Scientific Beta

Smart beta solutions seek to improve returns, reduce risks and enhance diversification for investors by delivering exposure to systematic investment factors. Scientific Beta’s diversification analytics measure the benefits of portfolio diversification after adjusting for the effect of factor exposures. This webinar, hosted by Eric Shirbini, PhD, Global Research and Investment Solutions Director at Scientific Beta and featuring an introduction by Arnaud Jobert, PhD, Managing Director, Global Head Equities Investable Indices at J.P. Morgan, looks at a new approach to analyse and improve institutional investors' portfolios.

Overview

Smart beta solutions seek to improve returns, reduce risks and enhance diversification for investors by delivering exposure to systematic investment factors. Scientific Beta’s diversification analytics measure the benefits of portfolio diversification after adjusting for the effect of factor exposures.

At this webinar, Scientific Beta looks at a new approach to analyse and improve institutional investors' portfolios.

The webinar was hosted by Eric Shirbini, PhD, Global Research and Investment Solutions Director at Scientific Beta and featured an introduction by Arnaud Jobert, PhD, Managing Director, Global Head Equities Investable Indices at J.P. Morgan.

Topics covered include:

Cooperation between Scientific Beta and J.P. Morgan in the context of single factor investing
Types of factor diversification (de-concentration, risk reduction, conditional diversification)
Different measurements of factor diversification
Use of long-only or long/short single-factor indices to implement a completeness portfolio
Case study: Improving portfolio diversification with limited completeness portfolio and high turnover constraints; Factor completion through J.P. Morgan Nexus platform

Hosts

Arnaud Jobert, PhD, Managing Director, Global Head Equities Investable Indices, J.P. Morgan

Arnaud Jobert is a Managing Director at J. P. Morgan and runs the Equity Structuring team for EMEA and the Investable Index Structuring team globally. Arnaud has been in the Equity Structuring group in London for 14 years. He is responsible for the product development across a broad range of investment, absolute return and hedging solutions across retail, PB and institutional clients, and has been leading the effort in systematic volatility trading, tail risk hedging strategies and systematic cross-asset risk premia. Arnaud re-joined J.P. Morgan after having spent two years in the Equity Structuring Group of Credit Suisse in London, focusing mainly on Institutional clients. In his first years at J.P. Morgan, Arnaud was part of the Equity Exotics & Hybrids team, covering mainly tactical payoff and complex flow solutions for volatility hedge fund clients. Arnaud holds a PhD in Quantitative Finance and a MPhil in Probability from Cambridge University, UK.

Eric Shirbini, PhD, Global Research and Investment Solutions Director, Scientific Beta

Eric Shirbini, PhD, is Global Research and Investment Solutions Director with Scientific Beta. Prior to joining Scientific Beta in 2011, Eric worked for close to twenty years as a quantitative analyst for investment banks including 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 Nomura International, he served as Director of Quantitative Research and at BNP Paribas, he managed a team of analysts who were responsible for the Global Equity Research Database. He has also served for over twenty years on index management committees. He holds a B.Sc. and a Ph.D. from University College London and an MBA from CASS Business School.

Date/Time

Thursday 9 July, 2020 at 4.00pm CET.