Hanken Finance Day 2020

Date
Place:
Helsinki
Room
Quantum/A210
Welcome to Hanken Finance Day 1.4.2020



Hanken Finance Day 1.4.2020

The yearly Hanken Finance Day will take place 1 April 2020 with this year's theme being "Factor Investing".

Finance Day will start with breakfast at 8.30 and end at 12.00. During the seminar we will hear from Marie Brière (Head of Investor Research Center at Amundi and Affiliate Professor at Paris Dauphine University), Kari Vatanen (Chief Investment Officer at Veritas Pension Insurance Company) and Paulo Maio (Professor of finance at Hanken School of Economics).

The programme will be in English. The seminar is free of charge and is open for Hanken alumni, students, staff and corporate partners.

Sign up here

Programme

8.30-9.00
Breakfast

9.00-12.00

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

Coffee break

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

 

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

 

Please contact alumni@hanken.fi if you have any questions regarding the event.