"What is the Best Method to Use for the Construction of Multi-Factor Indices?" (webinar) 9 March 2017
The objective of this webinar is to compare "bottom-up" methodologies that rely on multi-factor score-weighting to build concentrated portfolios to achieve higher composite exposure across targeted factors with less concentrated "top-down" multi-factor approaches. Topics covered include:
- Considering cross-sectional negatives of single factor indices, seeking maximum exposure to rewarded factors, portfolio concentration versus diversification; what are the issues behind the bottom-up versus top-down debate?
- From beta to stock picking: do stock factor champions exist?
- What are the limits of bottom-up approaches?
- Can we reconcile the top-down approach and consideration of cross-sectional negatives of single smart factor indices combinations?
- What method can be used to maximise the benefits of factor investing?
The webinar will be hosted by Felix Goltz, Head of Applied Research at EDHEC-Risk Institute and Research Director at ERI Scientific Beta.