Earlier this week, Stellenbosch University hosted Dr Ronald N Kahn of
BlackRock, the world's largest asset manager, when he presented the biennial
Thys Visser Commemorative Lecture Series.
Dr Kahn, well-known expert on portfolio management and quantitative
investing, leads BlackRock's Scientific Active Equity business, which
manages over $75 billion in assets for institutions and individuals worldwide.
In three lectures, Dr Kahn explored asset management in both a
historical and a future context. In his
first lecture he discussed the developments over the past 100 years that have
resulted in the present investment industry, where investments are managed
systematically.
In the second of the lectures Dr Kahn discussed the methods that could
be used by someone with superior information about some assets to optimise
performance of a portfolio that deviates from the market portfolio. He showed
that outperforming the market portfolio is difficult. The average
outperformance of all the active managers will be negative after costs.
Dr Kahn then illustrated how information ratios can be used to optimise
superior information in constructing portfolios. It is used to allocate a risk
budget (the extent to which the active portfolio may deviate from the
benchmark) across the investment opportunities. It is also used to develop
successful strategies based on an optimal combination of skill, breadth and
efficiency.
In the last lecture Dr Kahn looked towards the future of investment
management, specifically the use of Smart Beta and Big Data in creating
superior investment portfolios.
- The late Thys Visser was a dynamic business leader, alumnus of the
Faculty of Economic and Management Sciences, and strong supporter of
Stellenbosch University. Following his untimely death in 2012, the Faculty
decided to honour his memory with a biennial lecture series by leading
international scholars.
On the photo are SU Rector Prof Wim de Villiers, Mrs Amanda Visser, Dr Ronald Kahn and Prof Stan du Plessis, Dean: Faculty of Economic and Management Sciences.
