Mind the Gap: On the Importance of Understanding and Controlling Market Risk in Smart Beta Strategies

Wed, Mar 7, 2018 2:02 PM EST{LOCAL_TZ}

In this webinar, we are going to present new research on how it is crucial to pay more attention to market exposure when conducting analyses of smart beta strategies. Most research proposing new multi-factor investment methodologies essentially ignores exposure to the market factor, which is often the most influential factor for a strategy. 

Different levels of market beta have a strong impact on the performance and risk of smart beta strategies. The impact is visible in terms of long-term returns, volatility, and the dependence of performance on market conditions. It is possible to adjust multi-factor strategies to respect target levels of market beta. 


Felix Goltz
Head of Applied Research,
Director of Research
EDHEC-Risk Institute & ERI Scientific Beta

Sponsored by:

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