Regime-Aware Investing and Factor-Based Portfolio Design

Summary

Markets behave differently across economic environments, and successful investing requires understanding both the sources of risk and the tools available to manage them.

This event explores how macroeconomic regimes and factor-based investing influence portfolio construction and risk management. The first session examines how changing conditions such as inflation, growth, monetary policy, and market sentiment affect asset behaviour and portfolio risk. The second session focuses on translating these insights into practical portfolio design through multi-factor investing and investor-specific allocation frameworks.

Overall, the sessions provide a structured and practical perspective on building diversified, transparent, and resilient portfolios in changing market environments.

• Macroeconomic Regimes: Identifying the Economic Environment Behind Market Risk – Dr. Michael Markovich 
  This session introduces a framework for identifying macroeconomic regimes using variables such as growth, inflation, interest rates, monetary policy, and risk sentiment. It explores how asset classes behave differently across economic environments and discusses how regime analysis can support risk management, portfolio stress testing, and strategic asset allocation. The focus is on understanding changing market conditions rather than attempting precise market timing.
• From Factors to Portfolios: Integrating Investment Styles into Investor-Specific Strategies – Antonello Cirulli
  This session examines how multiple investment factors can be combined into coherent portfolio strategies tailored to investor objectives and constraints. It compares different portfolio construction approaches and discusses their implications for diversification, turnover, tracking error, drawdowns, and implementation efficiency. Particular emphasis is placed on designing robust multi-factor portfolios that align with different investor priorities, including downside protection, benchmark awareness, and long-term return enhancement.

Presenters

• Dr. Michael Markovich, CEO and Partner at QIO 
  Dr. Michael Markovich is CEO and Partner at QIO – Quantitative Investment Office, where he leads fintech innovation in quantitative investment solutions and serves as Chief Investment Officer. He specialises in asset modelling, capital market assumptions, and strategic asset allocation, with a strong focus on digital wealth advisory. Previously, he spent over 15 years at Credit Suisse, including as Head of Quantitative and Technical Analysis and member of the Global Investment Committee, shaping investment strategy across major asset classes.
• Antonello Cirulli, Head of Product Development and Partner at OLZ AG
  Antonello Cirulli is Head of Product Development and Partner at OLZ AG, where he leads the design, development, and automation of investment models. He joined OLZ in 2016 and brings deep expertise in quantitative finance and risk management. Antonello is a certified Financial Risk Manager (FRM) and holds degrees in mathematics from the University of Rome Tor Vergata and in quantitative finance from the University of Zurich and ETH Zurich. He is also President of the Zurich Quantitative Finance Alumni (ZQFA).

Introduction and moderation

• Prof. Dr. Erich Walter Farkas
  SRA Board Member; Analytical Methods Chapter Co-Chair
  University and ETH Zurich | SFI Faculty, Professor of Quantitative Finance
• Dr. Urban Ulrych, Postdoctoral Researcher at ETH Zurich
  Urban Ulrych is a researcher specializing in quantitative risk management, statistical learning in finance, and asset pricing. He is currently a Postdoctoral Researcher at ETH Zurich’s RiskLab and previously worked as a Quantitative Strategist at Credit Suisse. Urban holds a PhD in Finance from the Swiss Finance Institute at the University of Zurich, and his research has been published in leading academic finance journals. He serves as Chapter Advisor for Analytical Methods at the Swiss Risk Association.

Agenda

17:45  Arrival & Name Tag Collection
18:00  Welcome and Introduction
18:10  Presentations
19:00  Panel with all the speakers and Q&A (All)
19:25  Conclusion
19:30  Networking Drinks
20:30  End

Chapter Event

As chapters evolve, synergies are found and the focus of our topics change, we will combine chapter “Risk Analytics and Models” and Stress Testing and Scenario Generation” into the new chapter “Analytical Methods”. We explore analytical approaches to risk management, with a focus on practical applications. Our chapter provides practitioners with a stage to share their latest ideas, tools and methods.