Scientific Beta

This special webinar presents new research on how to harvest factor premia without suffering from market volatility. This integrated approach breaks with the traditional practices of long/short factor investing, which are often based on poor risk management practices. It also enables investors to have opportunities to leverage the performance offered by this kind of strategy in the most efficient way possible.

Overview

This special webinar presents new research on how to harvest factor premia without suffering from market volatility.

This integrated approach breaks with the traditional practices of long/short factor investing, which are often based on poor risk management practices. It also enables investors to have opportunities to leverage the performance offered by this kind of strategy in the most efficient way possible.

Topics covered include:

• The limitations of traditional long/short approaches in smart beta and factor investing: Poor matching between the risk factor exposure of long and short legs, poor estimation of market beta.
• Robust market estimation of beta and improvement of the market neutrality of long/short strategies.
• Risk management as a source of performance. When leverage is better than spread.
• When displayed performance equals replicated performance: the importance of properly evaluating the cost of replicating L/S strategies.

Slides

To receive the slides from the webinar, please click here.

Hosts

The webinar was hosted by:

• Eric Shirbini, Global Research and Investment Solutions Director at ERI Scientific Beta
  Prior to joining EDHEC-Risk Institute, Eric Shirbini was a quantitative analyst at UBS, BNP Paribas and Nomura International. During this time he worked on a diverse range of topics including multi-factor models, fundamental stock valuation, equity market indices, portfolio construction and portfolio trading. At BNP Paribas, Eric managed a team of analysts who were responsible for the Global Equity Research Database. Mr. Shirbini holds a BSc and PhD from University College London and an MBA from CASS Business School.
  
  
• Benjamin Herzog, Quantitative Strategies Product Manager at Société Génerale Corporate & Investment Banking
  Benjamin currently leads the development and global promotion of quantitative strategies with a particular focus on the Equity market. He took this responsibility in 2016 within the Global Engineering department after four years as a senior structurer in charge of Equity indices. Prior to joining the Engineering team, Benjamin was part of Société Générale’s independent research group. From 2005 to 2008, he worked as a Quantitative Credit Strategist producing research on credit derivatives and capital structure arbitrage. From 2009 to 2011, he took care of Global macro Quantitative Strategy, covering asset managers and asset allocators. Benjamin holds degrees from Paris VI University, Columbia University and Ecole Centrale de Lyon.

Date/Time

10 October, 2017 at 5.00pm CET / 11.00am EST.