Inquire UK webinar
Join the Inquire UK webinar on July 30th where you will be hearing from Raul Leote de Carvalho from BNP Paribas and member of the Board of Inquire Europe on Factor Investing: get your exposures right!
Date: July 30th, 14.00 UK
Title: Factor Investing: get your exposures right!
Speaker: Raul Leote de Carvalho from BNP Paribas and member of the Board of Inquire Europe
Interest in factor equity investing has been growing over recent years. However, multi-factor investing is no panacea. How to build the optimal equity multi-factor portfolio is a difficult and highly non-trivial question. We can actually show that naively built multi-factor portfolios are very likely to include exposures to factors other than those promised by the portfolio managers responsible for their management. Raul will show that optimal multi-factor portfolios can be constructed from mean–variance optimization using expected stock returns as inputs, for as long as these are built in a robust way from information about the targeted factors. He propose a framework to build those robust expected stock returns and show that the targeted factor exposures are retained by the portfolios both before and after applying realistic constraints.
Raul Leote de Carvalho is deputy head of the Quant Research Group at BNP Paribas Asset Management since October 2017. This team has a presence in Paris, Amsterdam, Hong Kong and London and centralises quantitative research and development of systematic strategies for all investment teams managing equity, fixed income and asset allocation portfolios. The team is also involved in the design of client investment solutions and plays an important role in the thought leadership efforts of the company. Prior to that, he was deputy head of Financial Engineering at BNP Paribas Investment Partners since 2014, a team with similar responsibilities but smaller scope. He first joined that team in 2007 as head of Quantitative Strategies and Research.
From 2003 to 2007, he held the position of senior quantitative strategist in the Global Strategy team at BNP Paribas Asset Management in Paris where he was member of the asset allocation investment committees and developed a number of quantitative models for asset allocation. He joined BNP Paribas Asset Management in 1999 in London as a quantitative analyst, a position he held until 2002, working on applications of robust portfolio optimisation, the development of foreign exchange and fixed income factor models, and as a fund manager of multi-asset portfolios.
Before he spent three years working as a research associate in computational and statistical physics at the University College of London, at the École Normale Supérieure (ENS) de Lyon and at the University of Wuppertal. He obtained a PhD in theoretical physics from the University of Bristol in 1996, an MSc in condensed matter physics in 1992 and a BSc in chemistry in 1990 both from the University of Lisbon.
He is a Member of the Board of Directors at Inquire Europe.
He is also author of a several peer-reviewed papers in Finance and reviewer for the Financial Analysts Journal of the CFA and the Journal of Systematic Investing.
He passed the Investment Management Certificate in London in 2001.