Investment Innovation Series: Liquid Factor Models: How Well Do You Know Your Risk?

Investment Innovation Series
Liquid Factor Models: How Well Do You Know Your Risk?

Our discussion will review a new factor model using liquid instruments which are transparent, cheap, and efficient to trade, intended to create more intuitive and less-correlated risk factors. Stemming from his own published research, Mr. Rosenthal will suggest instrument combinations creating intuitive, less-correlated factors and an estimation method designed to help produce more stable exposure estimates, reducing the need for unnecessary re-hedging. In the discussion, we will outline that a liquid factor model explains most of the returns for investment funds with diverse holdings and objectives and this explanatory power is comparable to or better than other commonly used factor models. Liquid factor models allow for us to better estimate fund alphas and inexpensively eliminate and/or enhance exposures. We’ll conclude the discussion with a few tangible examples, analyzing funds with diverse holdings and objectives and show how liquid factor models can produce comparable but more actionable analyses.

Who Should Attend:

CE Credits:

Date: May 12, 2025

Time: 2:00 PM – 3:00 PM (30-minute presentation + 30-minute Q&A)
Location: Zoom (Link to be sent 24-48 Hours Before the Webinar)

Cost: Free to Members Only 

REGISTER NOW!

Speakers:

 Greg Bauer
Executive Director, Institutional, Parametric Portfolio Associates