- Speaker: Igor Yelnik | ADG Capital Management
- Date: 10th October 2017 – 18:30
Place: BAML, The Haberdashers’ Hall
- Topic: Right Turn. Over – by Igor Yelnik
- Click the link register / book on-line : click here
How much risk does an investment portfolio turn over in a given period of time? In other words, how aggressively does it trade in terms of changing exposure to underlying risks? Rather surprisingly, the investment community still lacks a consistent definition that measures this important portfolio property. The conventional measure of portfolio turnover, which quantifies trading intensity in nominal terms, does not serve this purpose well enough. We will discuss an alternative measure, which, loosely speaking, represents the overall risk traded per unit time.
- About Igor Yelnik
Igor Yelnik manages a systematic macro programme at ADG Capital Management LLP, which he joined in 2013. Prior to that he spent 9 years at IPM Informed Portfolio Management AB (Sweden) where he was a Partner and Head of Portfolio Management and Research. Igor led the development of the firm’s core investment strategy, GTAA, which by early 2012 managed several billion USD, predominantly for large institutional investors. Prior to his engagement with IPM Igor co-founded St.Petersburg Capital, an asset management firm that specialised in the Russian securities market, and later Unibase Invest, a managed futures business based in Tel Aviv.
- This seminar is kindly hosted by Bank of America Merrill Lynch at The Haberdashers’ Hall
The London Quant Group is very grateful to Bank of America Merrill Lynch for hosting this event
- The Haberdashers’ Hall
18 West Smithfield
- Click the link for a map to the venue