BNP Paribas Quant Forum in Tokyo 2024

Quantitative investing looking ahead to uncertain environmental changes - how to consider and make strategies.

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The 5th annual Quant Forum in Tokyo hosted a half day of in-depth sessions to discuss macro-economic outlook and Quantitative Investment Strategies (QIS) trends and approaches.

Over 100 participants and BNP Paribas clients from banks, security, asset management and insurance companies gathered in central Tokyo to benefit from the insights and views of seasoned practitioners and QIS experts.

In line with this year’s theme, ‘Quantitative Investing Looking Ahead to Uncertain Environmental Changes – How to Consider and Make Strategies’, the presentations started with a macro-economic outlook by Ryutaro Kono, Chief Japan Economist, followed by Vincent Berthelemy, Head of Asset Allocation & QIS Strategy, who shared his views on tactical asset allocation and how to find future best performers.

Ryutaro Kono, Chief Japan Economist, BNP Paribas
5th annual Quant Forum, Tokyo
Mana Nakazora, Chief Credit Strategist/Chief ESG Strategist, BNP Paribas

The second half of the programme started with the latest Credit and ESG insights from Mana Nakazora, Chief Credit Strategist / Chief ESG Strategist.

Lastly, Julien Turc, Head of QIS Lab shared the latest findings from the Lab’s newly published white paper titled, ‘Equity Dispersion – A Bird’s-Eye View’ .

Some of the key takeaways include:

  • Tactical asset allocation / how to find future best performers: as with any trade, the outlook of quantitative strategies can be assessed through a mix of bottom-up metrics, historical analysis and common-sense macro awareness. Quantitative strategies also offer a wide toolbox for investors to design tailor-made solutions targeted to a specific asset allocation problem including capturing upside inflation volatility, completing private market risk exposure or embedding alphas to capture more efficiently traditional market beta.

According to Vincent Berthelemy, Head of Asset Allocation & QIS Strategy, BNP Paribas: “It was a great honor to join our Japanese clients and colleagues for another edition of our Tokyo QIS Forum. The event offered the perfect opportunity to share our research, discuss the latest trends and network with investors in a fast-evolving space. Thoughtful innovation is key to continuously refining asset allocation strategies to meet old and new challenges. Ever higher client interest testifies to the growing role systematic strategies can play in building more robust portfolios.”

Thoughtful innovation is key to continuously refining asset allocation strategies to meet old and new challenges.

Vincent Berthelemy, Head of Asset Allocation & QIS Strategy, BNP Paribas
  • Bracing for the storm: 3 steps to anticipate market disruption: by using certain systematic strategies, investors can benefit from market volatility without having to pay a premium. Equity reversal and dispersion gain when idiosyncratic returns fluctuate widely. The two strategies are usefully complemented by intraday trend-following, which works best following major systemic surprises.

“Systematic strategies can play a useful role in diversifying a portfolio. BNP Paribas is committed to providing top-notch research on understanding the drivers of these strategies and the rationale for their long-term performance,” said Julien Turc, Head of QIS Lab, BNP Paribas.

Systematic strategies can play a useful role in diversifying a portfolio. B

Julien Turc, Head of QIS Lab, BNP Paribas
  • BNP Paribas is a trusted partner with best-in-class structuring and research capabilities in the QIS space: the forum highlighted key themes and trends in the market for the rest of the year and beyond. With that in mind, BNP Paribas is focused on providing a targeted and innovative approach to clients including timely, topical strategies to pool and allocate across various investment strategies depending on macro scenarios.

Commenting on the event, Tomoyuki Mori, Head of Equity Derivatives Sales, Global Markets Japan, BNP Paribas, said: “Our focus on QIS institutional business has resulted in BNP Paribas becoming the leading player in Japan, and it was a great honour to hold our 5th Quant Forum. Our presentations were designed to provide insights on portfolio management, improved performance and reduced risk under certain macro-economic situations as it can be challenging to minimise certain types of risk through traditional ways of asset allocation or strategy diversifications.”

Our presentations were designed to provide insights on portfolio management, improved performance and reduced risk under certain macro-economic situations as it can be challenging to minimise certain types of risk through traditional ways of asset allocation or strategy diversifications.

Tomoyuki Mori, Head of Equity Derivatives Sales, Global Markets Japan, BNP Paribas.