This webinar reviews the importance of robustness for smart beta strategies and discusses how to measure and assess robustness in the performance analysis of smart beta strategies.
Overview
There has been significant evidence that systematic equity investment strategies (so-called smart beta strategies) outperform 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. Concerning actual investment decisions, it is thus relevant to question how robust the outperformance is.
It is important to make a distinction between relative robustness and absolute robustness. A strategy is assumed to be ‘relatively robust’ if it is able to deliver similar outperformance under similar market conditions by aligning well with the performance of underlying factor exposure it is seeking and reducing unrewarded risks. Absolute robustness is the absence of pronounced state and/or time dependencies and a strategy shown to outperform irrespective of prevailing market conditions can be termed as robust in absolute terms.
This webinar reviews the importance of robustness for smart beta strategies and discusses how to measure and assess robustness in the performance analysis of smart beta strategies.
Topics covered include:
Slides
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Host
The webinar was hosted by Eric Shirbini, Global Product Specialist at 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.
Date/Time
20 December, 2016 at 5.00pm CET / 11.00am EST.