LQG 2024/04/23 – 18:30 – Earth, Wind & Fire: Beta, Factors & Alpha – Giulio Renzi-Ricci – at Bloomberg – IP *OLO* Hybrid

Earth, Wind & Fire: Beta, Factors & Alpha

Seminar by Giulio Renzi-Ricci

2024-04-23 – In-Person and On-Line – Hybrid!

The LQG is very grateful to Bloomberg for hosting this in-person and on-line hybrid LQG.

In this seminar Giulio Renzi-Ricci will discuss three sources of risk — beta, factors, and alpha — the fundamental elements of multi-asset portfolios. He will then consider how investors should allocate between them, given different risk attitude for each. Similarly, how can investors systematically adjust for active managers’ factor exposures, which could be accessed more cheaply? In this presentation, Giulio Renzi-Ricci will outline a quantitative approach based on utility maximization to simultaneously solve the trade-off between passive, active, and factor investment opportunities. Since its initial development, this framework has prompted multiple research and business applications globally across different types of mandates and portfolio objectives. The seminar will conclude by outlining how two of the most top-of-mind areas can be incorporated, namely, private equity investing and accounting for ESG preferences.

 

Giulio Renzi-Ricci

Head of asset allocation for Europe in the Investment Strategy Group at Vanguard

Giulio specializes in multi-asset portfolio construction, single fund solutions, and econometric forecasting; and oversees the asset allocation of Vanguard’s multi-asset products and model portfolios across Europe. His research has covered topics on active-passive blending, dynamic portfolio optimization, and ESG investing. His research has been published in The Journal of Investment Management and The Journal of Portfolio Management, among others. Prior to joining Vanguard, Giulio worked at NERA Economic Consulting. Giulio has a B.Sc. in economics from Bocconi University and a M.Sc. in finance and economics from the University of Warwick.