In the session with Savina Dimensional will present their research on what they call the short-term drivers of expected stock returns. In particular it will be explored:
- their research on the momentum effect and how it could be incorporated in the daily investment process to improve expected returns without incurring high turnover.
- their research on the information contained in borrowing prices about short-term expected stock returns
Registration and Welcome Coffee
Key Considerations for Systematic Investing: The Short-Term Drivers of Expected Stock Returns
Savina Rizova, PhD, Co-Head of Research and Vice President, Dimensional Fund Advisors
Savina Rizova, PhD
Co-Head of Research and Vice President, Dimensional Fund Advisors
As Co-Head of Research, Savina applies a background in finance to research projects that Dimensional undertakes to improve the design and execution of new and existing strategies. She also examines a variety of empirical research questions. Prior to obtaining her PhD, Savina worked in the Research group at Dimensional. She conducted quantitative analysis used to explain strategies and performance to clients. Savina is also a member of the Investment Research Committee and Investment Committee.
Savina completed her PhD in finance at the University of Chicago Booth School of Business and holds an MBA from the University of Chicago Booth School of Business as well as a BA in economics and mathematics from Dartmouth College.
Round table – The perspective of two italian markets practitioners
Teodor Naoumov, Portfolio Manager and Head of Quantitative Management team, Pramerica SGR
Riccardo Rasi, Head of Public Markets and Absolute Return Strategies, Fondazione Enasarco
Portfolio Manager and Head of Quantitative Management team, Pramerica SGR
More than 20 years of experience in Finance and Global Asset Management. Since 2010 Portfolio Manager and Head of Quantitative Management team, in Pramerica SGR. Member of the Investment Committee, leading the Quant team composed of 11 professionals. From 1999 to 2010 Quantitative analyst and portfolio manager at Eurizon Capital, Milan. Since 2004 Chartered Financial Analyst (CFA) charterholder. M.A. Master in Economics, CORIPE Piemonte, University of Turin, B.A.,M.A. Higher education degree in International Economic Relations, University of National and World Economy, Sofia.
Head of Public Markets and Absolute Return Strategies, Fondazione Enasarco
Riccardo currently oversees EUR 3.5 bln of direct and indirect public markets investments at Fondazione Enasarco, both in the traditional and in the alternative space. He is responsible for both manager selection and monitoring, as well as fixed income and ETFs securities selection and trading. He previously worked as a quantitative researcher and trader for hedge funds in UK and Monaco. Riccardo is also an Adjunct Professor of Public Economics at Università Telematica San Raffaele Roma. Riccardo holds an MSc in Banking and International Finance from Cass Business School and a BSc in Statistics from Università La Sapienza di Roma. Riccardo is a CFA Charterholder since 2018.
Closing Remarks and Q&A