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Boston QWAFAFEW Meeting: 21 Jan 2020

January 21 @ 6:00 pm - 8:00 pm

| $30

Boston QWAFAFEW Meeting: 21 Jan 2020

An Overview of Recent Research on Implementable Factor Portfolios

A QWAFAFEW discussion led by:

Jennifer Bender, Ph.D.
Xiaole Sun

This talk reviews recent research we have published on factor investing, reflecting practical considerations for implementing factors (smart beta portfolios). First, we describe why we favor a mean-variance portfolio construction approach for factor portfolios.  The workhorse of quant investing, mean-variance optimization is a natural fit for building factor for transparent factor portfolios.  We argue why we prefer this approach over popular alternative weighting schemes because the latter derive a large part of their outperformance from a handful of well-known factors.  Second, we discuss the implications of neutralizing sector and country active bets for these types of portfolios.  Third, we discuss what amount of specific to factor risk is reasonable for factor portfolios.

Download: An Overview of Recent Research on Implementable Factor – speaker_Q

Jennifer Bender, Ph.D., is a Senior Managing Director at State Street Global Advisors and Director of Research for the Global Equity Beta Solutions team. In this role, she is responsible for leading the research at SSGA across key areas of index investing.  These research areas include core beta, smart beta, ESG and thematic investing.  Jenn joined SSGA in 2014 and since then, has been responsible for promoting the thought leadership of SSGA’s indexing capabilities.  Previously, Jenn was a Vice President in the Index and Analytics Research teams at MSCI. She began her career as an economist at DRI in 1996 and has held research roles at State Street Associates and Harvard University. Jenn holds MS and PhD degrees in Economics from Brandeis University. Her work has been published extensively in industry-leading journals and books such as the Institutional Investor Journals and Wiley Finance Series. She is on the Editorial Board of the Journal of Portfolio Management and a member of the Chicago Quantitative Alliance.

Xiaole Sun is a Vice President of State Street Global Advisors and a senior quantitative researcher in Global Equity Beta Solutions team. She is responsible for the development of smart beta strategies collaborating with the portfolio management team.
Prior to joining GEBS research team she was a research analyst in the Advanced Research Center (ARC) responsible for developing and enhancing active equity models for global and the North America markets. Before joining SSGA, Xiaole was with State Street Global Markets’ US Equity Research Team, where she was responsible for research publications, customizing research reports and performing backtest analysis.
Xiaole is an ABD in International Economics and Finance at Brandeis University, and received her MA and BA in Economics from Peking University. She is a member of the CFA Institute and the Boston Security Analysts Society.


Time: 6:15 PM sharpe
3rd Floor of the Tennis & Racquet Club
939 Boylston Street
RSVP to hugh@QWAFAFEW.org
Mailing List and Payment Link: https://boston.qwafafew.org/

All annual dues ($150) should be paid to Boston QWAFAFEW by credit card, Bitcoin or check.

By credit card (PayPal)

By Bitcoin
Send us Bitcoin, our address is:
Please send a separate email identifying your anonymous payment.

By check:
Executive Management Associates
12 Academy Avenue
Atkinson, NH  03811

Please RSVP for all meetings you plan to attend: hugh@QWAFAFEW.org
Guests who do not RSVP may have to wait to enter the meeting, due to space constraints (capacity=100, BFD).

Guest fees ($30) can be paid through EMA (check or PayPal, bring receipt) or bitcoin (at address above).  The $30 guest fee can be paid by bitcoin, cash or check at the door, no credit cards at the meeting.

Please bring exact change (eg: two twenties = $40 Guest Fee).

As always, if you have names or discussion topics, please forward them to any member of the Steerage Committee

Questions, comments:
Steerage Committee:
Hugh Crowther
Dan diBartolomeo
Mike Dunn
Steve Gaudette
Sri Krishnamurthy
Mark Kritzman
John Minahan
Donna Cool Murphy
Larry Pohlman
Dan Potter
Dan Rie
Evan Schulman
Michael Schwartzman
Michael Wilcox

The members of the Steerage Committee are responsible for coordinating the program content.

Program suggestions from members are always welcome.

RSVP to: hugh@QWAFAFEW.org

Mailing List and Payment Link: https://boston.qwafafew.org/









January 21
6:00 pm - 8:00 pm




Tennis & Racquet Club
3rd Floor of the Tennis & Racquet Club, 939 Boylston Street
Boston, MA,
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