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ESG The Imperative of a Systematic Approach

ESG is one of the most compelling themes in contemporary investing, but a lack of common definitions and an increasingly cluttered product landscape cloud the discussion. In this talk, we explore why a systematic approach is not only advantageous but essential given the nature of ESG data, forecasting, and portfolio formation. We highlight hidden risks of simple implementations, and we present a case-study demonstrating the benefits of a well-conceived, systematic approach. Read More.

Telescope

What to do about Fixed Income Fresh Perspective

Investors face vexing questions about their fixed income allocations. Prospects for sovereign bonds look bleak, and the reliable equity risk offset that investors have come to rely on may degrade. Here we reconsider what asset owners should do about fixed income allocations given current market context. We examine why many alternatives have met with disappointment and discuss a better-conceived approach to filling the roles that investors have sought from bonds. Read More.

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Volatility Investing Characteristics of a Well-Conceived Approach

The COVID crisis has provided painful reminders of mistakes that managers have repeatedly made in volatility investing. Yet dismissing the viability of volatility investing would be premature; well-conceived approaches provide meaningful opportunities to source returns premia and protection. Seth Weingram discusses manager mistakes in vol investing, the complexity of the options market, and better-conceived approaches. Read More.

Christian Ladewig

Re-examining Diversification: 20/20 Perspective

Diversification has faced both dissatisfaction among asset owners whose allocations to a range of alternatives didn’t translate into better performance, and the failure of “uncorrelated returns streams” to deliver protection. We examine why many popular diversifying approaches improve portfolio optics more than economics and outline a holistic approach designed to make use of expansive information and opportunity sets in order to produce more durable diversification. Read More.

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Value Revisited

Protracted poor performance of certain value formulations has provoked intense but muddled discussion about the viability of value investing. We apply a systematic lens to clarify the fundamental and behavioral drivers of value’s performance and to offer coherent perspective on the outlook. We consider nuance that is often glossed over in prevalent narratives, including the multifaceted and evolving nature of value concepts and investing approaches.

AI ML S Curve

Impact of AI/ML on Quant

Are alternative data and machine learning the future of investment management? Will they fundamentally transform the quantitative investment process? In this discussion, we address these questions, separating the signal from the noise, and describe our vision of the frontiers of quantitative investing over the next few years. We share where we believe new tools and methods will have the greatest impact on the systematic investment process, and we consider risks and challenges in their application that are relevant to asset owners.

Other Topics

The COVID pandemic has generated historic volatility amid enormous uncertainty about the virus’s progression, its economic impact, and the effectiveness of policy countermeasures. For investors who have been trying to assess the market’s response and chart a course of action, there is little systematic research on the investment impacts of geopolitical shocks to guide them. In this discussion, we shed new light on how markets react to “shocks,” based on analysis of a proprietary events dataset that includes epidemics as well as civil unrest, acts of terror, and disasters. We also consider how investors process systemic geopolitical uncertainty and whether cognitive biases make them prone to risk neglect. We discuss implications for portfolio managers and allocators.

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While passive investing has garnered enormous media attention, we understand little about how it may be affecting market behavior. Does it reflect a high level of efficiency that prevents active management from adding value? Or might its very success create new forms of opportunity as well as risk? This talk explores common misconceptions around “the rise of passive” and examines novel evidence regarding its potential impact on market efficiency and fragility. We consider implications for both active managers and asset owners.

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Crashes are regular features of markets, and they can have a dramatic impact on long-term total returns. Even so, surprisingly few investors explicitly factor crash risk into the design of their portfolios. In this presentation, we compare prevalent approaches to reducing crash exposure, contrasting their unique benefits, hidden risks, and relative efficiency. We show how crash risk may be concealed in alternatives and private market strategies, and we consider how premium harvesters may underwrite such risk more efficiently and transparently.

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As factor investing strategies proliferate, investors face a greater challenge than ever in evaluating alternatives. Starting with a case study involving momentum, we demonstrate benefits of sophisticated factor implementations in more precisely capturing drivers of returns premia and in controlling risk. We expose how simple approaches impose often-overlooked restrictions on the investment process, and we examine potential the costs and risks. Along the way, we outline a framework to compare factor investing implementations.

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Presented by the Client Advisory team

Seth W

Seth Weingram, Ph.D.

Senior Vice President, Director, Client Advisory
Seth heads Acadian’s Client Advisory function, which is closely aligned with both the Investment and the Global Client teams. Prior to joining Acadian in 2014, Seth was a managing director in Equity Derivatives Trading at UBS. Seth holds a Ph.D. in economics from Stanford University and a B.A. in economics from the University of Chicago.
Ram T

Ram Thirukkonda, CFA

Senior Investment Strategist, Client Advisory
Ram joined Acadian in 2018 and is a senior investment strategist on the Client Advisory team. Prior to joining Acadian, Ram was a quantitative research analyst on the Asset Allocation team at GMO LLC. Ram holds an M.S. in financial engineering from MIT; an M.S. in transportation engineering/operations research from MIT; and a B.Tech. in civil engineering from Indian Institute of Technology, India. He is a CFA charterholder and a member of CFA Society Boston.