Event Highlights
Welcome Remarks & Recognition of 2014 Jacobs Levy Center Research Paper Prize Recipients
Christopher Geczy, Academic Director, Jacobs Levy Center
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
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
Lucky Factors
Presenter: Campbell Harvey, Duke University, The Fuqua School of Business
Discussant: Marcos Lopez de Prado, Guggenheim Partners
Size Matters, If You Control Your Junk
Presenter: Clifford Asness, AQR Capital Management
Discussant: Mark Carhart, Kepos Capital
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
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