Scientific Beta

This webinar discusses the benefits of applying ERI Scientific Beta's approach to construct a multi-smart factor index for Emerging Markets stocks and highlights the benefits of applying country neutrality to multi-smart factor indices for Emerging Markets. 

Overview

There is ample evidence in the asset pricing literature to suggest that the cross-section of equity returns in Emerging Markets can be explained with the help of a limited set of factors. The evidence tells us that the factors for Emerging Markets are the same as the set of consensual factors that are documented for Developed Markets. 

Given that the same factors that are rewarded in Developed Markets are also rewarded in Emerging Markets, a natural question is whether one can apply the well-established factor indexing methodologies that have been tried and tested for Developed Markets to an Emerging Market universe. 

ERI Scientific Beta designs Smart Beta indices using portfolio construction techniques such that the indices are well exposed to rewarded risk factors and are well diversified. In May 2016, ERI Scientific Beta extended its offering of Smart Beta indices by applying similar portfolio construction techniques to Emerging Market stocks. 

This webinar discusses the benefits of applying ERI Scientific Beta's approach to construct a multi-smart factor index for Emerging Markets stocks and highlights the benefits of applying country neutrality to multi-smart factor indices for Emerging Markets. 

Topics covered include:

• What academic research substantiates factor investing in Emerging Markets?
• The limits of factor investing in Emerging Markets and the consideration of macroeconomic risks
• The sources of smart beta performance in Emerging Markets
• Avoiding bets on macro risk exposure: The case for country neutrality

Slides

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

Host

The webinar was hosted by Eric Shirbini, Global Product Specialist 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.

Date/Time

29 September, 2016 at 5.00pm CET / 11.00am EST.