Q Group - RiskLab Seminar Melbourne - Portfolio Construction Under Economic Scenarios

29 Oct 2019

Dan diBartolomeo (President of Northfield Information Services)


RiskLab/Data61 Demonstration Lab
710 Collins Street, Docklands
(a short walk from Southern Cross station)

Hi all,

Dan diBartolomeo will visit Melbourne and give a seminar on Portfolio Construction Under Economic Scenarios at 5-7pm, Tuesday 29 October.


5.00-5.30pm pre-drinks

5.30-6.30pm seminar and discussion

6.30-7.00pm networking

Many investment organizations spend a lot of effort to forecast future economic conditions. These forecasts are then utilized in various ways (often qualitative in nature) to influence decisions such as tactical asset allocation, and “macro-driven” active portfolio strategies. The puzzling question for these organization is how to accurately transform particular elements of economic scenarios such as forecasts of interest rates, exchange rates, trade levels, commodity prices, or consumer spending into explicit expectations of return and risk either whether for asset classes, factor bets, active management styles (e.g. “value”, “momentum”), or individual securities. We will present how the method of “optimized scenario analysis” can be used in conjunction with commercially available factor models to translate economic forecasts directly into forecasts of return, volatility, skew and kurtosis for any individual security or any set of securities making up an asset class. Complex economic scenarios with many different elements are supported across countries, regions, or globally. Any number of entire scenarios (e.g. “recession”, “expansion”) can be combined over a user specified time horizon for economic events. A key benefit of the process is that the variables being forecast can be any economic or financial market measure with available historical time series data. The scenarios are not limited to items that are specified as factors in any specific model. The four moment descriptions of the asset return distributions can then be used as inputs to portfolio optimization algorithms that support four moment processes.


If you would like to attend, please rsvp using the following link:


Q Group committee

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