• March 2018 Optimal Blending of Smart Beta & Multifactor Portfolios

    • Speaker: Ashley Lester PhD | Head of Multi-Asset Research at Schroders
    • Date: 13th March 2018 – 18:30
      Place: BlackRock, 12 Throgmorton Avenue, London EC2N 2DL
    • Topic: Optimal Blending of Smart Beta & Multifactor Portfolios

    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 and delivers 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.

    • About Ashley Lester

    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.

    • This seminar is kindly hosted by BlackRock.
      The London Quant Group is very grateful to BlackRock for hosting this event
    • BlackRock
      12 Throgmorton Avenue,
      EC2N 2DL
    • Click the link   for a map to the venue