Scientific Beta

This webinar presents the details of our recent research on how to target macroeconomic exposures in equity portfolios, published in Financial Analysts Journal, and the associated methodology. The two authors show that our macro exposure measures can add value for investors with a dual objective, which is to harvest the long-term equity premium and protect their total portfolio from sudden changes in economic conditions.

 

Overview

In recent research published in Financial Analysts Journal Volume 79, 2023, entitled "Targeting Macroeconomic Exposures in Equity Portfolios:A Firm-Level Measurement Approach for Out-of-Sample Robustness", Felix Goltz, PhD, Research Director, and Mikheil Esakia, Quantitative Research Analyst at Scientific Beta, propose a method of targeting exposures to macroeconomic risks in equity investing using firm-level measures of exposures that improve robustness when compared with standard estimation approaches.

Managing macroeconomic risks is an important task for equity investors because their portfolios may come with substantial exposures to not only stock market risk but also broader macroeconomic risks, such as interest rate risk, inflation risk, or recession risk.

Systematic equity strategies constructed from our approach offer more consistent macro exposures out-of-sample than strategies that allocate across sectors or equity-style factors. Our methodology can be used to construct equity portfolios for investors who have hedging demands or active views regarding macroeconomic conditions.

This webinar presents the details of our recent research and the associated methodology. The two authors show that our macro exposure measures can add value for investors with a dual objective, which is to harvest the long-term equity premium and protect their total portfolio from sudden changes in economic conditions.

Topics covered include:

Hosts

Felix Goltz, PhD, is Research Director at Scientific Beta and associate researcher at EDHEC Business School. He has been with Scientific Beta since inception. He 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, including the Journal of Portfolio Management, the Financial Analysts Journal, the Journal of Index Investing, the Journal of Investment Management and the Handbook of Finance (Wiley). He obtained an MSc and 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.

Mikheil Esakia is a quantitative research analyst at Scientific Beta. He does research in empirical finance, with a focus on the relation of macro-economy and equity markets, portfolio construction, and liquidity of systematic equity strategies. He has co-authored various articles published in practitioner journals and magazines. Prior to joining Scientific Beta, he worked as an operational risk analyst at Liberty Bank, Georgia. He obtained a master’s degree in Finance from EDHEC Business School after studying business administration at Free University of Tbilisi.

Date/Time:

Thursday, 11 May, 2023 at 4pm CEST / 3pm BST / 10am EDT.