Scientific Beta

A webinar jointly hosted by Felix Goltz, Head of Applied Research at EDHEC-Risk Institute and Research Director at ERI Scientific Beta, and Benjamin Herzog, Quantitative Strategies Product Manager at Société Génerale Corporate & Investment Banking, introducing a Resilient Index which aims at providing a Low Volatility High Dividend Yield Strategy while mitigating well-known problems with defensive equity strategies.

Overview

In this webinar, we introduce a Resilient Index which aims at providing a Low Volatility High Dividend Yield Strategy while mitigating well-known problems with defensive equity strategies. 

• We assess the risk-adjusted performance of the Resilient Index both from an absolute and relative perspective over different data sets incuding long term data.
  
  
• We show that the dependence on market conditions and interest rate sensitivity, which is natural for defensive strategies, can be effectively reduced by suitably defined constraints.
  
  
• Moreover, we show how defensive strategies can avoid unfavourable exposures to other risk factors.

Hosts

The webinar was jointly 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.
  
  
• 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

16 February, 2017.