Scientific Beta

The webinar will introduce a new ERI Scientific Beta approach with the objective of maximising exposure to the long-term rewarded equity factors in a ‘top-down’ framework, in a robust and well-diversified manner. The event will be hosted by Felix Goltz, Head of Applied Research at EDHEC-Risk Institute and Research Director at ERI Scientific Beta, on Tuesday, 30 May, 2017 at 5.00pm CET / 11.00am EST.

The "Introducing a Multi-Beta Multi-Strategy Diversified Max Factor Exposure Index" webinar will be held on Tuesday, 30 May, 2017 at 5:00pm CET / 11.00am EST.

There are two approaches to factor investing. The first approach is a diversification strategy where the main objective is to maximise the index’s diversification power while controlling the factor exposures. This strategy corresponds to Scientific Beta’s existing Multi-Beta Multi-Strategy offering. This control of factor exposure is not synonymous with maximal factor exposure since the primary objective is diversification. The second approach is an efficient strategy to maximise the benefit of the exposure to long-term rewarded factors. In this case, diversification of specific risk is not an objective but a way in which to extract the factor premia efficiently. 

This strategy is part of our Multi-Beta Multi-Strategy Solutions offering, which aims to meet an investor’s particular objective, which here will be maximisation of the factor exposure. 

Scientific Beta’s Multi-Beta Diversified Max Factor Exposure index dynamically allocates across single-factor indices in order to retain diversification benefits and obtain maximum exposure while maintaining balance across factors and reasonable diversification levels. 

Compared to allocations focusing mostly on diversification rather than factor exposure objectives, the index achieves higher factor intensity and more balanced exposure to individual factors, but it comes with higher idiosyncratic risk and higher tracking error, as well as with higher level of turnover. 

The objective of this webinar is to introduce a new ERI Scientific Beta approach with the objective of maximising exposure to the long-term rewarded equity factors in a ‘top-down’ framework, in a robust and well-diversified manner.

Topics covered include:

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.