MSCI, with responsibility for fixed income, alternatives and risk methodology in the widely used Barra and RiskMetrics platforms.

He was a Managing Director and Head of Market Risk Methodology at Morgan Stanley from 2007 to 2013, where he was responsible for market risk models used by Morgan Stanley globally to calculate regulatory and economic capital.

Early in his career, he was Visiting Assistant Professor of Economics and Finance at Columbia Business School and an Assistant Professor of Economics at Brown University. Ashley holds a PhD in Economics from M.I.T and a Bachelor of Economics (Honours Class I and University Medal) from the University of Sydney.

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BlackRock EC2N 2DL

12 Throgmorton Avenue

London

EC2N 2DL

United Kingdom

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