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

SUERF/UniCredit Foundation Workshop

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

Wednesday, 19 February 2020

UniCredit - Tower Hall
Via Fratelli Castiglioni 12
20154 Milan, Italy

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

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
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?

Chair: Frank Lierman, Belgian Financial Forum and SUERF

The Growth of Indexing: What is happening, and why?
Craig J. Lazzara, Managing Director, Index Investment Strategy, S&P Dow Jones

Future trends in asset management: The great performance un-bundling
Ursula Marchioni, Managing Director, BlackRock Portfolio Analysis and Solutions (BPAS) in EMEA

Passive versus active asset portfolio management: trends, drivers, risks
Alessandro Rota, Head of Research Unit, Assogestioni

11:00 Coffee
11:30 Session 2: Structural change and disruption in asset management
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?

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

Allocation changes in institutional portfoliosin a low rate environment
Juha Niemelä, Head of Market Operations, Bank of Finland

Structural changes and disruptions in Asset Management
Giorgio Libotte, Partner, McKinsey & Company

Financial Technology: push for passive investments?
Orcun Kaya, Senior Economist, Deutsche Bank

13:15 Lunch
14:00 Session 3: 7th SUERF Unicredit Foundation Award
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.

Anomalies across the globe: Once public, no longer existent?
Sebastian Mueller, German Graduate School of Management and Law

Passive Investors Actively Impact Prices: Evidence from the Largest ETF Markets
Karamfil Todorov, The London School of Economics and Political Science

Labor Mobility and Capital Misallocation
Maxime Bonelli, HEC Paris

14:45 Session 4: Implications for financial stability and consumer protection
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?

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

Passive funds and market stability
Vladyslav Sushko, Senior Economist, Office for Asia and the Pacific, BIS

Active vs. Passive Portfolio Management: Implications for Financial Stability and Consumer Protection
Josef Zechner, Professor of Finance, WU Vienna

16:30 End of Workshop

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