Scientific Beta

An IPE webcast to be held on 16 September 2020 featuring Eric Shirbini will examine a number of non-factor risks that have been important drivers of short-term performance. Scientific Beta offers investors an option to control for these implicit risks, but it is important to realise that the choice on managing these risks is a key fiduciary decision that needs to be taken by the investors themselves.

On 16 September, 2020 at 3.00 pm BST / 4.00 pm CET, Scientific Beta will be hosting a webcast entitled "Stop blaming factors and just look at your non-factor risks".

The recent poor performance of factor strategies has been blamed on flows into these strategies ultimately cancelling out their benefits. In fact, the recent performance of factor strategies that have had well-balanced exposure to long-term rewarded factors has not been driven by the performance of the underlying factors but by non-factor risks. Non-factor risks are the undesired consequences of explicit choices of factor exposure or weighting schemes. Risk factors are never orthogonal with other forms of implicit risks. When these implicit risk choices are not anticipated and controlled, they have significant consequences for the risk and performance profiles of factor strategies and can lead to strong differences in performance and risk for the same choice of factors over a given period. 

In this webcast, we examine a number of non-factor risks that have been important drivers of short-term performance. Scientific Beta offers investors an option to control for these implicit risks, but it is important to realise that the choice on managing these risks is a key fiduciary decision that needs to be taken by the investors themselves.

The webcast will be presented by Eric Shirbini, PhD, Global Research and Investment Solutions Director at Scientific Beta, and moderated by Brendan Maton of IPE.

Prior to joining Scientific Beta, 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.