2025/03/10 – In-Person and On-Line
LQG 2026/03/10 – 18:30 – Thematic Investing as Missing Factors – Wai Lee – IP *OLO* Hybrid
Seminar by Wai Lee
The LQG is very grateful to our hosts of this seminar.
Thematic Investing as Missing Factors
Thematic investing is commonly viewed as an active approach to capturing structural trends. This article reconceptualizes thematic investing as a special case of factor investing within a total portfolio risk framework. From a factor perspective, asset co movements arise from shared systematic exposures; themes are interpreted as missing or under represented factors in conventional risk models, often due to their emerging, transient, or localized nature. We propose a rigorous yet practical framework for risk managed single and multi thematic portfolios. The framework isolates thematic exposures from established market, industry, and style factors and incorporates narrative information to capture theme evolution. Empirical comparisons with thematic exchange traded funds (ETFs) demonstrate economically significant differences in portfolio composition and risk characteristics, highlighting improved thematic concentration and risk transparency.
About the Speaker
Wai Lee
Head of Systematic Research and Senior Portfolio Manager
Allspring Global Investments
Wai Lee is head of systematic research and senior portfolio manager at Allspring Global Investments. He joined Allspring from its predecessor firm, Wells Fargo Asset Management (WFAM). Wai joined WFAM from Neuberger Berman, where he was the head of quantitative investments and a senior portfolio manager. Previously, he was the head of the quantitative engineering group at Credit Suisse Asset Management (CSAM). He joined CSAM from J.P. Morgan Investment Management, where he began his investment industry career in the 90s and was in charge of quantitative research and risk management for the global balanced group. Earlier, he was a postdoctoral research fellow at the Harvard Graduate School of Business. Wai is the author of the book Theory and Methodology of Tactical Asset Allocation and has contributed book chapters on different topics. He earned a bachelor’s degree with honors in mechanical engineering from the University of Hong Kong, a master’s degree in business administration and a Ph.D. in finance from Drexel University. He currently serves on the Advisory Board of The Journal of Portfolio Management and the Editorial Board of The Journal of Systematic Investing. He has won the Peter L. Bernstein Award, and several Bernstein Fabozzi/Jacobs Levy Award for Best Article and for Outstanding Article. His work was also featured in Celebrating 40 Years: A Look Back at the Most Influential Research in The Journal of Portfolio Management.