Main Conference Day One - GMT (Greenwich Mean Time, GMTZ)
Beyond the well-charted territory of equity portfolio construction lies the complex challenge of fixed income – a domain where traditional quantitative approaches have struggled. While equity markets benefit from simple asset properties and good data access, fixed income presents formidable obstacles. The few quantitative methods in fixed income – notably stratified sampling for passive strategies – merely scratch the surface. These techniques are incomplete workarounds rather than solutions to the fundamental challenge: the absence of high-quality fixed income risk models.
Our research tackles this through sophisticated interest rate and granular issuer spread curves, coupled with systematic factor models similar to equity approaches. We'll explore theoretical aspects of model construction, including "risk entities" that capture fixed income's multidimensional nature, along with the unique challenges of implementing these models in portfolio optimization frameworks.
Join us to discover research breakthroughs enabling truly quantitative fixed income portfolio construction and optimization.
- Alan Langworthy - Head of Fixed Income and Multi-Asset Class Analytics Research, SimCorp
- Adrian Zymolka - Managing Director, Axioma Client Experience, SimCorp
- Hamza Bahaji - Head of Financial Engineering and Investment Solutions, Amundi ETF, Indexing & Smart Beta,, Amundi
Quantitative methods for optimising equity portfolios.