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September 19 SQA Seminar
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September 19 SQA Seminar

9/19/2019
When: September 19, 2019
5:30 PM - 8:00 PM
Where: The Penn Club
30 W 44th St., New York, NY  10036
Contact: Rebecca Harrington
518-694-3157


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September 19th Seminar

Title: "Surprising Alpha"

 

Join us at the Penn Club for a fascinating discussion at the core of what drives portfolio returns: 

Jason Hu (Chairman and CIO of Rayliant Global Advisors) will show that the outperformance of a number of portfolio construction methodologies results from favorable hidden underlying risk exposures. This explains some interesting observations, where even inverted strategies can outperform the benchmark. 

Robert Fernholz (Founder and former CIO of Intech) will directly dispute this, and argue that the outperformance of some methods is not due to risk exposures, but rather due to an excess growth component of returns, that effectively captures the diversification benefits of different portfolios. This excess growth component can instead explain the outperformance of even the inverted strategies outlined by Jason. 
A number of surprising results and important practical implications for portfolio construction will be discussed. 

Bios

Jason Hu
Jason is the founder, chairman and CIO of Rayliant Global Advisors (RGA), a global investment management group with more than US$26 billion in assets managed using its strategies. He is on the editorial board of the Financial Analysts Journal, the Journal of Investment Management, the Journal of Investment Consulting and the Journal of Index Investing. He is an adjunct professor of finance at UCLA Anderson School of Management, and a visiting professor at Tsinghua University (China), Kyoto University (Japan) and National Chengchi University (Taiwan). 

Robert Fernholz
Robert "Bob” Fernholz founded INTECH, an institutional equity management firm, in 1987 when he was its chief investment officer. He is also the President of Allocation Strategies, and a trustee at the Institute for Advanced Study in Princeton, New Jersey.

 

Pricing:

  • SQA Members Regular or Academic: $70.00
  • Transitional or Student: $30.00
  • Non-Member Affiliated: $100.00 
  • Non-members: $125.00

Location: Penn Club: 30 W 44th St, New York, NY 10036

Schedule: 

5:30 p.m. Cocktails & Networking

6:00 p.m. Presentation 1 (30 mins + 15 mins for questions)

6:45 p.m. Presentation 2 (30 mins + 15 mins for questions)

7:30 p.m. Cocktails & Networking

8:00 p.m. Adjourn

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