Factor Investing in Asset–Liability Management
Professional Investing Series
Institutional investors have begun to recognize the importance of risk factors in asset allocation decisions, even though factor investing has had mixed results over the last few years.
Lionel Martellini, Professor of Finance at EDHEC Business School and Director of EDHEC-Risk Institute, has been working to combine the benefits of liability hedging and performance improvement through factor investing.
During this webinar hosted by the CFA Institute, Professor Martellini will discuss "Factor Investing in Asset–Liability Management" and will explain how to integrate some of the most significant advances in institutional money management.
- Moderator’s introduction (5 min) – Caitriona MacGuinness
- Factor Investing in Asset–Liability Management (20min) – Lionel Martellini
- Questions and answers (20 min)
Further information on the conference can be found on the CFA Institute website, or by registering directly here.
You can access EDHEC-Risk Institute research paper "Factor Investing in Liability-Driven and Goal-Based Investment Solutions", published in May 2020.
The main objective of this paper is precisely to contribute to the acceptance of factor investing by providing useful pedagogical clarification with respect to the benefits of factor investing within the liability-driven investing paradigm.
To this end, authors draw an important distinction between the benefits of factor investing in the performance-seeking portfolio and its benefits in the liability-hedging portfolio. We also argue that adopting a factor investing lens offers new useful insights with respect to the improvement of the interaction between performance-seeking and liability-hedging portfolios. Overall, the paper can be regarded as a first step towards the introduction of a comprehensive investment framework blending liability-driven and factor investing, widely recognized as the two most significant advances in institutional money management over the last two decades
Insigful results relayed in the Edito "How Factor Investing Can Help Liability-Driven Investors" published in the May 2020 edition of EDHEC-Risk Institute quarterly newsletter.
Lionel Martellini is a Professor of Finance at EDHEC Business School and the Director of EDHEC-Risk Institute. He is a former member of the faculty at the Marshall School of Business, University of Southern California, and has also taught at U.C. Berkeley and at Princeton University, where he has been a visiting fellow at the Operations Research and Financial Engineering department.
Professor Martellini holds Master’s degrees in management (ESCP Business School), economics and statistics (ENSAE), pure mathematics (Paris 6 University), probability and stochastic processes (Paris 6 University), as well as a PhD in finance (Haas School of Business, University of California at Berkeley). Outside of his activities in finance, he recently completed a PhD in Relativistic Astrophysics (University Côte d'Azur) and has become a member of the LIGO/Virgo international collaboration for the observation of gravitational waves.
Professor Martellini is a member of the editorial board of The Journal of Portfolio Management, The Journal of Alternative Investments, and The Journal of Retirement. He leads research and education programs on a broad range of topics related to investment solutions for individual and institutional investors, risk and asset allocation decisions, factor investing in equity and fixed-income markets, climate finance and sustainable investing, risk management and derivatives valuation. His work has been published in leading academic and practitioner journals and has been featured in major European and global dailies such as The Economist, The Financial Times and The Wall Street Journal. He has co-authored reference textbooks on topics related to Alternative Investment Strategies, Fixed-Income Securities, Goal-Based Investing, Retirement Investing and Investment Solutions. He has also launched a digital specialization program on Data Science for Investment Management available on Coursera platform and is currently preparing a new specialization program on Climate Finance and Sustainable Investing.
Professor Martellini has served as a consultant for large institutional investors (CalPERS and Ontario Teachers’ Pension Plan, among others) as well as investments banks and asset management firms on a number of questions related to risk and asset allocation decisions, and is a regular speaker in seminars and conferences on these subjects.
Caitriona McGuinness is a partner at Mercer Ireland, where she leads both the defined contribution (DC) business and the Irish Mercer Master Trust. She oversees the provision of advice to clients across their defined contribution pension arrangements, including best practice structures for corporate pension plans, investment consulting, plan governance, and engaging members. Ms. McGuinness’s role also involves oversight of Mercer’s Irish delegated DC solution, Mercer Aspire, and contributing to the Mercer Ireland Country Leadership team.
She has 18 years of experience in the investment and pension industries. Previously, she worked for 12 years as a senior fund manager at KBC Fund Management in Ireland, specialising in the management of emerging market equities.
Ms. McGuinness has served as president of CFA Society Ireland and is a contributor to Irish media, commenting on issues relating to the investment and pension industries. She earned an undergraduate degree in international commerce from National University of Ireland Galway and a master’s degree in financial services from University College Dublin.