Scientific Beta

A seminar showing how performance reporting of smart beta strategies can be enhanced through a measurement of robustness, including the frequency of over- and underperformance, conditional performance analysis, and performance attribution methods, taking place in Toronto on 9 February, 2015, in Zurich on 24 February, 2015 and in Amsterdam on 10 March, 2015.

Overview

The Robustness of Smart Beta Strategies seminar will show how performance reporting of smart beta strategies can be enhanced through a measurement of robustness, including the frequency of over- and underperformance, conditional performance analysis, and performance attribution methods. 

While investors consider robustness a crucial feature of smart beta strategies, index providers typically offer little - if any - measurable insight on this issue. ERI Scientific Beta has developed a range of analytics to measure robustness, and tools to improve the robustness of smart beta strategies.

Most smart beta indices are marketed on the basis of outperformance, but usually their back-tests are conducted over a limited time period. Critics of smart beta often question the robustness of these strategies in the long term. Discussing the superiority of smart beta equity indices over the long term is legitimate, but should not lead to the omission of an analysis of the sources of this outperformance, and the risks of the outperformance not being robust.

Potential causes of lack of robustness are manifold and include so-called model mining and data mining. Moreover, while exposure to systematic risk factors may contribute positively to the performance of a strategy, exposure to stock-specific or sample-specific risks will generate risks without appropriate reward. Even when successfully capturing rewarded risk factors, strategies which emphasize a single factor may lead to pronounced dependence on market conditions.

Because of the heavy reliance on back-tests when analyzing or promoting smart beta strategies, strategy providers should consider robustness a guiding principle in their index design. Possible elements aimed at achieving robustness include the use of a consistent index design framework to avoid data mining, the reduction of unrewarded risks through robust parameter estimation and sound diversification, and diversification across multiple factors.

The seminar will also show how performance reporting of smart beta strategies can be enhanced through a measurement of robustness, including the frequency of over- and underperformance, conditional performance analysis, and performance attribution methods.

• The first part of the seminar will address how to measure the robustness of smart beta strategies.
• The second part of the seminar will present the sources of outperformance and risks.
• The third part of the seminar will develop the tools to improve robustness.
• The fourth part of the seminar will assess the robustness of multi-factor indices.

Programme

Part 1: How to Measure the Robustness of Smart Beta Strategies

Part 2: Sources of Outperformance and Risks

Part 3: How to Improve Robustness

Part 4: Assessment of the Robustness of Multi-Factor Indices

Seminar Instructor

Eric Shirbini is Global Product Specialist with ERI Scientific Beta. Prior to joining EDHEC-Risk Institute, Eric 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. He holds a BSc and PhD from University College London and an MBA from CASS Business School.

Who Should Attend

The programme is intended for all professionals involved in passive investment and active management. More generally, this seminar is intended to be a reference for investment management professionals who advise on or participate in the design and implementation of asset allocation policies, equity portfolio models, and for sell-side practitioners who develop new equity investment solutions. The approach to diversifying the different forms of smart beta is also of great interest for diversified managers and multi-managers.

Venue and Timing

Schedule:

Registration

Admission to the seminar is complimentary and by invitation only.

To request an invitation, please contact Séverine Cibelly at severine.cibelly@scientificbeta.com or on +33 493 187 863 or click on the corresponding link below:

Contact

For further information, please contact: