Scientific Beta

This webinar, taking place on Thursday, 6 November, 2014 at 3pm CET and presented by Dr. Felix Goltz, Research Director with ERI Scientific Beta, and Head of Applied Research at EDHEC-Risk Institute, will provide some orientation for investors on how to set suitable requirements for robustness. In particular, the webinar wil review the potential data snooping biases and the importance of robustness for smart beta strategies, explain various methods by which smart beta strategies may try to improve robustness, and discuss how to measure and assess robustness. 

The webinar, entitled "Is smart beta smart enough to last? Detecting data snooping biases and assessing robustness", will take place on Thursday, 6 November, 2014 at 3pm Central European Time (9am Eastern Standard Time).

There has been significant evidence that systematic equity investment strategies (so-called smart beta strategies) outperform the cap-weighted benchmarks in the long run. However, it is important to recognise that performance analysis is typically conducted on back-tests which apply the smart beta methodology to historical stock returns. A relevant question thus is how robust the outperformance is in a real investment context, given that providers and analysts can potentially test an almost infinite number of strategies and publish results only for the best performers selected with hindsight.

This webinar provides some orientation for investors on how to set suitable requirements for robustness. In particular, it reviews the potential data snooping biases and the importance of robustness for smart beta strategies, explains various methods by which smart beta strategies may try to improve robustness, and discusses how to measure and assess robustness. 

Hosted by Dr. Felix Goltz, Research Director with ERI Scientific Beta, and Head of Applied Research at EDHEC-Risk Institute, the webinar will look at the following topics:

To apply for registration, please visit the dedicated registration website: https://www.regonline.com/webinar_061114. There is no charge for participating in the webinar.

For any additional information, please contact Séverine Cibelly at severine.cibelly@scientificbeta.com or on +33 493 187 863.