Has Factor-Building Been Overdone? Assessing Tradeoffs in Systematic Strategies

Logo
Presented by

Eduardo Repetto, Ph.D., Chief Investment Officer, Avantis Investors | Brendan Maton (moderator)

About this talk

The ability to fine-tune portfolio exposures based on current market prices and return-enhancing characteristics has evolved considerably with financial science. Yet how indices define asset classes and manage reconstitution impose constraints on index trackers. Are there risks to becoming too factor focused with passive index, single-factor and multi-factor strategies? During this session we will: • Examine some of the similarities and differences in how indices define asset classes and manage reconstitution • Contemplate whether factor-building has been overdone, and examine the risks of becoming too factor focused • Highlight some of the constraints these decisions can place on index trackers • Propose how a systematic approach can deliver benefits commonly associated with indexing/factor-based approaches while removing artificial constraints
Related topics:

More from this channel

Upcoming talks (5)
On-demand talks (275)
Subscribers (66176)
This webcast channel is for pension funds and other institutional investment professionals in Europe, the USA and Asia. It is particularly relevant for pension fund executives, trustees, consultants and investment managers. IPE will be bringing its community live interviews with leading figures in the market, hosting roundtable discussions on specific topics such as asset allocation and also sharing latest thought-leadership from investment experts.