This webinar addresses what academic research has to say on equity factors with the objective of understanding which lessons can be learnt from such research in terms of designing and evaluating factor indices.
Overview
Equity index products that claim to provide exposure to factors which have been well documented in academic research, such as value and momentum, among others, have been proliferating in recent years. Interestingly, providers across the board put strong emphasis on the academic grounding of their factor indices. At the same time, product providers try to differentiate themselves using proprietary elements in their strategy, often leading to the creation of products using new factors or novel strategy construction approaches which may or may not be consistent with the broad consensual findings in the academic literature on empirical asset pricing. Moreover, discussion of the sources of performance is often based on provider-specific research rather than consensual findings in the academic literature. This webinar addresses what academic research has to say on equity factors. Our objective is to understand which lessons we can learn from such research in terms of designing and evaluating factor indices.
Topics covered include:
Slides
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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
18 October, 2016 at 5.00pm CET / 11.00am EST.