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Event Registration - Meet-Up: Fundamentals of Efficient Factor Investing

Tuesday, May 16, 2017
12:00 PM - 1:30 PM Eastern Daylight Time
CFA Society Boston Introduces Meet-Ups

Based on feedback we received from our membership, we are pleased to announce a new, casual style of meeting that combines networking and content. Meet-ups are member-exclusive and free of charge, and will take place in various office locations around Boston. Meet-ups will be scheduled at different times during the day depending on speaker availability, and attendees will be asked to bring their own lunch and refreshments. Keep an eye out for the logo on both our website and monthly newsletters!

Interested in hosting a Meet-Up at your offices? Contact Amy Pepe at apepe@cfaboston.org for further details.

Fundamentals of Efficient Factor Investing with Steven Thorley, CFA

Combining long-only-constrained factor subportfolios is generally not a mean•variance-efficient way to capture expected factor returns. For example, a combination of four fully invested factor subportfolios—low beta, small size, value, and momentum—captures less than half (e.g., 40%) of the potential improvement over the market portfolio’s Sharpe ratio. In contrast, a long-only portfolio of individual securities, using the same risk model and return forecasts, captures most (e.g., 80%) of the potential improvement. We adapt traditional portfolio theory to more recently popularized factor-based investing and simulate optimal combinations of factor and security portfolios, using the largest 1,000 common stocks in the US equity market from 1968 to 2015.

Steven Thorley is the H. Taylor Peery Professor of Finance at the BYU Marriott School of Management. Professor Thorley received his Ph.D. in Financial Economics from the University of Washington and holds numerous awards for academic excellence including the Marriott School Outstanding Faculty Award. While on academic leave from BYU, Professor Thorley served as the interim Research Director for Analytic Investors, an institutional money management firm in Los Angeles.

Steven publishes on financial market topics in various academic and practitioner journals. His academic research topics include delayed reaction to news, speculative bubbles, and investor overconfidence. His applied research focuses on portfolio constraints, performance attribution, and factor-based portfolio construction. Professor Thorley's research has been presented at academic and professional seminars around the world and cited in the Wall Street Journal and other financial periodicals.

Professor Thorley is a Chartered Financial Analyst (CFA) and a Co-Editor of the Financial Analysts Journal. He teaches investments in the MBA program at the Marriott School and acts in a consulting capacity for Analytic Investors. Professor Thorley is currently on the investment committees for Intermountain Healthcare, Deseret Mutual Benefit Administrators, and Brigham Young University.
Putnam Investments
One Post Office Square
8th Floor
Boston, MA
Description:Registration open to CFA Boston Members only.

Please note, attendees are asked to bring their own lunches.

There is no charge for this event, however registration is required since space is limited.