Scientific Beta Days North America 2022
Scientific Beta Days North America 2022 is a two-day, in-person conference to be held on 7-8 June, 2022 that will focus on the need to question smart strategies, retirement and climate investing. Multiple plenary sessions, workshops and practical sessions will present the latest advances in smart beta, retirement and climate strategy design and implementation for the benefit of the asset owner and financial advisory communities, with senior investment professionals providing industry insight into each topic.

Overview
Scientific Beta Days North America 2022 is organized by Scientific Beta within the framework of EDHEC Business School, a leading academic institution, as part of its policy of transferring know-how to the industry.
The two-day conference will include multiple plenary sessions, workshops and practical sessions presenting the latest advances in smart beta and climate strategy design and implementation for the benefit of the asset owner and financial advisory communities.
The 2022 edition of the conference will focus on the need to question smart strategies and climate investing.
The conference will address the following themes:
- Redefining Value to Better Account for Intangible Investments
- Navigating the Factor Zoo: Differentiate between Pricing and Priced Factors
- ESG Investing: Are Publications on Low Carbon and ESG Factors Reliable?
- How to Integrate the Net-Zero Framework Recommendations into Portfolio Construction
- Assessing Greenwashing in Portfolio and Benchmark Construction
- Macroeconomic Exposures in Equity Portfolio Construction
- Case Study: Managing Macro Risks in Equity Portfolios
- How to Increase Equity Returns while Reducing overall Portfolio Risk - The Case of Dynamic Defensive Equity Strategy
- Net-Zero Alignment and Fossil-Free Investments
Program
Day One
07:30am-08:00am: Registrations, Morning Tea and Coffee
- 08:00am-08:10am: Opening Address
Speaker: Marc Zieger, Director, North America, Scientific Beta
- 08:10am-09:30am: Navigating the Factor Zoo: Differentiate between Pricing and Priced Factors (Plenary Session)
Speaker: Felix Goltz, PhD, Research Director, Scientific Beta
Chair: Corrado Tiralongo, CIO, Investment Planning Counsel
• Why do risk premiums exist?
• How to assess the existence of a real and robust long-term rewarded factor?
• What is the benefit of distinguishing robust pricing factors in portfolio risk management?
• What is the difference between pricing and priced factor investing?
- 09:30am-10:15am: Redefining Value to Better Account for Intangible Investments (Plenary Session)
Speaker: Felix Goltz, PhD, Research Director, Scientific Beta
Chair: Michael Robillard, Fundamental Systematic Management Team, CDPQ
• What is the difference between measuring a company’s intrinsic value and appreciating its value factor exposure?
• How to account for the importance of the intangible economy in the factor value proxy
• How to appreciate the interest and the risks of value factor evolution
• Why are multiple metrics to define the value factor a flawed approach?
10:15am-10:45am: Break
- 10:45am-11:45am: Are Publications on Low Carbon and ESG Factor Reliable? (Plenary Session)
Speakers: Giovanni Bruno, PhD, Senior Quantitative Research Analyst, Scientific Beta; Felix Goltz, PhD, Research Director, Scientific Beta
Chair: Antonio Rodriguez, Director of Investment Strategy, NYC BERS
• How to measure the existence of long-term factor risk premia in the field of ESG
• What criticisms can be made of recent publications that justify the existence of ESG alpha and low carbon factors?
• What are the promising avenues of research in this area?
11:45am-1:00pm: Lunch
- 1:00pm-2:00pm: Assessing Greenwashing in Portfolio and Benchmark Construction (Plenary Session)
Speaker: Felix Goltz, PhD, Research Director, Scientific Beta
Chair: Sanford Rich, Executive Director, NYC BERS
• How to define greenwashing at the portfolio level
• What are the main characteristics of greenwashing climate strategies?
• How to measure the greenwashing of a portfolio or a benchmark
• Case study: Analysis of greenwashing of popular climate strategies
2:00pm-2:30pm: Break
- 2:30pm-4:00pm: How to Integrate the Net-Zero Framework Recommendations into Portfolio Construction (Plenary Session)
Speaker: Erik Christiansen, ESG and Low Carbon Investment Specialist, Scientific Beta
Chair: Advait Apte, Senior Investment Officer, Research, Virginia Retirement System
• What are the consequences at the equity asset class level of the Net Zero Alliances’ recommended principles?
• How to go beyond the global carbon or global temperature reduction approaches at portfolio level to really impact companies
• How to maximise the impact of corporate commitment to climate alignment through portfolio construction
• Case study: Climate Impact Consistency Index
4:00pm-5:00pm: Cocktail
Day Two
07:30am-08:00am: Registrations, Morning Tea and Coffee
- 08:00am-09:15am: Macro-Factor Tilted Benchmark (Plenary Session)
Speaker: Felix Goltz, PhD, Research Director, Scientific Beta
Chair: François Gagnon, CIO, University of Michigan
• The value of considering macroeconomic exposures in the construction of an equity portfolio
• How to robustly measure the macroeconomic exposure of a security
• How to assess the quality of a macro-factor exposed index
• Case study: US 500 Inflation + Index
- 09:15am-10:45am: Case Studies: Managing Macro Risks in Equity Portfolios (Plenary Session)
Speakers: Giovanni Bruno, PhD, Senior Quantitative Research Analyst, Scientific Beta; Felix Goltz, PhD, Research Director, Scientific Beta
Chair: Paul O’Brien, Trustee and Member of the Investment Committee, Wyoming Retirement System
• Macro indices: characteristics & design
• Considering macro risks and measuring macro exposures
• Case studies:
- Liability-Driven Investment
- Multi-Asset Portfolio
10:45am-11:15am: Break
- 11:15am-12:30pm: How to Increase Equity Returns while Reducing overall Portfolio Risk - The Case of Dynamic Defensive Equity Strategy (Plenary Session)
Speaker: Dimitris Korovilas, PhD, Investment Product Specialist, Scientific Beta
Chair: Alex Ambroz, Director, Cleveland Clinic Investment Office
• Drawbacks of traditional defensive strategies and how to do better
• Scientific Beta Dynamic Defensive Solution
• Dynamic Defensive in a multi-asset allocation
12:30pm-1:30pm: Lunch
- 1:30pm-3:00pm: Should Oil and Gas be Excluded from Climate-Friendly Portfolios? (Plenary Session)
Speaker: Erik Christiansen, ESG and Low Carbon Investment Specialist, Scientific Beta
Chair: Eric Pitt, Consultant, Ceres Accelerator for Sustainable Capital Markets
• Net-Zero alignment and fossil-free investments
• What is the role and impact of fossil fuels divestment for reaching Net-Zero goals?
• Climate Impact Consistent Indices (CICI) - a pure climate index for the fossil-fuel sector
3:00pm: End of the conference
> 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 is only valid when confirmed by the organizers, who reserve the right to refuse any registration request in order to preserve the diversity of the audience.
To register, please visit https://eur.cvent.me/Om0xB.
About Scientific Beta
Scientific Beta aims to encourage the entire investment industry to adopt the latest advances in smart factor and ESG/Climate index design and implementation. Established in December 2012 by EDHEC-Risk Institute, one of the top academic institutions in the field of fundamental and applied research for the investment industry, as part of its mission to transfer academic know-how to the financial industry, Scientific Beta shares the same concern for scientific rigour and veracity, which it applies to all the services that it provides to investors and asset managers. We offer the smart factor and ESG/Climate solutions that are most proven scientifically, with full transparency of both methods and associated risks.
On January 31, 2020, Singapore Exchange (SGX) acquired a majority stake in Scientific Beta. SGX is maintaining the strong collaboration with EDHEC Business School, and principles of independent, empirical-based academic research, that have benefited Scientific Beta’s development to date.
Scientific Beta has developed two types of expertise over the years corresponding to two major concerns for investors:
- Expertise in the area of Smart Beta, and more particularly factor investing
- Expertise in the area of ESG, and particularly Climate investing
To date, Scientific Beta is offering two major types of climates objectives:
Since 2015, offerings with financial objectives respecting ESG and Carbon constraints. These offerings correspond to the application of exclusion filters, the design of which allows the financial characteristics of the index to be conserved. This involves reconciling financial objectives and compliance with ESG norms and climate obligations. As such, the Core ESG, Extended ESG and Low Carbon filters can be integrated into smart beta or cap-weighted offerings in line with the financial objectives targeted by the investor.
Since 2021, Scientific Beta has been offering indices with pure climate objectives (Climate Impact Consistent Indices) that allow climate exclusions and weightings to be combined in order to translate companies’ climate alignment engagement into portfolio decisions.
Since it was acquired by SGX in January 2020, Scientific Beta has accelerated its investments in the area of Climate Investing as part of the SGX Sustainable Exchange strategy, which is mobilising an investment of SGD 20 million. In addition, EDHEC and Scientific Beta have set up a EUR 1 million/year ESG Research Chair at EDHEC Business School.
With a concern to provide worldwide client servicing, Scientific Beta is present in Boston, London, Nice, Singapore and Tokyo. As of June 30, 2021, the Scientific Beta indices corresponded to USD 63.75bn in assets under replication. Scientific Beta has a dedicated team of 55 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. Scientific Beta became an associate member of the Institutional Investor Group on Climate Change (IIGCC) on April 9, 2021.
Today, Scientific Beta is devoting more than 40% of its R&D investment to Climate Investing and more than 45% of its assets under replication refer to indices with an ESG or Climate flavour. As a complement to its own research, Scientific Beta supports an important research initiative developed by EDHEC on ESG and climate investing and cooperates with V.E and ISS ESG for the construction of its ESG and climate indices.
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. On October 31, 2019, Scientific Beta received the Professional Pensions Investment Award for “Equity Factor Index Provider of the Year 2019.” On February 2, 2022, Scientific Beta was named ‘Best Specialist ESG Index Provider’ at the ESG Investing Awards 2022.
Contact
Joanne Finlay
E-mail: scientificbetadays@scientificbeta.com