Scientific Beta
The EDHEC Smart Beta Day Germany 2019, to be held in Frankfurt on 4 June, 2019, 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. A number of presentations at the event will be held in German.
Overview
The EDHEC Smart Beta Day Germany 2019 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 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.
EDHEC Smart Beta Day Germany is organised by Scientific Beta.
Programme
Morning Sessions (8:30am-12:40pm)
8:30am-8:40am: Opening address
Speaker: Marianne Piquerel, Senior Business Development and Sales Manager Europe, Scientific Beta8:40am-10:00am: Are the benefits of factor investing victims of their success?
Speaker: Felix Goltz, PhD, Head of Applied Research, EDHEC-Risk Institute and Research Director, Scientific Beta
• Impact of factor investing success on the market and the impact on transaction costs.
• What are the performance drivers of multi-factor investing over the last three years?
• Why the performance drivers of factors?
Speaker: Eric Shirbini, PhD, Global Research and Investment Solutions Director, Scientific Beta
• The importance of good diversification of specific risks to efficiently capture factor risk premia.
• Taking into account systematic (market and sector) non-factor risks in multi-factor construction.
• What impact do multi-factor portfolio construction choices have on their performance and risk profiles?
11:00am-11:20am: Morning Break
Speakers: Felix Goltz, PhD, Head of Applied Research, EDHEC-Risk Institute and Research Director, Scientific Beta; Patrick Bielstein, Senior Quantitative Analyst, Scientific Beta
• The limitations of score-based approaches to measure factor exposure.
• What are the alternatives to score-based approaches?
• Practical case: Scientific Analytics: Analysing a multi-strategy multi-manager core-portfolio based on returns alone.
12:40pm-1:40pm: Lunch Break
Afternoon Sessions (1:40pm-5:00pm)
Speaker: Erik Christiansen, Senior Consultant, Scientific Beta
• Principles of integrated ESG on factor investing.
• Limits of integrated ESG on factor investing.
• Taking into account a strict ESG policy as part of a factor investing approach.
Speaker: Felix Goltz, PhD, Head of Applied Research, EDHEC-Risk Institute and Research Director, Scientific Beta
• How realistic are the interest rate risks incorporated in factor strategies?
• How do we measure exposure to macro-factors in the equity space?
• How do we take these exposures into account in the portfolio construction process?
Speaker: Eric Shirbini, PhD, Global Research and Investment Solutions Director, Scientific Beta; Patrick Bielstein, Senior Quantitative Analyst, Scientific Beta
• Completeness portfolio strategy versus overlay portfolio strategy.
• Long-only factors versus long/short factor completeness ingredients.
• Practical case: Implementing a factor strategy using traditional active managers.
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 http://www.regonline.com/smartbetadaygermany2019.
Venue
Sheraton Frankfurt Airport Hotel and Conference Center
Airport/Terminal 1
Hugo Eckener Ring 15
Frankfurt Airport
Frankfurt 60549
Germany
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, 2018, there was USD 34bn in assets replicating Scientific Beta indices. 42% 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.
Contact
Séverine Cibelly
E-mail: severine.cibelly@scientificbeta.com
Telephone: +33 493 187 863