Scientific Beta

Scientific Beta is proud to announce that its paper entitled "Targeting Macroeconomic Exposures in Equity Portfolios: A Firm Level Measurement Approach for Out-of-Sample Robustness" is the winner of the 2023 Graham and Dodd Top Award. These prestigious awards are bestowed annually for the best research articles published in the Financial Analysts Journal, the flagship publication of CFA Institute, and recognise the contribution of the articles to the practice of investment management.

Scientific Beta is proud to announce that its paper entitled "Targeting Macroeconomic Exposures in Equity Portfolios: A Firm Level Measurement Approach for Out-of-Sample Robustness", published in Financial Analysts Journal, Volume 79, Issue 1, is the winner of the 2023 Graham and Dodd Top Award.

These prestigious awards, comprising a Top Award for the best article and up to two Scroll Awards, are bestowed annually for the best research articles published in the Financial Analysts Journal, the flagship publication of CFA Institute, and recognise the contribution of the articles to the practice of investment management. The awards are named in honour of Benjamin Graham and David L. Dodd for their enduring contributions to the field of investment analysis.

The paper, authored by Mikheil Esakia, senior quantitative research analyst at Scientific Beta, and Felix Goltz, Research Director at Scientific Beta, puts forward a method of targeting exposures to macroeconomic risks in equity investing. It proposes firm-level measures of exposures that improve robustness when compared with standard estimation approaches. These measures enable the construction of systematic equity strategies that offer stronger and more consistent macro exposures than commonly used off-the-shelf ingredients, such as sector or factor portfolios. It also finds that, in the sample examined, targeted macro strategies do not come with significant costs relative to holding a broad market index.