26 - 28 January 2021

This year's Practitioner Seminar was hosted virtually over three days.

The event covered four core sessions:

Session 1: ESG and quantitative investing

- Green Sentiment (with S. Ramelli): Marie Briere, Amundi

- ESG in Factors (with A. Ang, K. Hogan and Y. Chan): Katharina Schwaiger and Viktoria-Sophie Wendt, BlackRock

Session 2: Machine learning alpha

- The Promises and Pitfalls of Machine Learning for Predicting Stock Returns (with E. Leung, D. Mischlich, Y. Shea and M. Strohl): Harald Lohre, Invesco

- Boosting Momentum (with H. Kaufmann and J. Vogt): Philip Messow, Quoniam

Session 3: Capacity and trading costs of factor portfolios

- The Cost of Trading Factor Portfolios (with M. Steliaros and E. Hoch): Giuliano De Rossi, Goldman Sachs

- Where is the Room to Grow - Assessing the Capacity of Factor Investing Strategies: Frank Siu, Qontigo

Session 4: New perspectives on style factor investing

- Resurrecting the Value Premium and Settling the Size Matter (with D. Blitz): Matthias Hanauer, Robeco

View the full programme below.

You must be logged in to view the presentation slides and recordings.