SUERF

7th SUERF & UniCredit Foundation Research Prize

Passive versus Active Asset Portfolio Management: Trends, Drivers, Risks

The question whether active portfolio management can systematically improve a portfolio’s return has been debated for long. The rise of low-cost ETFs, FinTech and AI has been reinforcing pressures on active portfolio managers to prove the value for money of their service. At the same time, the financial crisis and the rise of populist policies have highlighted the importance and the potential benefits for portfolio performance from anticipating low-probability high-impact events. Furthermore computer trading and AI-assisted portfolio analysis and investment strategies are making fast progress, reducing the cost of “active” management strategies in the future. From a financial stability perspective, the widespread use of similar passive management strategies or similar forms of portfolio investment algorithms may generate synchronous behaviour, reinforce price fluctuations and pose risks to financial stability. The large scale of ETF markets may also make potential instability from this sector systemically important.

Scientific committee
Aleati Annalisa, UniCredit Foundation
Ernest Gnan, OeNB and SUERF
Carl-Christoph Hedrich, Commerzbank and SUERF
Esa Jokivuolle, Bank of Finland and SUERF
Frank Lierman, Belgian Financial Forum and SUERF
Christian Upper, BIS and SUERF

Program

Time

Wednesday, 19 February 2020

08:30

Registration

09:00

Opening and Welcome

Francesco Giordano, Co-CEO Commercial Banking Western Europe, UniCredit

Ernest Gnan, Head of Economic Analysis Division, OeNB and SUERF Secretary General

09:15

Sesssion 1: Future trends in asset management – a products and tools perspective

Chair: Frank Lierman, Belgian Financial Forum and SUERF

Massimiliano Castelli, Managing Director, Head of Sovereign Strategy, UBS

The Growth of Indexing: What is happening, and why?

Craig J. Lazzara, Managing Director, Index Investment Strategy, S&P Dow Jones presentation

Future trends in asset management: The great performance un-bundling

Ursula Marchioni, Managing Director, BlackRock Portfolio Analysis and Solutions (BPAS) in EMEA presentation

Passive versus active asset portfolio management: trends, drivers, risks

Alessandro Rota, Head of Research Unit, Assogestioni presentation

This session discusses recent and forthcoming broad trends in asset management. It summarizes broad trends in market shares and preferred products. How is the ETF market developing, what are tendencies within the market? It then addresses alternative asset management approaches and relative portfolio performance. What are broad trends active management and in hedge fund strategies? Can actively managed mutual funds and hedge funds justify their fees with correspondingly higher as compared to passive strategies and ETFs? How do bond fund managers deal with the low interest rate environment?

11:00

Coffee

11:30

Session 2: Structural change and disruption in asset management

Chair: Esa Jokivuolle, Head of Research, Bank of Finland and SUERF

Financial Technology: push for passive investments?

Orcun Kaya, Senior Economist, Deutsche Bank presentation

Allocation changes in institutional portfoliosin a low rate environment

Juha Niemelä, Head of Market Operations, Bank of Finland presentation

Structural changes and disruptions in Asset Management

Giorgio Libotte, Partner, McKinsey & Company

Asset management services are undergoing a period of far-reaching disruptive change, which affects all stages of the production chain. The use of AI Analytics, the advance of blockchain, changing consumer behaviour and preferences, the spreading of Fintech (WealthTech, Robo-Advisory) and of automated distribution channels, Tighter regulation (CBRD, MIFID2 etc.) are major elements of this change. What are key drivers? What will be the effects on various segments of the asset management industry 5 or 10 years down the road? What will be the effects for customers? What steps to take now to be ready?

13:15

Lunch

14:00

Session 3: 7th SUERF Unicredit Foundation Award

Anomalies across the globe: Once public, no longer existent?

Sebastian Mueller, German Graduate School of Management and Law presentation

Passive Investors Actively Impact Prices: Evidence from the Largest ETF Markets

Karamfil Todorov, The London School of Economics and Political Science presentation

Labor Mobility and Capital Misallocation

Maxime Bonelli, HEC Paris presentation

The winners of the 7th SUERF-UUF Prize will give non-technical presentations of their award winning papers. A financial industry and/or policy institution representative will discuss the findings. SUERF and UniCredit Research Foundation will hand over the research prizes.

14:45

Session 4: Implications for financial stability and consumer protection

Chair: Esa Jokivuolle, Head of Research, Bank of Finland and SUERF

Asset Managers and Price Efficiency

Marcin T Kacperczyk, Professor of Finance, Imperial College London presentation

Active vs. Passive Portfolio Management: Implications for Financial Stability and Consumer Protection

Josef Zechner, Professor of Finance, WU Vienna presentation

Passive funds and market stability

Vladyslav Sushko, Senior Economist, Office for Asia and the Pacific, BIS presentation

Olaf Weeken, Adviser, ESRB Secretariat

The rise of passive investment management and ETFs has over recent years raised concerns about their possible implications for financial system stability and on their impact on underlying markets. What do theory and empirical research suggest? How do regulators and supervisors respond?

16:30

End of Workshop

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Financial Services and Business models Household finance, savings and consumption Pensions and Insurance

Passive versus active asset portfolio management: trends, drivers, risks

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Passive versus active asset portfolio management: trends, drivers, risks

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