Fund Selection: Blending Quantitative and Qualitative Factors

Fund selection is a core activity in the construction of advisory and discretionary portfolios as well as for pension fund allocations. This master class will discuss the fundamental concepts for the successful implementation of fund selection. The selection of the fund will be analyzed in the context of adding alpha and factor risk premia to the desired portfolio.

We will start by providing the framework and quantitative tools for carrying out a fund manager selection. These notions will be put into practice during the breakout session. We will expand our discussion to cover the performance of institutional portfolios, the choice of fixed income managers, and ETF investing.

Outline

• Which ETFs for the passive alternative?
• Asset Allocation Perspective: adding alpha and beta. Academic view on the existence of alpha.
• Overview of the fund selection process. Investment due diligence.
• Quantitative screening, alpha, and factor exposures.
• The timing of hiring/firing decisions of external managers.
• Breakout session: Application in Fund Selection.
• Institutional Investors’ performance in the active space.
• Manager selection in the fixed-income space. Learning the macro view of the manager.

We are happy to support the SFI Master Classes as a cooperation partner of the Swiss Finance Institute (SFI). They offer experienced banking and finance professionals a unique opportunity to exchange knowledge and share their professional views with high-ranking academics and industry experts in an interactive learning environment. The Master Classes include practical group work and opportunities for discussion.

SFI Master Classes are offered free of charge to employees of companies affiliated with the Swiss Bankers Association (SBA) as well as to employees of FINMA and Swiss National Bank (SNB). The events in Zurich are also open to all employees of member companies of the Zurich Banking Association.

The master classes are acknowledged SAQ recertification measures and comprise four learning hours. Further information on the profiles and the topics covered can be found at sfi.ch/mc.

We look forward to lively participation and a stimulating exchange between industry and academia.

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