Scientific Beta
The EDHEC-Risk Smart Beta Day Germany 2017, to be held in Munich on 22 June, 2017, will enable asset owners and their direct investment consultants and financial advisors to access the latest conceptual advances and research results in smart beta investing and to discuss their implications and applications with researchers who combine expertise of advanced financial techniques with a sound awareness of their industry relevance. The conference will be held in German.
Overview
EDHEC-Risk Smart Beta Day enables participants to have access to the latest conceptual advances and research results in smart beta investing, and to discuss their implications and applications with researchers who combine expertise in advanced financial techniques with a sound awareness of their industry relevance.
The event is structured to appeal to asset owners and their direct investment consultants and financial advisors. The one-day conference will include multiple plenary sessions allowing professionals to review major industry challenges, explore state-of-the-art investment techniques and benchmark practices to advances in research.
The conference will focus on smart beta indexation, factor investing and smart beta solutions. It will present the best methods for the construction of multi-factor indices and the case for long/short multi-factor strategies. For this last topic, the aim is to promote those approaches offering very strong factor spreads while also limiting their variation. This integrated approach breaks with the traditional practices of long/short factor investing, which are often based on poor risk management practices.
The conference will also present research of great interest to asset owners on defensive strategies and on smart beta and low carbon investing.
EDHEC-Risk Smart Beta Day Europe 2017 is organised in partnership with ERI Scientific Beta.
Programme
Morning Sessions (8:30am-12:00pm)
8:30am-8:45am: Opening Address: The Importance of Risk Management for Smart Beta Investing
Speaker: Noël Amenc, PhD, Professor of Finance, EDHEC Business School and CEO, ERI Scientific Beta8:45am-10:00am: The Sources of Smart Beta Performance
Speaker: Felix Goltz, PhD, Head of Applied Research, EDHEC-Risk Institute and Research Director, ERI Scientific Beta
• What are the origins of smart beta?
• Factor investing and diversification: how to take advantage of academic research in smart beta
• How to implement smart beta investment that reconciles factor investing and diversification: the smart beta 2.0 approach and multi-factor extensions
10:00am-10:30am: Morning Break
Chairman: Lars Kreckel, Global Equity Strategist, Legal & General Investment Management
Speaker: Felix Goltz, PhD, Head of Applied Research, EDHEC-Risk Institute and Research Director, ERI Scientific Beta
• 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 index combinations?
• What method can be used to maximise the benefits of factor investing?
12:00pm-1:00pm: Lunch Break
Afternoon Sessions (1:00pm-5:00pm)
Chairman: Martin Pitzer, Executive Director, Morgan Stanley Investment Management
Speakers: Patrick Bielstein, Senior Quantitative Analyst, ERI Scientific Beta; Felix Goltz, PhD, Head of Applied Research, EDHEC-Risk Institute and Research Director, ERI Scientific Beta
• The usefulness of dynamic approaches in taking investors’ risk objectives and constraints into account
• Implementation of a dynamic defensive strategy that adapts to market conditions
• Beta one solution and outperformance capability in bull and bear markets
• Combining smart beta with derivative overlays to achieve investor objectives
Chairman: Philipp Schatral, Institutional Cross Asset Solutions Germany & Austria, Société Générale
Speaker: Felix Goltz, PhD, Head of Applied Research, EDHEC-Risk Institute and Research Director, ERI Scientific Beta
• The limitations of traditional long/short approaches in smart beta and factor investing: Poor matching between the risk factor exposure of long and short legs, poor estimation of market beta
• How to maximise the long/short spread in the case of factor investing
• Integrated long/short risk management to control the volatility of the long/short spread?
• Robust market estimation of beta and improvement of the market neutrality of long/short strategies
3:30pm-4:00pm: Afternoon Break
Speaker: Eric Shirbini, PhD, Global Research and Investment Solutions Director, ERI Scientific Beta
• Beta versus alpha strategies for low carbon investing
• Is there a low carbon factor?
• Reconciling factor investing and low carbon constraints
5:00pm-6:30pm: Cocktail
Registration
The conference is reserved for asset allocators, asset owners (including pension schemes, charities, endowments, foundations, insurance companies, single family offices and financial executives from non-financial companies) and institutional consultants.
Admission to the seminar is complimentary and by invitation only.
To register, please visit https://www.regonline.co.uk/smartbetadaygermany2017.
Venue
Hotel Vier Jahreszeiten Kempinski München
Maximilianstraße 17
80539 München
Germany
Official Media Partners
About EDHEC and EDHEC-Risk Institute
Founded in 1906, EDHEC Business School offers management education at undergraduate, graduate, post-graduate and executive levels. Holding the AACSB, AMBA and EQUIS accreditations and regularly ranked among Europe’s leading institutions, EDHEC Business School delivers degree courses to over 6,000 students from the world over and trains 5,500 professionals yearly through executive courses and research events. The School’s ‘Research for Business’ policy focuses on issues that correspond to genuine industry and community expectations.
Established in 2001, EDHEC-Risk Institute has become the premier academic centre for industry-relevant financial research. In partnership with large financial institutions, its team of close to 50 permanent professors, engineers, and support staff, and 38 research associates and affiliate professors, implements 6 research programmes and 10 research chairs focusing on asset allocation and risk management and has developed an ambitious portfolio of research and educational initiatives in the domain of investment solutions for institutional and individual investors.
In 2012, EDHEC-Risk Institute signed two strategic partnership agreements with the Operations Research and Financial Engineering department of Princeton University to set up a joint research programme in the area of risk and investment management, and with Yale School of Management to set up joint certified executive training courses in North America and Europe in the area of investment management.
About ERI Scientific Beta
EDHEC-Risk Institute set up ERI Scientific Beta in December 2012 as part of its policy of transferring know-how to the industry. ERI Scientific Beta is an original initiative which aims to favour the adoption of the latest advances in “smart beta” design and implementation by the whole investment industry. Its academic origin provides the foundation for its strategy: offer, in the best economic conditions possible, the smart beta solutions that are most proven scientifically with full transparency of both the methods and the associated risks. Smart beta is an approach that deviates from the default solution for indexing or benchmarking of using market capitalisation as the sole criterion for weighting and constituent selection.
ERI Scientific Beta provides worldwide client servicing through its offices in Boston, London, Nice, Singapore and Tokyo. With a dedicated team of 45 people it has become one of the leaders in supplying multi-smart-factor indices. As of December 31, 2016, the Scientific Beta indices corresponded to USD 12.3bn in assets under replication. ERI Scientific Beta signed the United Nations-supported Principles for Responsible Investment (PRI) on September 27, 2016.
Contact
Séverine Cibelly
E-mail: severine.cibelly@scientificbeta.com