Scientific Beta

Frédéric Ducoulombier, Business Development Director Asia ex-Japan and the Middle East at ERI Scientific Beta, will be speaking on the topic of smart beta at events to be held in Abu Dhabi and Kuala Lumpur in the first quarter of 2016.

On 24 February, 2016, he has been invited to participate in a panel discussion on the theme, "Bettering your Beta Exposure" at the Middle-East Government Funds Roundtable in Abu Dhabi. The event is a private meeting for the Middle East's investment leaders at which the sovereign and government fund community can discuss and debate key investment issues with peers and selected experts. The meeting not only allows for candid discussions about the current economic environment and investment challenges, but also serves as a "think tank" for participants to share and develop innovative ideas for asset allocations. The panel discussion will be moderated by Scott E. Kalb, Executive Director of the Sovereign Investor Institute and former CIO of Korea Investment Corporation and will examine the new strategies that can be implemented to enhance the performance of beta in the portfolio. Frédéric Ducoulombier will discuss the design of better equity indices that address the limitations of traditional, broad-market capitalisation-weighted indices and the past, present and future of smart beta.

Frédéric Ducoulombier has also been invited to discuss smart beta and factor investing with the CFA community in Manila on 9 March, 2016 and in Kuala Lumpur on 10 March, 2016. Smart beta has become the fastest growing segment in the indexing industry and is rich with the possibility of democratising sixty years of financial research for the benefit of end investors. However, the simulated nature of the track records of smart beta indices combined with the high degree of opacity maintained by index providers have led to a pronounced lag in the understanding of the sources of performance and risks of these innovations and to reasonable doubts about the robustness of their performance. In his presentation, entitled "Understanding Smart Beta", Professor Frederic Ducoulombier will draw on the research conducted at EDHEC-Risk Institute and ERI Scientific Beta to explain how first generation smart beta indices have attempted to address the limitations of traditional indices, introduce the smart beta 2.0 framework and how it can be used to design and risk manage well-diversified factor-tilted smart beta indices, look at the risk and performance characteristics of smart factor indices, and discuss quantitative and qualitative approaches to measuring and reducing robustness risks of single- and multi-factor smart beta strategies.

Frédéric Ducoulombier is the founding director of EDHEC Risk Institute-Asia and an associate professor of finance at EDHEC Business School. He also serves on the Consultative Working Group of the Financial Innovation Standing Committee established by the European Securities and Markets Authority. He has most recently co-authored EDHEC-Risk Institute's influential contributions to international regulatory consultations on ETFs, indices and benchmarks as well as publications on the purported risks of ETFs, non-financial risks in fund management, the index transparency and governance requirements of institutional investors and smart beta and factor investing. He also contributed to reviews of the asset allocation and portfolio construction practices of sovereign investors and pension funds. Prior to establishing the Asian operations of EDHEC-Risk Institute, he founded and developed the Institute's executive education operations and initiated and developed its PhD in Finance programme. Since April 2015, he is the head of business development for the Institute's index provision venture, ERI Scientific Beta, in the Middle-East and Asia Pacific ex Japan.