Scientific Beta
The EDHEC Smart Beta Day Germany 2018, to be held in Frankfurt on 20 June, 2018, 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 mostly be held in German.
Overview
The EDHEC Smart Beta Day Germany 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 Germany 2018 is organised by ERI Scientific Beta.
Programme
Morning Sessions (8:30am-1:15pm)
8:30am-8:45am: Opening Address
Speaker: Marianne Piquerel, Senior Business Development and Sales Manager Europe, ERI Scientific Beta8:45am-10:00am: Misconceptions and Misselling of Smart Beta; When the Policy Benchmark does not Respect the Investment Choices
Speakers: Felix Goltz, PhD, Head of Applied Research, EDHEC-Risk Institute and Research Director, ERI Scientific Beta; Eric Shirbini, PhD, Global Research and Investment Solutions Director, ERI Scientific Beta
• What are the bias and unrewarded and undocumented risk exposures that can affect the performance of smart beta and factor benchmarks?
• The macro-economic risks incorporated in equity factor investing solutions and the way in which they are reflected in the global risk allocation of the portfolio
• How to evaluate and communicate on the risks of smart beta policy benchmark with respect to the different stakeholders?
Speakers: Felix Goltz, PhD, Head of Applied Research, EDHEC-Risk Institute and Research Director, ERI Scientific Beta; Patrick Bielstein, Senior Quantitative Analyst, 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?
11:30am-12:00pm: Morning Break
Speaker: Felix Goltz, PhD, Head of Applied Research, EDHEC-Risk Institute and Research 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-5:00pm)
Speaker: Erik Christiansen, Senior Business Development Director, ERI Scientific Beta
• Accounting for ESG filters with factor exposure selection
• Analysing the performance of ESG and multi-factor strategies: how much of the performance is attributable to each component?
• Reconciling high-factor intensity and ESG policy: the case for Scientific Beta ESG Multi-Beta Multi-Factor indices
3:30pm-4:00pm: Afternoon Break
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
• How to ensure real market neutrality of long/short factor strategies
• Managing volatility of the L/S Strategy
5:00pm-5:30pm: 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 seminar is complimentary and by invitation only.
To register, please visit https://www.regonline.co.uk/smartbetadaygermany2018.
Venue
Sheraton Frankfurt Airport Hotel and Conference Center
Airport/Terminal 1
Hugo Eckener Ring 15
Frankfurt Airport
Frankfurt 60549
Germany
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, the Scientific Beta indices corresponded to USD 25bn in assets under replication. ERI Scientific Beta signed the United Nations-supported Principles for Responsible Investment (PRI) on September 27, 2016.
Contact
Laure Barralis
E-mail: laure.barralis@scientificbeta.com
Telephone: +33 493 187 863