The JOIM Conference Series showcases high quality presentations and a platform for interactive discussions of current topics in the investment management arena. Prevalent throughout both activities is the highest quality material suitable for academics and practitioners.
March 22 – 24, 2020
Rady School of Management, UCSD
Asset Allocation & Supporting Risk Analysis
Asset Allocation is arguably the most important activity in the management of a portfolio. We will have presentations on some of the state of the art analyses which supports the asset allocation function by the pioneers of the field. This event is co-sponsored with Invesco and the Rady School of Management, UCSD. Featured presenters:
Harry Markowitz, Harry Markowitz Company, Keynote Speaker
These refer to outperformance WITH special knowledge about the area of the investment, WITHOUT such knowledge and a combination of the two.
Richard Bookstaber, University of California and Talagent Financial
Andrew Lo, Massachusetts Institute of Technology
Vineer Bhansali, LongTail Alpha, LLC
Asset Allocation In Uncharted Territory: Investment and Risk Management In a World Of Negative Yields
Mark Kritzman, Windham Capital Management
Marty Leibowitz, Morgan Stanley
Nick Savoulides, Invesco
Joseph Engelberg , University of California San Diego
Are Cross-Sectional Predictors Good Market-Level Predictors?
Firm-level variables that predict cross-sectional stock returns, such as price-to-earnings and short interest, are often averaged and used to predict market returns. We extend this literature and limit the data-snooping bias by using a near-complete population of the literature’s cross-sectional return predictors. We find the literature has ignored several cross-sectional variables–such as asset turnover and Z-score–that contain strong in-sample predictability when examined in isolation. However, after accounting for the number of predictors and their interdependence, we find little evidence that cross-sectional predictors make good time-series predictors, especially out-of-sample.
Risk Managers, Portfolio Managers, Pension Managers, Senior Executives of Financial Firms such as Plan Sponsors and Endowments and Academics would all benefit from attending these conferences.