This two-day conference will include multiple plenary sessions, workshops and practical sessions allowing professionals to review major industry challenges, explore state-of-the-art investment techniques and benchmark practices to advances in research. The first day will focus on smart beta risk management solutions and the second day will concentrate on case studies and practical applications.
Overview
EDHEC Scientific Beta Days North America 2018 is organised by ERI 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 ERI Scientific Beta and discusses it with the institutional investor and financial advisory communities.
The conference 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 two-day conference will include multiple plenary sessions, workshops and practical sessions allowing professionals to review major industry challenges, explore state-of-the-art investment techniques and benchmark practices to advances in research.
On day one, the conference will focus on factor allocation and implementation challenges looking at dynamic risk allocation, regime premia diversification, a critical analysis of the bottom-up approach and transaction costs of smart beta investing. With the maximum regime premia diversification approach, Scientific Beta will present a revolutionary approach in terms of factor allocation which makes it possible to build all-weather-factor equity portfolios.
Day two of the conference will be dedicated to practical application and case studies: it will focus in particular on studying the conditions for factor allocation implementation as well as the key issues and stages in the smart factor selection process. This second day will also be the opportunity to present practical case studies of innovative factor allocation in the areas of long/short but also ESG multi-factor investment. Finally, another case study will illustrate how to integrate core equity portfolio in a multi-factor allocation framework.
Program
Day One: Smart Beta Risk Management Solutions
08:30am-09:00am: Registrations, Morning Tea and Coffee
- 9:00am-9:15am: Opening Address
Speaker: Marc Zieger, Business Development, ERI Scientific Beta North America
- 9:15am-10:45am: How to Select a Multi-Factor Portfolio Construction Method
Chairman: David Veal, CIO, COAERS
Speakers: Noël Amenc, PhD, Professor of Finance, EDHEC Business School and CEO, ERI Scientific Beta; Eric Shirbini, PhD, Global Research and Investment Solutions Director, ERI Scientific Beta
Panelist: Aurel Wisse, Head of Alternative Indexing Strategies, CDPQ
• The false hypothesis of a linear relationship between stock characteristics and stock returns
• When factor providers oversell the results of academic research
• Is in-sample optimization the best way to guarantee the out-of-sample robustness of backtest performances?
• Is it really smart to maximize factor intensity and forget diversification of specific risk?
10:45am-11:15am: Morning Break
- 11:15am-12:45am: From Beta Deconcentration to Regime Premia Diversification in Multi-Factor Investing
Chairman: Howard M. Hodel, Acting Chief Investment Officer, Employees' Retirement System of the State of Hawaii
Speaker: Felix Goltz, PhD, Head of Applied Research, EDHEC-Risk Institute and Research Director, ERI Scientific Beta
Panelist: Nicholas Fok, Director, Global Portfolio Strategy, Liberty Mutual
• Limits of measures in terms of factor deconcentration and factor balance
• How to account for sensitivity macro factors of equity factor premia
• The benefits of factor diversification in regime premia
• Case study: all weather equity factor portfolio with maximum regime premia diversification
12:45pm-1:45pm: Lunch Break
- 1:45pm-3:15pm: Factor Timing and Dynamic Risk Allocation
Chairman: Greg Behar, Head of Index Strategy, Legal & General Investment Management America
Speaker: Eric Shirbini, PhD, Global Research and Investment Solutions Director, ERI Scientific Beta
• Are factor-based tactical allocation approaches easy to implement?
• How to account for cyclicality and conditionality of betas and premia in the context of factor investing solutions
• Case studies: dynamic market beta adjustment and dynamic premia diversification of solutions to improve the conditionality of the performance of multi-factor strategies
3:15pm-3:30pm: Afternoon Break - 3:30pm-5:00pm: Measuring and Controlling the Transaction Costs of Factor Investing
Chairman: John Delano, Managing Director, Head of Research Analytics, Commonfund
Speaker: Felix Goltz, PhD, Head of Applied Research, EDHEC-Risk Institute and Research Director, ERI Scientific Beta
• Factor crowding, front running, market impact and transaction costs: necessary clarification of the concepts relating to the implementation of factor strategies
• How to measure the transaction costs and the liquidity of factor strategies
• What are the arrangements that make it easier to replicate factor investing strategies?
• How to measure and manage the risk of friction costs and the investability risk of smart beta
5:00pm-6:00pm: Cocktail
Day Two: Case Studies and Practical Applications
08:30am-09:00am: Registrations, Morning Tea and Coffee
- 9:00am-10:15am: Case study – OPTrust – How we Integrate Multi-Factor and Smart Beta Investing in our Portfolio Allocation and Construction Process
Speaker: Kevin Zhu, Managing Director, Portfolio Construction, OPTrust
• How do we think about factor investing from a pension fund perspective and what are the benefits these strategies bring to our portfolio?
• Our approach to factor (smart beta) investing from a portfolio construction perspective
• What are some of the things that investors need to be cautious when you do factor investing?
10:15am-10:45am: Morning Break
- 10:45am-12:00am: Which Relative Risk Allocation Management for Multi-Factor Allocation?
Speakers: Daniel Aguet, Deputy Research Director, ERI Scientific Beta; Eric Shirbini, PhD, Global Research and Investment Solutions Director, ERI Scientific Beta
• Which relative risk definition: TE, Max relative drawdown and Max relative loss
• The limits of static management through pure diversification of relative risk in an equity context
• Dynamic management of relative risk and protection against relative loss
12:00pm-1:00pm: Lunch Break - 1:00pm-2:00pm: Reconciling High ESG Objectives and Multi-Factor Performance
Speaker: Nicolas Richard, President and Chief Operating Officer, Desjardins Global Asset Management
• How to reconcile ESG and multi-factor investing
• How to reduce the impact of ESG or low exclusions on factor intensity and portfolio diversification
• Presentation of passive ESG and low carbon strategies implemented by Desjardins
- 1:00pm-2:00pm: A Long/Short Strategy in a Multi-Factor Framework
Speaker: Mike Clark, Equities & Derivatives Managing Director, Société Générale Corporate & Investment Banking; Benjamin Herzog, Quantitative Equity Strategies, Product Manager, Société Générale
• Implementation of factor investing in a long/short context
• The importance of measuring market beta
• Maximize spread or minimize its volatility? What is the best strategy to build a long/short multi-factor strategy?
- 2:00pm-3:00pm: Smart Factor Selection Process
Speaker: Matt Sturdivan, Manager Research Consultant, RVK
• Quantitative assessment and due-dilligence process
• Measuring the robustness of a smart factor investment vehicle
• Assessing the total cost of a smart factor investment
3:00pm-3:30pm: Afternoon Break
- 3:30pm-5:00pm: Case Study: Implementation of an Overlay Strategy to Correct Factor Exposure of a Legacy Portfolio
Speakers: Noël Amenc, PhD, Professor of Finance, EDHEC Business School and CEO, ERI Scientific Beta; Ashish Lodh, Deputy Research Director, Scientific Analytics; Eric Shirbini, PhD, Global Research and Investment Solutions Director, ERI Scientific Beta
• How to analyze the factor diversification of the core equity portfolio
• How to simulate the impact of factor overlay on the global equity portfolio in terms of diversification
• How to account for interactions with the other asset classes
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 seminar is complimentary and by invitation only.
Admission is only valid when confirmed by the organisers, who reserve the right to refuse any registration request without justification.
To register, please visit https://www.regonline.co.uk/scibetadaysna2018.
Venue
Langham Hotel Boston
250 Franklin Street
Boston
Massachusetts 02110
United States
Official Sponsors
Official Media Partner
About ERI Scientific Beta
ERI 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 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 June 30, 2018, the Scientific Beta indices corresponded to USD 34bn in assets under replication. ERI Scientific Beta signed the United Nations-supported Principles for Responsible Investment (PRI) on September 27, 2016.
Contact
Joanne Finlay
E-mail: scientificbetadays@scientificbeta.com