Global Featured Speaker, Sébastien Page
State Street delves into portfolio optimization techniques.
BY Jennifer Hughey | March 25, 2010
The Canadian equity market represents only 4% of the world market capitalization. When using equilibrium return assumptions, most portfolio optimization models suggest only a small allocation to Canadian equities, even in the presence of Canadian liabilities.
At the Global Investment Conference, Sébastien Page, Senior Managing Director, Head of Portfolio and Risk Management Group with State Street Global Markets asks,”Can we trust portfolio optimization when building globally diversified portfolios?”
Recently we have seen a growing scepticism of portfolio optimization techniques. For example, previous research shows that equally weighted portfolios (“1/N”) outperform optimized portfolios. With naïve inputs we demonstrate that optimized portfolios usually outperform equally weighted portfolios, and therefore the home bias remains a puzzle.
Sébastien group at State Street Associates is responsible for conducting advisory research on asset allocation, portfolio optimization, risk management, and currency management. He also oversees SSA’s Currency Management team. He is a frequent presenter at investment conferences, and has had numerous articles published in various academic and professional journals, including the Journal of Asset Management, the Journal of Portfolio Management, the Journal of Investing, the Journal of Investment Management, the Emerging Markets Review and Canadian Investment Review.
He received first prize in the Montreal Society of Financial Analyst August Hagedorn contest for his research on Value At Risk, and in 2003, he was awarded the Bernstein Fabozzi/Jacobs Levy Award for Best Article in the Journal of Portfolio Management. Prior to joining SSA, Sébastien worked at the Caisse de Depot et Placement du Quebec where he focused on asset allocation. Mr. Page holds a M.Sc. in Finance from Sherbrooke University in Canada and is a CFA charter holder.
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