Buffett's Alpha and Efficiently Inefficient Markets
Time: 18:30-20:00 (JST)
Venue: Room1, FINE TOKYO, 5th Floor, South Tower, Otemachi Financial City, 1-9-7 Otemachi, Chiyoda-ku, Tokyo
(For those who take the subways to come: From Tokyo Metro Otemachi Station, please use the passageway directly connecting to the first basement floor of the building. Then take the South Elevator from the first basement floor or the first floor to the fifth floor.
For those who come from the surface street: Please enter the SouthTower, Otemachi Financial City from FINE TOKYO Entrance that is across the street of Sankei Building. Then take the South Elevator from the first floor to the fifth floor.)
Specialty Focus Areas: Equity Investments, Investment Management Strategies (CE credit eligible)
Speaker: Professor Lasse Pedersen (Principal at AQR Capital Management, Finance Professor at Copenhagen Business School and New York University's Stern School of Business)
Fee: CFA Japan Members, CFA Members of other societies, Associate Members, Professional Members：Free, Candidate Non Members: JPY 2,000, Non-members: JPY 3,000
**Global Passport Program is available.
We consider the main trading strategies by some of the most celebrated investors and seek to determine the source of their profits. To do this, we utilize a factor—or style—investing framework, that is, using time-tested principles in a rules-based manner. We begin with Warren Buffett's Berkshire Hathaway, which has realized a Sharpe ratio of 0.79, with significant alpha to traditional risk factors. The alpha becomes insignificant, however, when we control for exposure to style factors such as value and quality. Through this factor prism, Buffett's returns appear to be neither luck nor magic but, rather, a reward for leveraging cheap, safe, high-quality stocks. We also consider the investment styles of George Soros and other famous investors.
Professor Lasse Pedersen is a Principal at AQR Capital Management, where he focuses on research on global investment strategies. He is also a finance professor at Copenhagen Business School and New York University's Stern School of Business. Lasse has served on the board of the American Finance Association, the Economic Advisory Boards of NASDAQ OMX and FTSE, and the Federal Reserve Bank of New York's Monetary Policy Panel. Lasse was awarded the Bernácer Prize for the best European economist under 40, the Banque de France-TSE Prize in Monetary Economics and Finance, and an Elite Research Prize to outstanding researchers under 45. His research has been published in leading journals and cited by central bank governors. Lasse has served on the editorial boards of several journals, including The Journal of Finance, and as a research associate at the National Bureau of Economic Research and the Centre for Economic Policy Research. He is the author of Efficiently Inefficient: How Smart Money Invests and Market Prices Are Determined（邦題：ヘッジファンドのアクティブ運用戦略―効率的に非効率な市場）. He earned a B.S. and an M.S. in mathematics-economics from the University of Copenhagen and a Ph.D. in finance from Stanford University.