This webinar provides some orientation for investors on how to set suitable requirements for robustness. In particular, it reviews the potential data snooping biases and the importance of robustness for smart beta strategies, explains various methods by which smart beta strategies may try to improve robustness, and discusses how to measure and assess robustness.
Overview
There has been significant evidence that systematic equity investment strategies (so-called smart beta strategies) outperform the cap-weighted benchmarks in the long run. However, it is important to recognise that performance analysis is typically conducted on back-tests which apply the smart beta methodology to historical stock returns. A relevant question thus is how robust the outperformance is in a real investment context, given that providers and analysts can potentially test an almost infinite number of strategies and publish results only for the best performers selected with hindsight.
This webinar provided some orientation for investors on how to set suitable requirements for robustness. In particular, it reviewed the potential data snooping biases and the importance of robustness for smart beta strategies, explained various methods by which smart beta strategies may try to improve robustness, and discussed how to measure and assess robustness.
The webinar looked at the following topics:
Host
The webinar was hosted by Dr. Felix Goltz, Research Director with ERI Scientific Beta, and Head of Applied Research at EDHEC-Risk Institute. 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
6 November, 2014 at 3.00pm CET / 9.00am EST.