Spring 2021

SEM217: Ananth Madhavan, Blackrock

Tuesday, February 23rd @ 11:00-12:30 PM (ONLINE)

Using Modern Data Science to Identify ETF Model Followers

Ananth Madhavan, Blackrock

ABSTRACT: Investors seeking low cost, automated, and tax aware solutions are increasingly turning to model portfolios that use exchange-traded funds (ETFs) as building blocks to achieve specific investment objectives. There is no regulatory requirement to track ETF model portfolio assets, flows, and performance. We use data...

SEM217: David Ritzwoller, Stanford University

Tuesday, February 9th @ 11:00-12:30 PM (ONLINE)

Uncertainty in the Hot Hand Fallacy: Detecting Streaky Alternatives to Random Bernoulli Sequences

David Ritzwoller, Stanford University

ABSTRACT: We study a class of permutation tests of the randomness of a collection of Bernoulli sequences and their application to analyses of the human tendency to perceive streaks of consecutive successes as overly representative of positive...

SEM217: Steven Thorley, Brigham Young University

Tuesday, February 2nd @ 11:00-12:30 PM (ONLINE)

Risk Management and the Optimal Combination of Equity Market Factors

Steven Thorley, Brigham Young University

ABSTRACT: Managing the intertemporal risk of optimally constructed multifactor portfolios adds to performance. The increases in Sharpe ratios are in addition to the utility that investors gain from controlling how much active risk they are exposed to over time. We derive a simple closed-form formula for...

SEM217: TBD

Tuesday, April 6th @ 11:00-12:30 PM (ONLINE)

Title: TBD

Speaker: TBD

Please register to attend this seminar.