Axioma Seminar Series
Ideal FMPs for a Consistent Investment Process
In this seminar we examine factor returns as part of our ongoing quest to a create a more consistent investment process, which has been proven to lead to better risk estimates, greater explanation of returns, and improved performance. Factor returns are used throughout the investment process to construct expected returns, to evaluate model risk, and to explain performance. Here we look at the negative effects of using factor returns that are inconsistent your investment process, and how to address the problem. Questions to be addressed include:
- How do inconsistent factor returns lead to mis-estimations of expected returns, mis-estimations of risk, and inaccurate attribution of returns to certain factors or to stock-specific returns?
- What leads to inconsistent factor returns?
- How can we create factor returns that are most consistent with the investment process?
- What is the impact of creating more consistent factor returns?
Dates & Locations:
- October 29, 2013 - Langham Hotel, Boston, 12:00 - 2:00 PM
- October 31, 2013 - The Princeton Club, New York, 12:00 - 2:00 PM
- November 5, 2013 - Le Meridien Hotel, San Francisco, 8:30 - 10:30 AM
- November 12, 2013 - Andaz Liverpool Street Hotel, 8:30- 10:30 AM
Lunch will be served in Boston and New York.
Breakfast will be served San Francisco and London.