Sector risk is an implicit bet investors take when investing in Smart Factor indices. Even if it is not a priced risk factor in the cross-section of expected returns, sector risk can nevertheless have a material impact on short-term performance. In a new publication entitled "Managing Sector Risk in Factor Investing", ERI Scientific Beta researchers focus on the implicit sector risk taken by smart factor indices and analyse the implications for their short- and long-term risk-adjusted performance. Investors looking to manage short-term risks can use the sector-neutral risk control option offered on Scientific Beta indices. Using the sector-neutral risk option has a clear advantage in terms of relative risk-adjusted performance since information ratios are increased. This webinar explains the benefits of applying sector neutrality and reviews the sector risk control option offered to investors by Scientific Beta.
Overview
Sector risk is an implicit bet investors take when investing in Smart Factor indices. Even if it is not a priced risk factor in the cross-section of expected returns, sector risk can nevertheless have a material impact on short-term performance.
In a new publication entitled "Managing Sector Risk in Factor Investing", ERI Scientific Beta researchers focus on the implicit sector risk taken by smart factor indices and analyse the implications for their short- and long-term risk-adjusted performance.
Investors looking to manage short-term risks can use the sector-neutral risk control option offered on Scientific Beta indices. Using the sector-neutral risk option has a clear advantage in terms of relative risk-adjusted performance since information ratios are increased.
This webinar explains the benefits of applying sector neutrality and reviews the sector risk control option offered to investors by Scientific Beta.
Slides
To receive the slides from the webinar, please click here.
Hosts
The webinar was hosted by Eric Shirbini, Global Research and Investment Solutions Director at ERI Scientific Beta, and Daniel Aguet, Deputy Research Director, 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.
Daniel Aguet 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.
Date/Time
18 December, 2018 at 4.00pm CET / 10:00am EST.