ANDREW ANG - Ann F. Kaplan Professor of Business - University of Columbia

(to download the presentation, click here)

Professor Ang’s interactive session will extract key elements from his new book, Asset Management: A Systematic Approach to Factor Investing,  which highlights how factor risk premiums can be harvested in portfolio design and incorporated in all aspects of investment management. Institutional investment management professionals will benefit from his insight and experience on why what matters aren't asset class labels, but instead the bundles of overlapping factor risks they represent. Investors able to weather losses during bad times better than the average investor can earn factor risk premiums over the long run. Among other things, Professor Ang’s session will outline considerations in choosing appropriate factors and optimal factor allocation, constructing robust factors, and factor timing.

A free copy of his latest book, Asset Management: A Systematic Approach to Factor Investing, will be given to all participants

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MARK CARHART - Chief Investment Officer - Kepos Capital

Mr. Carhar explores the theory and evidence behind risk factor investing. In doing so, he places exotic betas on the spectrum between alpha and beta and provides valuable insights into the number of simple and intuitive risk premiums (exotic betas) that are transparent and cost effective, perform well in different market environments, and are uncorrelated with equities.

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CRAIG BODENSTAB - Head of the Investment Counsellor (ICG) - Orbis Investment Management

(to download the presentation, click here)

Forecasting is inherently difficult and often fundamentally flawed – yet, as an industry, we spend an immense amount of time and effort attempting to predict the future. To illustrate this point, Craig will look at some commonly accepted investment beliefs and will consider whether [or not] they are indeed supported by facts. He will also examine whether one actually needs to predict the future in order to deliver respectable risk adjusted returns over the long term.  

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DAVID RAPACH - Professor of Economics - University of Saint Louis

(to download the presentation, click here)

Dr Rapach will discuss a variety of recently developed strategies for improving asset return forecasts in realistic environments characterized by substantial model uncertainty and instability. These strategies incorporate information from a large number of potential return predictors while avoiding in-sample overfitting. Extensive empirical testing indicates that these strategies produce asset return forecasts that are valuable inputs for dynamic asset allocation.

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PHILIP E. TETLOCK - Annenberg University Professor - University of Pennsylvania

(to download the presentation, click here)

In 2011, the U.S. intelligence community commissioned a non-classified forecasting tournament that ran over four years and posed over 500 questions of geopolitical or macro-economic interest. The Good Judgment Project won this tournament. This presentation will describe the winning strategies, which drew on an eclectic blend of principles from individual psychology, team dynamics, micro-economics and statistics (described in greater detail in Phil Tetlock’s forthcoming book “Superforecasting: The Art and Science of Prediction.” Crown, September 2015)

A free copy of his latest book, Superforecasting - The Art and Science of Prediction, will be given to all participants

If you wish to register only for the dinner with Phil Tetlock, please click here.