Discussion leader: Nick Wade

Topic: Stefano Cavaglia's recent results on Factor Premia and the Value of Downside Protection

Additional Topic Info: Stefano's simulation results suggest wealth accumulation is significantly enhanced by a time invariant, equal weighted allocation to conventional factor premia. Factor premia based strategies provide a challenge to skill based asset allocation strategies that aim to tactically shift the portfolio’s exposure to market risk and highlight the multi-period importance of style management.

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Kind regards,

The Q-Group Committee

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