Event
QWAFAFEW Denver - January Meeting
Our special guest is Melissa Brown, Senior Director of Applied Research at Axioma, Inc.
In this presentation, we explore an approach to quantify the macro risks of an equity portfolio. In particular, we study the relationship between the factors of a fundamental risk model and macro factors. We illustrate how one can use the fundamental model to construct stress tests and to decompose the results in terms of the fundamental factors. We discuss some of the long-term relationships between fundamental and macro factors, and how some of these have undergone significant changes through time. Lastly, we demonstrate a methodology that allows analysts to insert their views into correlation forecasts to anticipate changes in the future relationships between fundamental and macro factors.
Our Speaker's Background
As Senior Director of Applied Research, Melissa Brown generates unique insights into risk trends by consolidating and analyzing the vast amount of data on market and portfolio risk maintained by Axioma. Brown's perspectives help both clients and prospects to better understand and adapt to the constantly changing risk environment. As author of Axioma Insight: Quarterly Risk Review, Brown reports on the state of risk in publicly traded equity markets around the globe. In addition, Brown produces periodic special reports on a broad range of topics of interest to investors and asset owners. Brown is a frequent speaker on the subject of market risk and is often quoted by the financial media.
Prior to joining Axioma in 2011, Brown was Managing Director and head of the institutional business at Wintrust Capital Management. Before that she spent 10 years at Goldman Sachs Asset Management, most recently as a Partner in the Quantitative Investment Strategies (QIS) Group.
At Goldman Sachs Asset Management, Brown worked closely with clients as the senior portfolio manager for GSAM's US Equity Strategy, before becoming co-head of Client Portfolio Management in the QIS Group. She was previously Director of Quantitative Research at Prudential Securities, where among other things she popularized the idea of the "cockroach theory" of earnings surprise and appeared on Institutional Investor's "All-Star" list for 10 straight years. Brown is a Chartered Financial Analyst. She holds a BS in economics from The Wharton School of the University of Pennsylvania, and an MBA in finance from New York University.
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LocationCactus Club (View)
1621 Blake St
Denver, CO 80202
United States
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