In a bid to maintain their apparent competitive advantage and to show that they are still delivering alpha, commercial index providers and asset managers have respectively embarked on a factor finding process that has resulted in the discovery of tens, hundreds or even thousands of factors. However, proprietary factor definitions and analytic toolkits based on non-standard factor indices can lead to unintended exposures and misunderstandings surrounding the associated risk exposures. This webinar discusses factor definitions used in investment products and analytic tools offered to investors and contrasts them with the standard academic factors. It also outlines why the methodologies used in practice pose a high risk of ending up with irrelevant factors.
Overview
Factor investing has never been as popular as it is today. However, with the propagation of this type of investment approach, the equity space is becoming increasingly saturated with more and more factors that are ever more removed from academically-grounded research.
In a bid to maintain their apparent competitive advantage and to show that they are still delivering alpha, commercial index providers and asset managers have respectively embarked on a factor finding process that has resulted in the discovery of tens, hundreds or even thousands of factors.
However, proprietary factor definitions and analytic toolkits based on non-standard factor indices can lead to unintended exposures and misunderstandings surrounding the associated risk exposures.
The further away they are from academically-validated research, the more spurious and redundant proprietary factor definitions may be.
This webinar will discuss factor definitions used in investment products and analytic tools offered to investors and will contrast them with the standard academic factors. It will also outline why the methodologies used in practice pose a high risk of ending up with irrelevant factors.
Slides
To receive the slides from the webinar, please click here.
Host
The webinar was hosted by Felix Goltz, Research Director at 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.
Date/Time
Thursday 13 June, 2019 at 5.00pm CET/11.00am EST.