Tuesday, April 18th @ 11:00-12:30 PM (639 Evans Hall)
Systematic Long/Short Factor Portfolios
James Lewis, State Street Global Advisors
We consider a panel of 88 "systematic factors": simple, quantitative procedures that assign scores to a universe of assets using publicly available data. For each factor, we construct idealized daily factor portfolios (long/short, market-neutral) and daily return series for the 16-year period between January 2001 and December 2016. Each of the factor...
Tuesday, January 17th @ 11:00-1:00 PM (639 Evans Hall)
The Tax-Loss Harvesting Life Cycle
Lisa Goldberg, Pete Hand and Alan Cummings, UC Berkeley & Aperio Group The Tax-Loss Harvesting Life Cycle
The Tax-Loss Harvesting Life Cycle A 43-Year Retrospective of Equity Indexing Strategies for Taxable Investors Tax-loss harvesting aims to realize losses on individual stocks in conjunction with an investment objective such as index tracking. In this talk, we give a historical appraisal...
Tuesday, July 25th @ 11:00-12:30 PM (1011 Evans Hall)
Addressing a “Tough Engineering Problem”
Lionel Martellini (EDHEC-Risk Institute), Mass Customisation versus Mass Production in Retirement Investment Management
The seminar will be held at 1011 Evans Hall, UC Berkeley. Abstract: Triggered by the introduction of ever stricter accounting and prudential pension fund regulations, a massive shift from defined-benefit to defined-contribution pension schemes is taking place across the...
The seminar will be held at 1011 Evans Hall, UC Berkeley. Abstract: Triggered by the introduction of ever stricter accounting and prudential pension fund regulations, a massive shift from defined-benefit to defined-contribution pension schemes is taking place across the world. As a result of this massive shift of retirement risks on individuals, the investment management industry is facing an increasing responsibility in terms of the need to provide households with suitable retirement solutions. Existing retirement products such as target date funds, annuities and variable annuities suffer...
The Tax-Loss Harvesting Life Cycle A 43-Year Retrospective of Equity Indexing Strategies for Taxable Investors Tax-loss harvesting aims to realize losses on individual stocks in conjunction with an investment objective such as index tracking. In this talk, we give a historical appraisal of the value of tax-loss harvesting to taxable investors with realized gains in their portfolios. Our study provides insight into the lifecycle of a tax-loss harvesting strategy, which has its youth, midlife, and golden years....
We consider a panel of 88 "systematic factors": simple, quantitative procedures that assign scores to a universe of assets using publicly available data. For each factor, we construct idealized daily factor portfolios (long/short, market-neutral) and daily return series for the 16-year period between January 2001 and December 2016. Each of the factor return series has positive sample mean, and for all but twelve, the one-sided t-test rejects the zero-mean hypothesis at the 95% confidence level. Moreover, for the full sample, the factors are nearly uncorrelated, and when we partition the...
Abstract: I analyze the large deviation probability of factor models generated from components with regularly-varying tails, a large subclass of heavy tailed distributions. An efficient sampling method for tail probability estimation of this class is introduced and shown to exponentially outperform the classical Monte-Carlo estimator, in terms of the coverage probability and/or the confidence interval’s length. The obtained theoretical results are applied to financial portfolios, verifying that deviation probability of the return to portfolios of many securities is asymptotically robust...
Drawdown, and in particular maximum drawdown, is a widely used indicator of risk in the fund management industry. It is a vital metric for a levered investor who can get caught in a liquidity trap and forced to sell valuable positions if unable to secure funding after an abrupt market decline. Moreover, it is a pathwise risk measure in contrast to end-horizon risk diagnostics like volatility, Value-at-Risk, and Expected Shortfall, which are less significant conditioned on a large drawdown. In this talk, I will present ongoing work aimed at computations for Conditional Expected Drawdown, a...