EDHEC Scientific Beta Days North America 2019 is a two-day event taking place on 24-25 October, 2019 in Boston, 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 North America 2019 is organized 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 discusses it with the institutional investor and financial advisory communities.
The event is structured to appeal to asset owners and their direct investment consultants and financial advisers. 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 North America 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
Program
Day One
7:30am-8:00am: Registrations, Morning Tea and Coffee
- 8:00am-8:10am: Opening Address
Speaker: Marc Zieger, Director North America, Scientific Beta
- 8:10am-9:20am: Factor Crowding, Can Risk Premiums Disappear with their Success? (plenary session)
Chairman: Nelson Da Conceicao, Portfolio Manager - Global Equities, CalPERS
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: Syed Haque, Director of Public Markets, United Parcel Service
Discussant: Stephen Beinhacker, Global Head of Equity, SEI Investments Company
Speaker: Eric Shirbini, PhD, Global Research and Investment Solutions Director, Scientific Beta
• The framework for analyzing 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: James Davis, CIO, OPTrust
Speaker: Felix Goltz, PhD, Research Director, Scientific Beta
Panellists: François Gagnon, Managing Director of Investments,University of Michigan Investment Office; Michael Griswold, Managing Director of Strategy & Risk Management, Ascension Health
• 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-2:30pm: Factor Strategy Risks and Smart Beta (plenary session)
Chairman: Jim Hwang, Managing Director, Capital Markets & Factor Investing, Canada Pension Plan Investment Board
Speaker: Eric Shirbini, PhD, Global Research and Investment Solutions Director, Scientific Beta
• The main risks affecting factor strategy performance
• How to manage the implied risks of smart beta strategies
• The importance of transparency in terms of embedded risks in smart beta strategies
• Case study: Comparison of the performance and risks of the same factor allocation according to the implicit risk management choices
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Related documents:
• Misconceptions and Mis-selling in Smart Beta: Improving the Risk Conversation in the Smart Beta Space, Scientific Beta white paper, June 2019
• Adding Value with Factor Indices: Sound Design Choices and Explicit Risk-Control Options Matter, Scientific Beta white paper, March 2019
• Managing Sector Risk in Factor Investing, Scientific Beta white paper, November 2018
- 2:30pm-4:00pm: How to Reconcile ESG and Factor Investing (plenary session)
Chairman: Nicolas Richard, Executive vice president, Investments and Chief Operating Officer, Desjardins Global Asset Management
Speaker: Erik Christiansen, Senior Consultant, 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
4:00pm-4:30pm: Afternoon Break
- 4:30pm-5:45pm: Reducing the Carbon Impact of Factor Strategies (plenary session)
Chairman: Jim Hwang, Managing Director, Capital Markets & Factor Investing, Canada Pension Plan Investment Board
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
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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: Greg Behar, Head of Index Investment Strategy, Legal & General Investment Management America
Discussant: John Pirone, Senior Vice President, Capital Markets Research Group, Callan
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: Corrado Tiralongo, CIO, Counsel Portfolio Services
Discussant: Charlie Chang, Senior Investment Officer, Global Equities & Portfolio Construction, Missouri State Employees Retirement System
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
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10:30am-11:00am: Morning Break
- 11:00am-12:30pm: How to Measure the Investability of a Multi-Factor Strategy (plenary session)
Chairman: Emiliano Rabinovich, Senior Portfolio Manager, State Street Global Advisors
Panellists: Dan Scholz, Director Investment Strategies, Nisa Investment Advisors
Speaker: 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 indexes
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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, Global Head Equities Investable Indices, JP Morgan
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 indexes 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)
Chairman: Mike Clark, Head of Investor Solutions, Société Générale Corporate & Investment Banking
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/bnkA.
Venue
The Ritz Carlton
10 Avery Street
Boston
MA 02111
United States
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