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.
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