CFA Institute: Factor Investing in Bond Markets

Professional Investing Series

Despite the popularity of factor investing in equities, there is little research on risk premia in fixed income.

Riccardo Rebonato, Professor of Finance at EDHEC Business School and EDHEC-Risk expert on Factor Investing Fixed Income, has been working to change that, and he will discuss his findings in this interactive webinar.

During this webinar hosted by the CFA Institute, Professor Rebonato will discuss "Factor Investing in Bond Markets" and will explain why the timing of factor exposures is far more promising in fixed income than in equities.

AGENDA

Moderator’s introduction (5 min) – Matias Mottola
Factor Investing in Bond Markets (25min) – Riccardo Rebonato
Questions and answers (15 min)

Further information on the conference can be found on the CFA Institute website or register directly.

Riccardo Rebonato, Lionel Martellini and Jean-Michel Maeso have recently published 3 publications on factor investing fixed income, drawn from the Amundi ETF, Indexing and Smart Beta Investment Strategies research chair at EDHEC-Risk Institute:

Factor Investing in Sovereign Bond Markets - Time-Series Perspective

Factor Investing in Sovereign Bond Markets: Defining and Exploiting Value in Bonds

Factor Investing in Fixed Income: Cross-Sectional and Time-Series Momentum in the US Sovereign Bond Market

Insigful results relayed in the Edito "EDHEC-Risk on Factor Investing in Sovereign Bond Universes" published in the June 2019 edition of EDHEC-Risk Institute quarterly newsletter.

SPEAKERS

Riccardo Rebonato, professor of finance at EDHEC Business School and holds the PIMCO Research Chair for the EDHEC Risk Institute.

Riccardo Rebonato is professor of finance at EDHEC Business School and holds the PIMCO Research Chair for the EDHEC Risk Institute. Previously, he held academic positions at Imperial College London and Oxford University. In addition, Professor Rebonato served as global head of fixed income and FX analytics at PIMCO and head of research, risk management, and derivatives trading at several major international banks. He has served on the board of directors for ISDA and GARP and is on the board of the Nine Dots Prize. Professor Rebonato is the author of several books and articles on finance and risk management, including Bond Pricing and Yield Curve Modeling: A Structural Approach.

Matias Möttölä, CFA, is an associate director of multi-asset and alternatives strategies in the cross-border EMEA manager research team for Morningstar Inc., based in London. He has experience covering funds from several asset classes and previously served as the country site editor for Morningstar in Finland. Mr. Möttölä has written multiple white papers on such topics as active share in European equity funds, investor returns, fixed-income fund performance, income investing, and alternative funds and is actively engaged in Morningstar’s thought leadership work. Previously, he worked as a business journalist and author in Finland, his native country, where his work was published in several major Finnish print publications. Mr. Möttölä has served as a board member and as president of CFA Society Finland. He earned a master’s degree in international relations from the University of Tampere.

Date

Tuesday 20/10/2020 - Tuesday 20/10/2020

12:00pm - 12:45pm CET

Place

Webinar

About EDHEC

Operating from campuses in Lille, Nice, Paris, London and Singapore, EDHEC is one of the world’s top 15 business schools. Fully international and directly connected to the business world, EDHEC commands a strong reputation for research excellence and the ability to train entrepreneurs and managers capable of breaking new ground. EDHEC functions as a genuine laboratory of ideas and produces innovative solutions valued by businesses. The School’s teaching is inspired by its research work and a focus on “learning by doing”, all with the aim of equipping people with the skills to succeed in business.

About EDHEC-Risk Climate Impact Institute

Marking the priority assigned by the School to sustainability issues and building on its research programmes exploring the relationships between climate change and finance, EDHEC-Risk Institute became EDHEC-Risk Climate Impact Institute in October 2022. The Institute's mission is to help private and public decision-makers manage climate-related financial risks and make the best use of the financial tools available to transition to low-emission and climate-resilient economies. The Institute’s research programmes explore the relationships between climate change and finance and our key ambition is to become a leading academic reference point for long-term investors, helping them to manage the asset-pricing implications of climate change as well as mitigation and adaptation efforts.