Friday, May 1, 2015
Welcome Remarks
Recognition of 2014 Jacobs Levy Center Research Paper Prize Recipients
Christopher Geczy, Academic Director, Jacobs Levy Center
Welcome Remarks
Bruce Jacobs, Chair of the Advisory Board, Jacobs Levy Center; Principal and Co-Founder, Jacobs Levy Equity Management
Kenneth Levy, Principal and Co-Founder, Jacobs Levy Equity Management
Welcome Remarks & Recognition
The Common Factor in Idiosyncratic Volatility: Quantitative Asset Pricing Implications
Presenter: Bryan Kelly, The University of Chicago Booth School of Business
Discussant: Robert Stambaugh, The Wharton School
Paper | Presentation
Lucky Factors
Presenter: Campbell Harvey, Duke University, The Fuqua School of Business
Discussant: Marcos Lopez de Prado, Guggenheim Partners
Paper | Presentation
Size Matters, If You Control Your Junk
Lunch buffet
Presenter: Clifford Asness, AQR Capital Management
Discussant: Mark Carhart, Kepos Capital
Paper | Presentation
Panel: Practitioners on Factor Investing
Robert A. Gillam, McKinley Capital Management
Syed Haque, United Parcel Service
Jeffrey Saret, Two Sigma Investments
Moderator: Christopher Geczy, Academic Director, Jacobs Levy Center
Carry and Trend in Lots of Places
Presenter: Vineer Bhansali, PIMCO
Discussant: Kent Smetters, The Wharton School
Presentation
Panel: Is Smart Beta State of the Art?
Bruce Jacobs, Jacobs Levy Equity Management
Vitali Kalesnik, Research Affiliates
Jeremy Schwartz, WisdomTree Investments
Moderator: Thomas Mitchell, Marco Consulting
Closing Remarks
Christopher Geczy, Academic Director, Jacobs Levy Center
Closing Remarks