Scientific Beta
At a special presentation that will be held in London on Tuesday, 6 December, 2016, Eric Shirbini, Global Product Specialist at ERI Scientific Beta, will present research suggesting that even though there are many indices available on the market claiming to harvest the value risk premium, not all of them are the same.
Overview
At a special presentation that will be held in London on Tuesday, 6 December, 2016, Eric Shirbini, Global Product Specialist at ERI Scientific Beta, will present research suggesting that even though there are many indices available on the market claiming to harvest the value risk premium, not all of them are the same.
Providers of smart beta indices that are exposed to the value factor have been arguing for many years that their indices are not outperforming the market because the value factor is underperforming cap-weighted indices.
While it is true that exposure to the value factor has not been particularly rewarding over the past ten years, a smart factor index, because it is well diversified, can add genuine value that allows investors to cope with this difficult environment for the factor.
Programme
1.30pm
Registration/Welcome Tea and Coffee
2.00pm
Opening address
Akshay Kapoor, Executive Director, Business Development, Europe, ERI Scientific Beta
2.15pm
Presentation: Value Indices are not All Created Equal
Eric Shirbini, Global Product Specialist, ERI Scientific Beta
- Why, in the last few years, have some value indices outperformed the market and others conversely strongly underperformed?
- Long-term value risk premium versus short-term losses
- Data mining risks in constructing indices
- Purity versus diversification in the long-only investment framework
4.30pm
Question & Answer Session
5.00pm
Drinks Reception
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.
Venue
EDHEC-Risk Institute—Europe, Ten Fleet Place, Ludgate, London EC4M 7RB, United Kingdom.
Registration
The presentation is exclusive to asset owners and institutional consultants. Admission to the seminar is complimentary. To register, please visit the registration website.
Contact
For further information, please contact:
Séverine Cibelly
E-mail: severine.cibelly@scientificbeta.com
Tel: +33 493 187 863