Factor Investing & Asset Allocation: A Business Cycle Perspective - CFA Institute Research Foundation Event (CFAW Member Only Event)
Factor Investing – building portfolios with exposure to macroeconomic or statistical factors that explain the return differences between securities – is as old as the hills. (In investing, anything older than 30 years is ancient). Yet factor investing has only recently become a widespread practice. What is behind this sudden change in the investment management industry? What do analysts at firms that engage in factor investing do? What results might investors using these techniques expect?
Join CFAW and the CFA Institute Research Foundation for this exclusive, CFAW member-only event as our speaker explores how to translate macroeconomic forecasts into alpha-generating portfolios or positions, in the spirit of arbitrage pricing theory. Based on his Research Foundation monograph, Factor Investing and Asset Allocation: A Business Cycle Perspective, he will focus on forming optimal portfolios of multiple asset classes. Most of the literature on factors deals with single asset classes, such as equities. But the ultimate problem of the asset owner is to allocate among asset classes. Mr. Page will analyze this problem via the risk factor approach. Moreover, the habits of mind revealed will be useful for understanding, developing, and implementing any kind of quantitative or factor-based approach to investing, not just one that relies on macroeconomic forecasts.
- Learn about factor investing
- Discover why it has become a widespread practice
- Find out what analysts at firms that engage in factor investing do
- Explore what results might investors using these techniques expect
- Meet CFA Institute Research Foundation Board members
Heavy hors d'oeuvres will be served.
Sebastien Page, CFA
Head of Global Multi-Asset at T. Rowe Price
Sebastien Page is Head of Global Multi-Asset at T. Rowe Price, overseeing a team of investment professionals dedicated to a broad set of multi-asset portfolios. He is a member of the Asset Allocation Committee, which is responsible for tactical investment decisions across asset allocation portfolios. He is also a member of the Management Committee of T. Rowe Price Group, Inc.
Prior to joining the firm in 2015, Mr. Page was an executive vice president at PIMCO, where he led a team focused on research and development of multi-asset solutions. Prior to joining PIMCO in 2010, he was a Senior Managing Director at State Street Global Markets.
Mr. Page won research paper awards from the Journal of Portfolio Management in 2003, 2010, and 2011, and from the Financial Analyst Journal in 2010 and 2014. He is co-author of the book “Factor Investing and Asset Allocation” (CFA Institute Research Foundation, 2016), and a member of the editorial board of the Financial Analysts Journal. He earned a Master of Science degree in finance and a Bachelor's degree in Business Administration from Sherbrooke University in Quebec, Canada. Mr. Page has earned the Chartered Financial Analyst designation.
Sebastien Page, CFA – Co-Head of Asset Allocation Group at T. Rowe Price and co-author of Factor Investing and Asset Allocation: A Business Cycle Perspective.