EDHEC Scientific Beta Days Europe 2019 is a two-day event taking place on 10-11 October, 2019 in Amsterdam, that will pay special attention to ESG issues but will also allow participants to discover research results in the fields of risk and factor allocation, notably with sessions on factor crowding, the cost of investing in factor strategies, the consideration of conditional factor allocation correlations and regime premia in multi-factor allocation strategies, the ability to improve factor diversification in an existing portfolio and new frontiers in defensive strategies.

Overview
EDHEC Scientific Beta Days Europe 2019 is organised by Scientific Beta within the framework of EDHEC Business School, a leading academic institution, for the benefit of professionals. It presents the research carried out by Scientific Beta and is structured to appeal to asset owners and their direct investment consultants and financial advisors.
The two-day conference will include multiple plenary sessions, workshops and practical sessions presenting case studies, providing a more in-depth analysis of certain topics and allowing professionals to review major industry challenges, explore state-of-the-art investment techniques and benchmark practices to advances in research.
EDHEC Scientific Beta Days Europe 2019 will pay special attention to ESG issues but will also allow participants to discover research results in the fields of risk and factor allocation, notably with sessions on factor crowding, the cost of investing in factor strategies, the consideration of conditional factor allocation correlations and regime premia in multi-factor allocation strategies, the ability to improve factor diversification in an existing portfolio and new frontiers in defensive strategies.
Programme
Day One
7:30am-8:00am: Registrations, Morning Tea and Coffee
- 8:00am-8:10am: Opening Address
Speaker: Noël Amenc, PhD, Professor of Finance, EDHEC Business School and CEO, Scientific Beta
- 8:10am-9:20am: Factor Crowding, Can Risk Premiums Disappear with their Success? (plenary session)
Chairman: Laurent Trottier, Global Head of ETF, Indexing & Smart Beta Management, Amundi
Discussant: Dr. Marc-Gregor Czaja, Head of Equities and Derivatives, Allianz Investment Management
Speaker: Felix Goltz, PhD, Research Director, Scientific Beta
• Why do risk premiums exist?
• The determining factors of long horizon changes in risk premiums
• How can factor crowding be measured?
View presentation (password required)
Related documents:
• What Really Explains the Poor Performance of Factor Strategies over the Last 3 Years?, Scientific Beta white paper, September 2019
• Do Factor Indices Suffer from Price Effects around Index Rebalancing?, Scientific Beta white paper, September 2019
• Adding Value with Factor Indices: Sound Design Choices and Explicit Risk-Control Options Matter, Scientific Beta white paper, March 2019
• Mind the Gap: On the Importance of Understanding and Controlling Market Risk in Smart Beta Strategies, Journal of Portfolio Management, "Quantitative Strategies: Factor Investing" Special Issue 2018
• Long-Term Rewarded Equity Factors: What Can Investors Learn from Academic Research?, Journal of Index Investing, Fall 2016
- 9:20am-10:40am: How to Assess the Robustness of a Factor Strategy (plenary session)
Chairman: Aniket Das, Investment Strategist - Index & Smart Beta Solutions Group, LGIM
Discussant: Ingrid Albinson, Head of Strategy, CIO, Sjunde AP-Fonden (AP7)
Speaker: Eric Shirbini, PhD, Global Research and Investment Solutions Director, Scientific Beta
• The framework for analysing the robustness of the performance of an investment strategy
• Conditional performance – performance in particular regimes/environments
• Performance and risk stability
• Robust inference and forecasting error analysis
• Measuring out-of-sample robustness
View presentation (password required)
Related documents:
• Assessing the Robustness of Smart Beta Strategies, Scientific Beta white paper, March 2019
• The Risks of Deviating from Academically-Validated Factors, Scientific Beta white paper, February 2019
• Inconsistent Factor Indices: What are the Risks of Index Changes?, Scientific Beta white paper, February 2019
10:40am-11:00am: Morning Break
- 11:00am-12:30pm: What Factor Allocation to Reduce Dependency on Economic Regimes? From Factor Balance to Factor Diversification (plenary session)
Chairman: Alexander Neszvecsko, Portfolio Manager, European Patent Office
Discussant: Luca Simonelli, Senior Fund Manager, Multi Asset Absolute Return, Fideuram
Speaker: Felix Goltz, PhD, Research Director, Scientific Beta
• The importance of considering the conditionality of premia in factor diversification
• The limits of conditional approaches in bull and bear markets for portfolio diversification
• How to define and measure factor premia regimes
• Case study: Maximum factor premia regime diversification
View presentation (password required)
Related documents:
• Macroeconomic Risks in Equity Factor Investing, Journal of Portfolio Management, September 2019
12:30pm-1:30pm: Lunch Break
- 1:30pm-2:40pm: Is there an ESG Factor? (plenary session)
Chairman: Frederic Ducoulombier, Professor, EDHEC Business School, ESG Director, Scientific Beta
Discussant: Andreas Stang, Head of ESG, PFA Pension
Speaker: Abraham Lioui, PhD, Professor, EDHEC Business School & EDHEC Scientific Beta Research Chair
• What are the main findings of academic research on the ESG Factor?
• How to measure the existence of long-term factor risk premia
• Is there an ESG Factor or anti-ESG Factor risk premia in a risk-based perspective?
• Can ESG correspond to a persistence anomaly?
View presentation (password required)
- 2:40pm-4:15pm: How to Reconcile ESG and Factor Investing (plenary session)
Discussant: Arie Gravendeel, Product Owner, MN
Speaker: Frederic Ducoulombier, Professor, EDHEC Business School, ESG Director, Scientific Beta
• Strict exclusion, score-base optimisation, integrated ESG, the different approaches of ESG investing in a multi-factor framework
• The impact of ESG on factor strategy risks and performance
• Case study: Combining strong factor exposure and ambitious ESG Policy
View presentation (password required)
Related documents:
• Overview: Scientific Beta ESG Option – Upholding Global Norms and Protecting Multifactor Indices against ESG Risks, September 2019
• Overview: Scientific Beta Enhanced ESG Reporting – Supporting Incorporation of ESG Norms and Climate Change Issues in Investment Management, July 2019
4:15pm-4:45pm: Afternoon Break
- 4:45pm-6:00pm: Reducing the Carbon Impact of Factor Strategies (plenary session)
Chairman: Frederic Ducoulombier, Professor, EDHEC Business School, ESG Director, Scientific Beta
Speaker: Erik Christiansen, Senior Consultant, Scientific Beta
• How to measure the carbon impact of an investment
• What is the correlation between factor intensity and the carbon intensity of a portfolio?
• Case study: Implementation of an efficient carbon filter combining high factor intensity and significant improvement in carbon footprint and carbon intensity
View presentation (password required)
Related documents:
• Overview: Scientific Beta Low Carbon Option – Supporting the Transition to a Low Carbon Economy and Protecting Multifactor Indices against Transition Risks, July 2019
6:00pm-6:30pm: Cocktail
Day Two
7:30am-8:00am: Registrations, Morning Tea and Coffee
- 8:00am-9:10am: Are Some Defensive Strategies More Efficient than Others? (plenary session)
Chairman: Peter Korteweg, Senior Portfolio Manager, APG
Speaker: Eric Shirbini, PhD, Global Research and Investment Solutions Director, Scientific Beta
• Advantages and limitations of defensive approaches based on low volatility exposure
• Combining long-term excess return and defensiveness of low volatility factor strategies
• Case study: Selecting a risk profile for defensive strategy
View presentation (password required)
Related documents:
• Overview: Designing More Defensive Solutions, October 2019
- 9:10am-10:30am: How to Manage Volatility (plenary session)
Chairman: Tom Adlard, European Head of Structuring, Morgan Stanley
Discussant: Jori Arts, Portfolio Manager, PGB Pensioendiensten
Speakers: Daniel Aguet, Index Director, Scientific Beta; Eric Shirbini, PhD, Global Research and Investment Solutions Director, Scientific Beta
• What risk profile for multi-factor investing?
• Benefits of target volatility approach in factor investing
• Case study: Historical volatility adjustment versus market beta adjustment for multi-factor strategy
View presentation (password required)
10:30am-11:00am: Morning Break
- 11:00am-12:30pm: How to Measure the Investability of a Multi-Factor Strategy (plenary session)
Chairman: Guillaume Arnaud, Managing Director, Global Head of Quantitative Investment Strategies, Société Générale
Speakers: Giovanni Bruno, Senior Quantitative Research Analyst, Scientific Beta; Felix Goltz, PhD, Research Director, Scientific Beta
• Tracking error, trading cost and market impact
• Measuring the trading costs and market impact of a smart beta strategy
• Results of studies on trading costs and market impacts of Scientific Beta flagship indices
View presentation (password required)
Related documents:
• Investability of Scientific Beta Indices, Scientific Beta white paper, June 2019
• Do Factor Indices Suffer from Price Effects around Index Rebalancing?, Scientific Beta white paper, September 2019
• Towards Cost Transparency: Estimating Transaction Costs for Smart Beta Strategies, Scientific Beta white paper, April 2019
12:30pm-1:30pm: Lunch Break
- 1:30pm-3:00pm: How to Improve Diversification of an Existing Portfolio (stream A)
Chairman: Arnaud Jobert, Managing Director, JPMorgan, Global Head Equities Investable Indices, JPMorgan
Speakers: Noël Amenc, PhD, Professor of Finance, EDHEC Business School and CEO, Scientific Beta; Eric Shirbini, PhD, Global Research and Investment Solutions Director, Scientific Beta
• What type of factor diversification (de-concentration, risk reduction, conditional diversification)
• The different measurements of factor diversification
• Long-only or long-short single-factor indices to implement a completeness portfolio
• Case study: Improving portfolio diversification with limited completeness portfolio and high turnover constraints
View presentation (password required)
Related documents:
• Overview: Scientific Beta Factor Analytics Services, July 2019
• Overview: How to Reconcile Single Smart Factor Indices with Strong Factor Intensity, September 2019
- 3:15pm-4:30pm: Multi-Factor Allocation in a Long-Short Context (plenary session)
Speakers: Daniel Aguet, Index Director, Scientific Beta; Benjamin Herzog, Deputy Head of Business Development, Scientific Beta
• What ingredients for a long-short factor allocation: anti-factor short versus cap-weighted short
• Defining sector neutrality in a long-short context
• How to build a truly market-neutral multi-factor allocation
• Case study: Long-short multi-factor allocation with target volatility control and maximum drawdown insurance
View presentation (password required)
Related documents:
• Overview: How to Reconcile Single Smart Factor Indices with Strong Factor Intensity, September 2019
> Speaker biographies
Registration
The conference is reserved for 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 conference is complimentary and by invitation only.
To register, please visit https://eur.cvent.me/KWqB.
Venue
Barbizon Palace Amsterdam
Prins Hendrikkade 59-72
Amsterdam 1012
Netherlands
About Scientific Beta
Scientific Beta is the smart beta index provider set up by EDHEC-Risk Institute, the applied finance research centre of EDHEC Business School. EDHEC Business School is a private non-profit academic institution established in France in 1906. It ranks amongst the top management schools in Europe and has been distinguished globally for the quality of its management and finance programmes. The EDHEC M.Sc. in Financial Markets ranks 1st in the world in the Financial Times Masters in Finance Pre-experience rankings 2017.
EDHEC-Risk Institute set up Scientific Beta in December 2012 as part of its policy of transferring know-how to the industry. 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.
Within the framework of smart beta offerings, Scientific Beta provides access to smart factor indices, which give exposure to risk factors that are well rewarded over the long term while at the same time diversifying away unrewarded specific risks. By combining these smart factor indices, one can design very high performance passive investment solutions.
With a concern to provide worldwide client servicing, Scientific Beta is present in Boston, London, Nice, Singapore and Tokyo. As of June 30, 2019, there was USD 48bn in assets replicating Scientific Beta indices. 35% of these assets under replication are ESG-compliant. Scientific Beta has a dedicated team of 52 people who cover not only client support from Nice, Singapore and Boston, but also the development, production and promotion of its index offering. Scientific Beta signed the United Nations-supported Principles for Responsible Investment (PRI) on September 27, 2016. On November 27, 2018, Scientific Beta was presented with the Risk Award for Indexing Firm of the Year 2019 by the prestigious professional publication Risk Magazine.
Contact
Joanne Finlay
E-mail: scientificbetadays@scientificbeta.com