Scientific Beta
The conference, to be held on 20 March, 2018 in London, will focus on a central theme which is robustness and risk management in smart beta and more particularly in factor investing. Good risk management implies accounting for the variations of beta and risk premia of the different factors to which the investor wants to be exposed whether in terms of long only or long/short strategies.
Overview
The EDHEC Smart Beta Day Europe 2018 is organised 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 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 this year will focus on a central theme which is risk management in smart beta and more particularly in factor investing. Good risk management implies accounting for the variations of beta and risk premia of the different factors to which the investor wants to be exposed whether in terms of long only or long/short strategies.
EDHEC Smart Beta Day Europe 2018 is organised by ERI Scientific Beta.
Programme
Morning Sessions (8:00am-1:15pm)
- 8:00am-8:30am: Opening Address
Speaker: Noël Amenc, PhD, Professor of Finance, EDHEC Business School and CEO, ERI Scientific Beta
- 8:30am-09:45am: Why we do not Believe that Maximising Factor Intensity at Stock Level is a Robust Approach to Multi-Factor Investing
Chairman: Adrian Mitchell, Partner, Aon Hewitt
Discussant: Aniket Das, Investment Strategist - Index & Smart Beta, Solutions Group, Legal & General Investment Management
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
• 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 optimisation the best way to guarantee the out-of-sample robustness of backtest performances?
• Is it really smart to maximise factor intensity and forget diversification of specific risk?
09:45am-10:15am: Morning Break
- 10:15am-11:45am: Cyclicality and Conditionality of Smart Beta Performance and Factor Strategies
Chairman: Himanshu Chaturvedi, Managing Director, Cambridge Associates
Discussant: Luca Simoncelli, Senior Fund Manager, Fideuram
Speaker: Felix Goltz, PhD, Head of Applied Research, EDHEC-Risk Institute and Research Director, ERI Scientific Beta
• The importance of taking market beta risk into account in analysing the conditionality of factor strategies
• The different forms of factor cyclicality and conditionality: beta and premia cyclicality and conditionality
• How to improve the measurement of beta factors considering their variability
• What are the economic regimes of the different factors?
- 11:45am-1:15pm: Dynamic Factor Risk Allocation
Chairman: Frédéric Hoogveld, Head of Investment Specialists Index & Smart Beta Strategies, Amundi Asset Management
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
1:15pm-2:15pm: Lunch Break
Afternoon Sessions (2:15pm-5:30pm)
- 2:15pm-3:30pm: Factor Investing in Long/Short Strategies
Chairman: Benjamin Herzog, Quantitative Equity Strategies, Product Manager, Société Générale CIB
Speaker: Felix Goltz, PhD, Head of Applied Research, EDHEC-Risk Institute and Research Director, ERI Scientific Beta
• The challenges of a robust performance approach in the case of long/short multi-factor strategies
• Improving factor spreads without sacrificing performance stability: the challenge of allocating between factors adapted to long/short strategies
• How to ensure real market neutrality of long/short factor strategies
• The importance of investability of long/short strategies in factor investing
3:30pm-4:00pm: Afternoon Break - 4:00pm-5:30pm: Measuring and Controlling the Transaction Costs of Factor Investing
Chairman: George Carvounes, Principal Consultant, Aon Hewitt
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
5:30pm-6:15pm: Drinks Reception
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://www.regonline.co.uk/smartbetadayeurope2018.
Venue
The Grange Tower Bridge Hotel
45 Prescot Street
London
E1 8GP
United Kingdom
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 December 31, 2017, there was USD 25bn in assets replicating Scientific Beta indices. 35% of these assets under replication are ESG-compliant. ERI Scientific Beta signed the United Nations-supported Principles for Responsible Investment (PRI) on September 27, 2016.
Contact
Joanne Finlay
E-mail: smartbetaday@scientificbeta.com