Name: September 19 SQA Seminar
From: 19 Sep 2019
To: 19 Sep 2019
Address: The Penn Club
30 W 44th St., New York, NY 10036
Organizer: Society of Quantitative Analysts
Pricing: - variable
Description: September 19th Seminar
Title: "Surprising Alpha"
Join us at the Penn Club for a fascinating discussion at the core of what drives portfolio returns:
Jason Hu (Chairman and CIO of Rayliant Global Advisors) will show that the outperformance of a number of portfolio construction methodologies results from favorable hidden underlying risk exposures. This explains some interesting observations, where even inverted strategies can outperform the benchmark.
Robert Fernholz (Founder and former CIO of Intech) will directly dispute this, and argue that the outperformance of some methods is not due to risk exposures, but rather due to an excess growth component of returns, that effectively captures the diversification benefits of different portfolios. This excess growth component can instead explain the outperformance of even the inverted strategies outlined by Jason.
A number of surprising results and important practical implications for portfolio construction will be discussed.
to receive monthly newsletter with news & upcomming events