The objective of this webinar is to compare "bottom-up" methodologies that rely on multi-factor score-weighting to build concentrated portfolios to achieve higher composite exposure across targeted factors with less concentrated "top-down" multi-factor approaches.
Overview
In light of increasing investor interest in multi-factor solutions, product providers have recently been debating the respective merits of the "top-down" and "bottom-up" approaches to multi-factor portfolio construction.
Our recent research shows that focusing solely on increasing factor intensity leads to inefficiency in capturing factor premia, as exposure to unrewarded risks more than offsets the benefits of increased factor scores. High factor scores in "bottom-up" approaches also come with high instability and high turnover.
Our approach considers cross-factor interactions in "top-down" portfolios through an adjustment at the stock selection level. This approach, while producing lower factor intensity than "bottom-up" methods, leads to higher levels of diversification and produces higher returns per unit of factor intensity. It dominates "bottom-up" approaches in terms of relative performance, while considerably reducing extreme relative losses and turnover.
The objective of this webinar is to compare "bottom-up" methodologies that rely on multi-factor score-weighting to build concentrated portfolios to achieve higher composite exposure across targeted factors with less concentrated "top-down" multi-factor approaches.
Topics covered include:
Slides
To receive the slides from the webinar, please click here.
Host
The webinar was hosted by Felix Goltz, Head of Applied Research at EDHEC-Risk Institute and Research Director at ERI Scientific Beta. Dr. Goltz carries out research in empirical finance and asset allocation, with a focus on alternative investments and indexing strategies. His work has appeared in various international academic and practitioner journals and handbooks. He obtained a PhD in finance from the University of Nice Sophia-Antipolis after studying economics and business administration at the University of Bayreuth and EDHEC Business School.
Date/Time
9 March, 2017 at 5.00pm CET / 11.00am EST.