Hanken Finance Day 2020

Date
Place:
Online
Welcome to Hanken Finance Day 17.9.2020



Hanken Finance Day 2020

The yearly Hanken Finance Day will be held online 17 September 2020 with this year's theme being "Factor Investing".

Access the recording here

The programme will be in English. The seminar is free of charge and is open for Hanken alumni, students, staff and corporate partners to register.
A participation link will be sent via e-mail closer to the event.

Hankens students and staff can also participate without registration. More information here.

Hanken withholds the right to adjustments in the programme.

Programme

14.00-15.30

Welcoming words

Factor Investing in Practice: Diversification Benefits and Implementation Costs
Marie Brière
Head of Investor Research Center at Amundi and Affiliate Professor at Paris Dauphine University

Framework for Risk Premia Investing: Is There Anywhere to Hide?
Kari Vatanen
Chief Investment Officer at Veritas Pension Insurance Company

The foundations of factor investing
Paulo Maio
Professor of finance at Hanken School of Economics

Closing discussion with Q&A

 

Speakers and topics

 



Briere Marie

Marie Brière, Head of Investor Research Center at Amundi and Affiliate Professor at Paris Dauphine University

Factor Investing in Practice: Diversification Benefits and Implementation Costs

Factor investing emerged as the byproduct of factor models of asset pricing and is widely popular today among institutional investors. It consists in holding assets with positive exposure to selected risk factors and, if possible, shorting those with negative exposure. We will assess the merits of diversified portfolios of factors on the stock market by using sector investing as the benchmark. Then, we will examine the question of practical implementation. We will discuss the impact of shortselling restrictions on factor performance. Using a large database of the US institutional investors' trades, we will provide new insights on the question of factor portfolio transaction costs.

 



Kari Vatanen

Kari Vatanen, Chief Investment Officer at Veritas Pension Insurance Company

Framework for Risk Premia Investing: Is There Anywhere to Hide?

Alternative risk premia (ARP) strategies are traditionally assumed to diversify both equity and bond market risk. We investigate the nature and risk characteristics of commonly known investable ARP strategies using investment bank strategy data. While most of the strategies have low full sample betas to both equity and commodity markets, several strategies exhibit statistically significant positive betas to bond markets. Additionally, characteristics of most ARP strategies change in the tails of equity and bond market distributions. Consequently, we propose a framework for diversified ARP portfolio construction that uses a hierarchical risk allocation process instead of whole sample volatilities and correlations.

 



Paulo Maio

Paulo Maio, Professor of finance, Hanken School of Economics

The foundations of factor investing

The presentation will cover some of the recent academic research related to this topic, with emphasis on the risk-return trade-off underlying factor investing.

 

Questions

Hanken Alumni is coordinating the event. If you have any questions, please contact Alumni Coordinator Mira Aarnivuo at alumni@hanken.fi.