Scientific Beta

Investors constantly monitor the evolution of factor performance. Despite positive long term return premia, equity style factors show contrasted performance over short to medium time horizons, especially during the COVID crisis. This webinar assesses some of the underlying drivers of the recent performance of different equity style factors such as Value, Momentum, Size, Low Volatility and Quality.

Overview

Investors constantly monitor the evolution of factor performance. Despite positive long term return premia, equity style factors show contrasted performance over short to medium time horizons, especially during the COVID crisis.

We assess some of the underlying drivers of the recent performance of different equity style factors, such as Value, Momentum, Size, Low Volatility and Quality, that we will be presenting during this webcast:

• What was the role of intangible assets in factor performance recovery?
• Which factors have benefited from the ongoing sector rotation that comes with changes in the economic and policy environment?
• What was the impact of the market beta instability and volatility on factor strategies?
• How can we explain the Value recovery with respect to a post-lockdown economy? How did enhancements to Value strategies perform during the Value recovery, especially given the recent underperformance of technology stocks?

Hosts

Daniel Aguet is Deputy CEO & Index Director at Scientific Beta. He previously worked at BCV, a Swiss bank based in Lausanne, as a Quantitative Investment Manager for more than 10 years. His work was mainly focused on quantitative research and fund management in the equity space. He has been involved in the development and the management of smart beta portfolios both in a long-only and a long/short framework, as well as in research on the quantitative implementation of socially responsible investment. Daniel is a Chartered Alternative Investment Analyst (CAIA) and holds a Master’s degree in Finance with a specialisation in Financial Engineering and Risk Management from HEC Lausanne.

Felix Goltz, PhD, is Research Director at Scientific Beta and associate researcher at EDHEC Business School. He has been with Scientific Beta since inception. He 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, including the Journal of Portfolio Management, the Financial Analysts Journal, the Journal of Index Investing, the Journal of Investment Management and the Handbook of Finance (Wiley). He obtained an MSc and 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:

Thursday, October 6, 2022 at 4pm CEST / 3pm BST.