第10回研究会

開催日：

2016年10月31日 (月)　17:30-18:30

会場：

丸の内永楽ビルディング18階 首都大学東京 丸の内サテライトキャンパス

報告者：

Dr. Antti Ilmanen (principal at AQR Capital Management)

タイトル：

Investing with Style: Bold Diversification Amid Low Expected Returns

概要Abstract

Investors are bombarded by a variety of investment strategies and alternatives from an ever-growing and increasingly complex financial industry, each claiming to improve returns and reduce risk. Amid the clamor, academic and practitioner research has sifted through the vast landscape and found four intuitive investment strategies that, when applied effectively, have delivered positive long-term returns with low correlation across a multitude of asset classes, markets, and time periods using very liquid securities. These four investment “styles” are Value, Momentum, Carry, and Defensive, which form the core foundation in explaining the cross-section of returns of most asset classes. In this seminar, I describe “style investing,” discuss the intuition and evidence for the four pervasive styles, and detail how to implement a strategy that can access these premia to improve the risk and return characteristics of traditional portfolios. Despite a wealth of academic evidence on style premia, an accessible investment vehicle that delivers a very broad yet consistent set of style returns (at reasonable terms) has not existed. I present an intuitive, transparent, and cost-effective approach to gain exposure to these pervasive investment styles.