Scientific Beta

This webinar outlines the recent advances of Asset Pricing Theory and the challenges and final success that factor strategies presented to the development of a coherent academic theory, discussing how the emergence of a Modern CAPM model impacts the way we can invest in and assess multi-factor portfolios specifically, and an equity strategy in general.

 

Overview

In this webinar, we outline the recent advances of Asset Pricing Theory and the challenges and final success that factor strategies presented to the development of a coherent academic theory.

Mike Aked and Felix Goltz discuss how the emergence of a Modern CAPM model impacts the way we can invest in and assess multi-factor portfolios specifically, and an equity strategy in general.

Topics covered include:

• Evolution of the Modern CAPM model over the last five decades of academic thought
• Drivers of return for equity market and multi-factor portfolios
• Characteristics of a well-constructed multi-factor portfolio
• Appropriate equity benchmarks for performance assessment of all equity managers

Hosts

Michael (Mike) Aked, CFA is Senior Investment Strategist for Australia & New Zealand at Scientific Beta. Prior to joining Scientific Beta, Mike held positions responsible for equity and asset allocation research and investing at Research Affiliates, Sunsuper (an Australian superannuation fund), and at UBS Global Asset Management across four continents. Mike has published articles on investment and implementation and is a frequent contributor of editorials in national newspapers across Australia. He is also a Senior Advisor at the Monash Business School mentoring the next generation. Mike received a BA with honours in applied mathematics from the University of Sydney, an MS in statistics from the University of Virginia, and an MS in financial mathematics from the University of Chicago. He holds the Chartered Financial Analyst designation and is a member of both the CFA Society Melbourne and Q-Group Australia.

Felix Goltz, PhD, is Research Director at Scientific Beta and associate researcher at EDHEC Business School. He has been with Scientific Beta since inception. He carries out research in empirical finance and asset allocation, with a focus on alternative investments and indexing strategies. His work has appeared in various international academic and practitioner journals and handbooks, including the Journal of Portfolio Management, the Financial Analysts Journal, the Journal of Index Investing, the Journal of Investment Management and the Handbook of Finance (Wiley). He obtained an MSc and a PhD in finance from the University of Nice Sophia-Antipolis after studying economics and business administration at the University of Bayreuth and EDHEC Business School.

Date/Time

Tuesday, September 19, 2023 at 4pm Australian Eastern Standard Time - 3pm Japan Standard Time - 2pm Singapore Time.

On-demand Replay

To watch the recording of the webinar, please visit the dedicated webinar page.