A More Quantitative Fundamental Law

How can pension funds maximize the risk-adjusted returns of a portfolio?

  • Facebook
  • Twitter
  • Print
  • Email
  • Comment

PeterMillingtonThe recent global financial crisis served to underscore the critical need for proper portfolio diversification and risk management, notes Peter Millington, Director of Quantitative Research with Pyramis Global Advisors.

Peter will explain through his research how they applied an entropy-inspired diversification metric to create a “Modified Fundamental Law of Active Management” that better captures the true level of diversification and embedded risk within an investment strategy.

This new approach provides a useful framework to better understand the interaction of risk and alpha sources within a portfolio. Insights from this framework can facilitate techniques that may significantly improve the risk-adjusted returns of investment strategies.

Peter heads the quantitative research team that develops stock selection models and portfolio optimization algorithms for the active management of equity funds. Pete joined Fidelity in 1994 as a quantitative research analyst. He was promoted to senior quantitative analyst in October 1999. In November 2001, he was named portfolio manager responsible for actively managed, diversified Canadian institutional equity accounts.

Prior to joining Fidelity, Peter worked as a research scientist at the Massachusetts Institute of Technology (MIT) Draper Laboratory. Peter earned a bachelor of science degree in Aerospace Engineering from Texas A&M University, graduating magna cum laude in 1987. He was awarded a Draper Laboratory Fellowship for graduate studies at MIT and earned a Master of Science degree in Aeronautics and Astronautics from MIT in 1999. He is a Chartered Financial Analyst charterholder.

For more information on the Global Investment Conference, visit Upcoming Events.

Add a Comment

Have your say on this topic! Comments that are thought to be disrespectful or offensive may be removed by our Canadian Investment Review admins. Thanks!

Contex Group Inc.