From Theory to Practice:
Building a Portfolio of Risk Premia

October 17, 2013 | London

The risk/reward paradigm is well known. Research has found exposure to risk factors (or risk premia) generates positive gross excess returns. These risk factors include value, momentum, low size (or small cap) and low volatility stocks. Now, investors focus on the practical question of how to effectively implement exposure to these factors.

With a presentation by Dimitris Melas, MSCI Global Head of New Product Research, the evening's discussion will include:  

  • An insider's tour of the MSCI Risk Premia indices;
  • The benefits of combining multiple risk premia indices across the dimensions of risk, performance and investability;
  • The trade-offs between index investability and pure factor capture. How do index methodological decisions affect the ability of an index to "capture" various risk factors?

Join us for an enlightening and in-depth review of these timely issues.


  • Roz Amos, UBS GAM
  • Deborah Fuhr, ETFGI
  • Dimitris Melas, MSCI
  • Nick King, BlackRock
  • Roger Urwin, Moderator, Towers Watson


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