Yale SOM – EDHEC-Risk Harvesting Risk Premia in Equity and Bond Markets Seminar | YALE school of management | 11 July 2017 | Yale School of Management, 165 Whitney Avenue New Haven, CT 06511-3729

A new approach known as factor investing has recently emerged in investment practice which recommends
that allocation decisions be expressed in terms of risk factors, as opposed to standard asset class
decompositions. While risk factors have been commonly used for risk and performance evaluation of actively
managed portfolios for a long time, the current focus is on identifying the proper framework under which
factor investing and risk allocation is expected to generate welfare gains for asset owners. In particular, the
emergence of so-called smart beta investment solutions, which is blurring the traditional clear-cut split
between active versus passive equity portfolio management, puts the emphasis on efficient harvesting of
risk premia across and within asset classes.
This seminar has been designed to offer participants an in-depth discussion of modern factor investing
approaches in equity and bond markets. The first day of the seminar is dedicated to an in-depth analysis of
rewarded risk premia in equity markets. The second day of the seminar presents recent advances in portfolio
construction that can be used to form the best diversified, and therefore the best rewarded, portfolio along
whatever rewarded factor tilt an investor may decide to be exposed to. The third and last day of the seminar
brings a focus on risk premia harvesting in fixed-income markets, with a discussion that encompasses
both the identification of rewarded risk factors in the fixed-income space and the portfolio construction
techniques required to most efficiently harvest such time-varying risk premia.

Professor William N. Goetzmann
Factor Investing in Practice: Applications to Portfolio Management

Professor Raman Uppal
Harvesting Risk Premia in Equity Markets: Recent Advances in Equity Portfolio
Management

Professor Riccardo Rebonato
Risk Premia in Fixed Income: Time Series and Cross-Sectional Results