Perspectives on Multi Asset Class Factor Premia

Seminar by

Stefano Cavaglia

State of Wisconsin Investment Board

Louis Scott

Alphidence Capital

Kenneth Blay

Invesco

10th May 2022 – On-Line

This talk is based on the recently published Multi-Asset Class Factor Premia: A Strategic Asset Allocation Perspective
by Stefano Cavaglia, Louis Scott, Kenneth Blay, and Scott Hixon which leads the March 2022 issue of the Journal of Portfolio Management special edition on multi asset class strategies.
The seminar will highlight benefits of overlay strategies over an investor’s lifecycle including:
– Increased likelihood of achieving wealth targets.
– Smoother ride in the accumulation phase.
– Improved outcomes in the decumulation period.
and will also review
– Overlay implementation
– Premia conditioned on business cycles

Stefano Cavaglia

Senior Managing Analyst
The State of Wisconsin Investment Board

Stefano holds a PhD in Finance from the University of Chicago. Under the mentorship of Gary Brinson, he led the restructuring of UBS Asset Management’s Global Equity investment platform with a view to emphasize the importance of industry factors in the construction of global equity portfolios. His team’s research work supporting the initiative was featured in the Financial Analyst Journal and is now referenced in the CFA curriculum. Subsequently, he founded and managed a $1.3b hedge fund at UBS O’Connor, Chicago corroborating his empirical findings.

Louis Scott

Quantitative Researcher
Alphidence Capital

Prior to Alphidence,a systematic macro hedge fund, Louis founded Kiema Advisors, a research consultancy. He was Head of FactSet’s Risk and Quantitative Research. Louis was a Senior Portfolio Manager and researcher at Old Mutual’s Quantitative Strategies Group developing market neutral and asset allocation strategies. At Citigroup Asset Management, he managed the quantitative US long only portfolio. He was a researcher at PanAgora Asset Management and co-managed the currency strategy. He managed over a billion in assets in each of his funds. He is a mathematician trained at Brown and MIT.

Kenneth Blay

Head of Research for Global Thought Leadership
Invesco

Kenneth leads research efforts with investment teams and researchers, authors white papers and journal articles, and creates innovative investment content. Prior to joining Invesco, he served as advisory research manager at State Street Associates where he led engagements with institutional clients and advanced research on asset allocation, risk management, and investment strategy. Previously, he was director of research at 1st Global, where he led asset allocation policy and managed the firm’s discretionary multi-asset portfolios. Kenneth earned a BBA in finance from the University of Texas.

Scott Hixon

Portfolio Manager and Head of Research
Invesco – Global Asset Allocation team

Mr. Hixon oversees and helps steer the team’s research initiatives in the areas of model and strategy development, as well as portfolio construction to invest in stock, bond and commodity markets worldwide. . Mr. Hixon began working in the industry in 1992 as a trust officer for SunTrust Bank. He has been responsible for Invesco’s tactical allocation strategies since joining the firm in 1994. Mr. Hixon earned a BBA, magna cum laude, in finance from Georgia Southern University and an MBA from Georgia State University. He is a Chartered Financial Analyst® (CFA) charterholder and member of the CFA Society of Atlanta.