Scientific Beta
Eric Shirbini, Global Product Specialist at ERI Scientific Beta, will be conducting a workshop at the summit entitled "Smart Investing with Smart Factors: The Factor Selection Process", and will also be participating in the panel discussion on "Multi-factor Funds – The Smarter Beta Strategies".
Eric Shirbini, Global Product Specialist at ERI Scientific Beta, will be conducting a workshop at the summit entitled "Smart Investing with Smart Factors: The Factor Selection Process". Indices with contrasting factors that correspond to factors whose reward is well-documented in academic asset pricing literature allow investors to avoid the poor factor exposure of cap-weighted indices. This discussion will survey factors used to build indices that produce good risk-return performance over the long term and discuss the behavior of those factors. Scientifically chosen factors and the proper weighting of those factors allow non-rewarded risks to be reduced. This session will cover factor selection that both provides access to rewarded risk and minimizes exposure to unrewarded risk. Topics for discussion include:
- Academically validated factors: size, value, momentum, low volatility, high probability and low investment
- Optimal portfolio construction using these factors
- Avoiding factors that are short-term anomalies as opposed to providing a positive long-term premium
- Avoiding specific or non-rewarded operational or non-financial risks
Eric Shirbini will also be participating in the panel discussion on "Multi-factor Funds – The Smarter Beta Strategies" at the event, alongside Syed Haque, Director of Public Markets at UPS Investment Group. Smart Beta strategies have become more complex, but they have also become smarter. The earlier funds used a one factor tilt such as volatility, dividends, momentum, value, growth or other factor. The newer models combine factors, increasing the chance that they will beat the market in the longer term. But while creating a more robust product can result in stronger performance, multi-factor funds further complicate efforts to properly place them in the portfolio, assess risk, and benchmark. Topics for discussion in this session will include:
- Identifying factors that work with your portfolio
- Identifying and mitigating risk factors
- Understanding factor weighing methods
- Rebalancing the fund to take advantage of factors’ cyclicality
- Benchmarking techniques for multifactor indexes
The Pensions & Investments' inaugural Smart Beta Summit aims to shed light for institutional investors on various strategies, how they work and how they fit into an investment portfolio.
ERI Scientific Beta is a sponsor of the event.