Leading investment experts from academia and practice brought their skills and knowledge to a global get-together in Lancaster.

The 4th Frontiers of Factor Investing (FoFI) Conference was organised by Lancaster University Management School’s Centre for Financial Econometrics, Asset Markets and Macroeconomic Policy (EMP) and co-sponsored by Invesco, Robeco and Quoniam.

More than 140 people took part, with presentations from academic research experts and the asset management industry providing a balance between theory and practice.

The conference featured discussions and presentations on topics including asset pricing, factor investing, sustainable investment, investment funds, risk management, and next generation quantitative methods.

Professor Ingmar Nolte, Director of EMP and Professor of Finance and Econometrics at Lancaster, said: “It has been wonderful to welcome so many experts in the field here to Lancaster to discuss all the latest trends and developments. We cannot understate the value of researchers and industry figures coming together at FoFI. This is an opportunity for us to discuss practice and theory, and to make sure that the two areas continue to complement and benefit from each other.”

The keynote addresses came from both academia and industry.

Magnus Dahlquist, the Peter Wallenberg Professor of Finance at the Stockholm School of Economics, with a talk on The Anatomy of Currency Trading Strategies; and Marcin Kacperczyk, Professor of Finance at Imperial College London, with a talk on Climate Finance, provided a more research perspective.

Laurens Swinkels, Executive Director and Head of Quant Strategy at Robeco’s Sustainable Multi-Asset Strategies team, with a talk on My Life as a Pracademic: Reflections on Finance in Practice and Academia; and Scott Wolle, Chief Investment Officer and Head of Multi-Asset Strategies at Invesco, with a talk on Mapping the Macro Environment, brought real-time insight from business into the practical implementation of methodologies and strategies.

Each of the industrial partners presented a prize as part of FoFI.

Professor Robert Korajczyk, of Northwestern University, won the Invesco Factor Investing Prize with his paper Intangibles Investment and Asset Quality; PhD researcher Cheng Xue, of Queen Mary University of London, collected the Robeco Sustainable Investing Prizewith her paper Climate-triggered Institutional Price Pressure: Does it Affect Firms’ Cost of Equity?; and Dr Alejandro Lopez-Lira, of Warrington College of Business at the University of Florida, took home the Quoniam Innovation in Data-Driven Investing Prize for his paper Does Peer-reviewed Theory Help Predict the Cross-section of Stock Returns.

The FoFI organising committee was as follows: Dr Mykola Babiak, Professor Olga Kolokolova, Professor Ingmar Nolte, Professor Sandra Nolte, Professor Mark Shackleton, Dr George Wang, and Dr Chelsea Yao, of Lancaster University Management School; Dr Anastasios Kagkadis, of the University of Liverpool; Dr Matthias Hanauer and Dr Harald Lohre, of Robeco; Dr David Happersberger and Dr Jerry Sun, of Invesco; and Dr Carsten Rother and Dr Maximilian Stroh, of Quoniam Asset Management.

The award winners at the 4th Frontiers of Factor Investing (FoFI) Conference