Portfolio Risk and the Hunt for Alpha web series

Gain insight into the factors that make your portfolio move and illustrate how investment decisions affect portfolio performance and risk.

In this free web series, see how to:

• Find an alpha factor that fits your portfolio management process
• Generate custom risk models and stock scoring models
• Analyze a portfolio’s exposure to alpha and other market factors to understand the impact on performance through time
• Stress test a portfolio by shocking macroeconomic factors to understand where latent risks lie
• Manage the risk versus return trade-off

	Finding Alpha Dorie Kim, FactSet Quantitative Analytics Specialist
	Perspectives in Portfolio Risk Sammy Choo, CFA, Vice President of Quantitative Analytics, FactSet
	Alpha vs. Risk: Where Should I Spend my Time? Steve Greiner, Ph.D., former Head Quantitative Strategist and Portfolio Manager for National City Bank

Finding Alpha
Dorie Kim, FactSet Quantitative Analytics Specialist

Finding an alpha factor that fits your portfolio management process involves understanding the returns, correlation and predictive power of factors through time, across different subgroups of securities. Learn more about the workflow of generating a stock scoring model that will be used in backtesting and production environments. Most importantly, find out how to produce alpha and create performance-enhanced portfolios with stop loss and lock gain rules.

Next, move into a discussion of market risk and creating your own custom risk models. We merge our alpha factor with common market risk factors such as beta, size, valuation and sectors, to create a risk model. This risk model will measure how well our alpha factor has been working and determine if the portfolio has effectively incorporated the potential alpha.

Dorie J. Kim is a Quantitative Analytics Specialist at FactSet. She is responsible for providing factor modeling, portfolio backtesting, and optimization tools as well as risk management solutions to a diversified client base in the West Coast. Prior to joining the group in 2008, she worked as a FactSet consultant supporting more than 20 buy-side firms in the Bay Area and New Mexico. She holds a BS degree in electrical engineering from the University of California, San Diego.

Perspectives in Portfolio Risk
Sammy Choo, CFA, Vice President of Quantitative Analytics, FactSet 

Gain insight into the factors that make your portfolio move and illustrate how investment decisions affect portfolio performance. Using a custom risk model, analyze the portfolio exposure to alpha and other market factors to understand the impact on performance through time. Compare portfolio characteristics and sector, asset weights to any available benchmark and view the trading history of portfolio constituents. Finally, stress test the portfolio by shocking macroeconomic factors to be more conscious of portfolio sensitivities to these stress test environments.

Sammy Choo is Vice President of Quantitative Analytics for FactSet, working with risk clients in Texas and the Western U.S. Sammy's client support experience includes pure quantitative strategies, fundamental managers using quantitative screens, quantitative index managers, and plan sponsors that monitor risk of external managers. He has had extensive experience with factor testing and portfolio risk analytics. Sammy has a B.S. in business administration from UC Berkeley Haas School of Business. He was awarded the CFA charter in 2006.

Alpha vs. Risk: Where Should I Spend my Time?
Steve Greiner, Ph.D., former Head Quantitative Strategist and Portfolio Manager for National City Bank 

Steve will discuss the practical and theoretical issues regarding which piece of the portfolio management process adds more value: searching for alpha or forecasting risk.

First Steve will review tracking error and asset allocation, and how their misunderstanding and misapplication contributed to the 2008 meltdown. Second, he'll discuss risk vs. alpha and consider each of them separately, then show why you need to consider them simultaneously, concluding with examples.

Steve was the Head Quantitative Strategist and a Portfolio Manager for the institutional asset manager arm of National City Bank (pre-merger with PNC). He was a key member of the Allegiant Structured Equity team, sitting on the Investment Committee and leading several strategies and being an integral contributor to other investment teams. In addition, Steven leverages his expertise to test quantitative processess employed by Allegiant's other investment teams and has firm-wide risk management responsibilities. Joining Allegiant Asset Mgmt in 2005, he previously served as the Large Cap Quantitative Head and Research Director for Harris Investment Managment and has 21 years of quantitative and modeling experience. Steven received his B.S. in Mathematics and Theoretical Chemistry from the University of Buffalo and his M.S. and Ph.D. in Chemical Physics from the University of Rochester, along with Post-Doctoral experience from the Fachberiech Physik from the Free University of Berlin.

Don’t wait! Space is limited and on a first come, first served basis. You must register separately for each session you want to attend.