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SQA February Seminar w/ Yesim Tokat-Acikel
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When: Tuesday, February 5, 2019
5:30 PM

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SQA February Seminar


Date Change: February 26th 




Yesim Tokat-Acikel


Location: Voya
230 Park Ave. New York, NY


Don’t Get Carried Away: Uncovering Macro Characteristics in Carry Portfolios

Join us for an evening with Dr. Tokat-Acikel who will discuss her research on

the linkages between carry strategies and the macroeconomic environment.



Summary: Carry is one the most popular and well-studied cross-asset risk premia strategies.We know from prior research that carry strategies are affected by macroeconomic factors such as the business cycle, liquidity, and volatility. However, these direct links have not been clearly established. Together with her co-author, Marco Aiolfi, Dr. Tokat-Acikel contributes to this line of research by providing direct measures of the macroeconomic characteristics of carry factor portfolios, namely real economic growth and inflation exposures. By pairing methodologies commonly used to derive the fundamental characteristics of equity portfolios, they identify macro linkages that have not been previously made evident.Their holdings-based and factor-mimicking portfolio analyses provide insights into the behavior of carry strategies across various asset classes. This approach can help investors build better carry portfolios by anticipating the payoff in different economic scenarios.


Biography: Yesim Tokat-Acikel, PhD, is a Principal and Portfolio Manager for QMA working within the Global Multi-Asset Solutions team. She is responsible for the research, development, and portfolio management of systematic total and absolute return investment solutions. Prior to QMA, she worked as a Senior Quantitative Analyst developing GTAA strategies at AllianceBernstein, and as a Senior Investment Analyst for The Vanguard Group, where she built tactical and strategic asset allocation models for retirement and private client markets. Her articles on strategic and tactical portfolio allocation have appeared in The Journal of Investing, “Mathematical Methods of Operations Research”, the Journal of Economic Dynamics and Control, the Strategic Management Journal, Professional Investor, the Journal of Financial Planning and The Journal of Wealth Management, among other leading publications. She earned a BS in industrial engineering from Bilkent University in Turkey, an MS in industrial engineering from the University of Arizona, Tucson, and a PhD in economics from the University of California, Santa Barbara.



Read Paper Here



5:30 p.m. Cocktails & Networking

6:00 p.m. Presentation

7:00 p.m.Cocktails & Networking



SQA Members: Regular or Academic - $50
Transitional or Student - $30
Non-Member Affiliated - $70
Non-members - $90


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1) Join the SQA email list or join SQA as member

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