Factor Investing

Concepts, Insights and Applications

Agenda Program
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Prague, NH Hotel Prague
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The objectives of the course are for the delegates to gain a deeper understanding on the topics:

Factor models and investment ideas for equity and fixed income portfolios
Factor analysis versus regression analysis
Fama/French model for equities
Equity momentum factor
Factors in portfolio construction
Factor indices and applications
Risk contributions and attribution effects
This course covers the economic and statistical foundations of factor investing, reviews major research insights from the last forty years of factor research and addresses issues in applied factor investing.

Target audience
This course has been designed for the benefit of:
  • Investment managers
  • Research analysts
  • Portfolio managers
  • Investment risk managers
  • Fund analysts
  • Quantitative analysts
The course is not only for specialists but for a wider audience including investment management executives of all levels, institutional investors and investment consultants.

The course assumes a general familiarity with financial markets, instruments and investment portfolios. A basic understanding of statistical and mathematical concepts is an advantage.

Delegates will receive colour printouts of all slides and electronic access to Excel spreadsheets used during the course.

Program of the seminar: Factor Investing

09.00 - 09.10 Welcome and Introduction

09.10 - 12.30


  • Factor investment ideas in context: from the CAPM to Smart Beta ETF products

Statistical Foundations

  • Review of the linear regression model: assumptions, limitations and important extensions
    • Handling non-linearity
    • Dummy variables
    • Updating regression parameters: the Kalman Filter
  • Factor analysis versus regression analysis
  • Links to approaches in Machine Learning, Artificial Intelligence, Big Data
  • Cross-section versus time-series regressions

12.30 - 13.30 Lunch

13.30 - 17.30

Statistical Factors

  • Understanding principal component analysis (PCA)
  • Limitations of PCA

Exercise: Modelling yield curve dynamics and identifying extreme yields scenarios

Fundamental Factors

  • Asset pricing and fundamental factors, factor-mimicking portfolios
  • Understanding the Fama/McBeth approach
  • Aspects of the Fama/French model for equities
  • Fama/French factors in bond markets

Exercise: Modelling the equity momentum factor

09.00 - 12.30

Macroeconomic Factors

  • Real and monetary macroeconomic factors
  • Leading/lagging indicators
  • General approaches to modelling macroeconomic variables

Exercise: Extracting common factors from macroeconomic data

Factor Investing Solutions

  • Factor investment ideas for funds: actively managed products, hedge fund strategies and rules-based ETFs
  • Factor indices and applications
  • Factors in portfolio construction
    • Optimizing factor inputs
    • Factor restrictions

12.30 - 13.30 Lunch

13.30 - 17.00

Factor in Performance and Risk Analysis

  • Factor-based performance and risk contributions and attribution effects
  • Distinguishing true alphas from hidden factor exposures
  • Monitoring and budgeting factor tilts
  • Ex ante absolute and relative portfolio risk decomposition

Exercise: Factor attribution of absolute and relative portfolio risk

Termination and Evaluation of the Seminar

Online Seminars
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