Currently, SF Chapter of QWAFAFEW plans the following talks for 2010, subject to continuous change: Date: January, 2010 Speaker: Sébastien Page, CFA, Senior Managing Director, State Street Associates Topic: The Myth of Diversification
Abstract: Perhaps the most universally accepted precept of prudent investing is to
diversify; yet this precept grossly over simplifies the challenge of portfolio
construction. Correlations, as typically measured over the full sample of
returns, often belie an asset's diversification properties in market
environments when diversification is most needed. Moreover, upside
diversification is undesirable. I first describe the mathematics of conditional
correlations assuming returns are normally distributed. Then, I present
empirical results across a wide variety of assets, which reveal that, unlike
the theoretical conditional correlations, empirical correlations are
significantly asymmetric. Finally, I show that a portfolio construction
technique called full-scale optimization produces portfolios in which the
component assets exhibit relatively lower correlations on the downside and
higher correlations on the upside than mean-variance optimization. Speaker Bio: Mr. Page is the head of the Portfolio and Risk Management Group at State Street Associates ("SSA"). This Group is responsible for conducting research on asset allocation, portfolio optimization, risk management, and currency management. Mr. Page also oversees SSA's Currency Management Team. Mr. Page is a frequent presenter at investment conferences, and has had numerous articles published in various academic and professional journals, including the Journal of Asset Management, the Journal of Portfolio Management, the Journal of Investing, the Journal of Investment Management, the Emerging Markets Review, and the Canadian Investment Review. He received first prize in the Montreal Society of Financial Analyst August Hagedorn contest for his research on Value At Risk, and in 2003, he was awarded the Bernstein Fabozzi/Jacobs Levy Award for Best Article in the Journal of Portfolio Management. Prior to joining SSA, Mr. Page worked at the Caisse de Depot et Placement du Quebec where he focused on asset allocation. Mr. Page holds an M.Sc. in Finance from Sherbrooke University in Canada, and is a CFA charter holder. |
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