Meet Up: Risk premia • Unlocking Benefits and Avoiding Pitfalls
Institutional Investors have shown a tremendous amount of interest in investment factor research and factor-based portfolios to achieve positive outcomes. Those outcomes could be targeting lower volatility, targeting less drawdowns, increased alpha or a combination of these results. Moreover, the growth in passive and alternative risk premia (ARP) investing has prompted questions about the possible impact of their perceived disruptive behavior—and whether the potential for these positive outcomes could be crowded away. Throughout this discussion, Wai Lee, global head of research for the Wells Fargo Asset Management (WFAM) Multi-Asset Solutions team, will explore the historical development of factor investing and strategic perspective of crowding as well as what he has learned to exploit and avoid in multi-factor and alternative risk premia portfolios.
Discussion topics will include:
- How to understand which risk premia an investor should have exposure to and how can an incomplete (or incorrect) understanding of risk premia lead to investor disappointment and buyer’s remorse
- Converting “alpha” into factors or alternative risk premia
- Why do crowding effects exist, why are they necessary for successful risk premia investing, and how to work with crowding effects as they become concerning?
- How to evaluate crowding indicators and why it’s important to understand a number of factor crowding models
- How to embrace and work with the strategic, tactical, and short-term/liquidity perspectives of crowding Identifying and valuing factors and their exposure
Wai Lee, Ph.D. Global Head of Research, Multi-Asset Solutions
Wai Lee is the global head of research for the Wells Fargo Asset Management (WFAM) Multi-Asset Solutions team. Based in New York, Wai joins the firm from Neuberger Berman where he was the head of quantitative investments and a senior portfolio manager for a number of strategies. At Neuberger Berman since 2004, Wai established the systematic platform of global investment capabilities across asset classes as standalone portfolios and also in multi-asset strategies. Wai played a key role in designing and managing strategic partnership mandates, as well as in the firm’s asset allocation and risk management functions. Previously, he was the head of the quantitative engineering group at Credit Suisse Asset Management (CSAM). He joined CSAM in 2000 from J.P. Morgan Investment Management, where he began his investment industry career in 1996. In this capacity, he was in charge of quantitative research and risk management for the Global Balanced group. Before joining the industry, he was a postdoctoral research fellow at the Harvard Graduate School of Business. Wai is the author of the book Theory and Methodology of Tactical Asset Allocation, and has contributed book chapters on different topics. He presently serves on the Advisory Board of The Journal of Portfolio Management, which he joined in 1997. Wai’s research has won the Peter L. Bernstein Award (2012), and multiple Bernstein Fabozzi/Jacobs Levy Awards from the Institutional Investor Journals as the Best Article of the Year (2011) and Outstanding Article of the Year (2010 and 2012) in The Journal of Portfolio Management. Wai holds a BSc (Hons) degree in mechanical engineering from the University of Hong Kong, and MBA and Ph.D. degrees in finance from Drexel University.
Please note, attendees are asked to bring their own lunches.
There is no charge for Members for this event, however registration is required in advance.
*The Auditorium is located on the Ground Floor and can be accessed by entering the building on 100 Federal Street side. The auditorium will be on your right before security and you will not need to go through security by accessing the building from the 100 Federal Street side.
Please note online registration is now closed for this program. Walk-in registration will be available. Please check in for a name tag.
Putnam Investments Auditorium
100 Federal Street
Ground Floor - Enter Through Federal Street Side
Boston, MA 02110
Description:Registration is complimentary for members.