Scientific Beta

This webinar will address the insights to be gained from considering the economic rationale of factor premia and review the empirical evidence on crowding. The event will be hosted by Felix Goltz, Head of Applied Research at EDHEC-Risk Institute and Research Director at ERI Scientific Beta, on Thursday, 12 January, 2017 at 5.00pm CET / 11.00am EST.

The "Assessing the Crowding Hypothesis" webinar will be held on Thursday, 12 January, 2017 from 5.00-5.45pm Central European Time / 11.00am-11:45am Eastern Standard Time.

Smart Beta strategies, as one of the strongest growth areas in investment management recently, have established a space in between traditional capitalisation-weighted (or "cap-weighted") passive investments and traditional (proprietary and discretionary) active management. Perhaps unsurprisingly, Smart Beta has drawn fierce criticism from both advocates of traditional active management and of traditional passive management.

Among such critiques, a recurring issue is the presumption of a risk of “crowding” in Smart Beta strategies. While crowding is commonly pointed to as a potential risk, it is rarely formalised or even defined. This absence of definition is an issue when none wants to draw founded conclusions. Indeed, if it is now clear how crowding is defined or how it can be measured, it is rather futile to talk about whether or not it has or will occur.

The main idea behind a crowding risk is that, as everyone knows about successful Smart Beta strategies and increasingly invests in them, flows into these strategies will ultimately cancel out their benefits. If an increasing amount of money starts chasing the returns to a momentum strategy for example, it is possible that the reward for holding this strategy – which has been documented with historical data – will ultimately disappear.

This webinar will address the insights to be gained from considering the economic rationale of factor premia and review the empirical evidence on crowding.

Topics covered include:

• What can be learnt from academic research on the development of risk premia factors?
• How to evaluate factor crowding risk
• What are the appropriate and inappropriate responses to factor crowding risk?

The webinar will be hosted by Felix Goltz, Head of Applied Research at EDHEC-Risk Institute and Research Director at ERI 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.

Please note that participation in the webinar is by invitation only. To request an invitation, please contact Séverine Cibelly at severine.cibelly@scientificbeta.com or on +33 493 187 863, or visit the dedicated registration website. There is no charge for participating in the webinar.