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Indexes & Benchmarking EDHEC-Risk Smart Beta Day Europe 2017 21 March, 2017 - London, United Kingdom

In partnership with ERI Scientific Beta



Overview

The EDHEC-Risk Smart Beta Day is organised by an academic research centre for the benefit of professionals. It presents the research carried out by EDHEC-Risk Institute 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 of 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 will focus on smart beta indexation, factor investing and smart beta solutions and will present the latest research results on the challenges of smart beta investing for institutional investors, the best methods for the construction of multi-factor indices and the issue of choosing between approaches based on picking factor champion stocks, or rather maintaining an approach that focuses more on constructing portfolios with good beta properties, analysing the costs of smart beta strategies, evaluation criteria of a smart beta index and the case for long/short multi-factor strategies. For this last topic, the aim is to promote those approaches offering very strong factor spreads while also limiting their variation. This integrated approach breaks with the traditional practices of long/short factor investing, which are often based on poor risk management practices and inefficient design of the short leg.

The conference will also present research of great interest to asset owners on defensive strategies and the means to limit their sensitivity to interest rates. Finally, the issue of reconciling factor investing, which generally increases the investment’s carbon footprint and low carbon investing will also be addressed in this conference.

EDHEC-Risk Smart Beta Day Europe 2017 is organised by EDHEC-Risk Institute in partnership with ERI Scientific Beta.



Programme

Morning Sessions (8:30am-1:00pm)
  • 8:30am-9:00am: Introduction: What are the challenges of smart beta investing for institutional investors?
    Speaker: Noël Amenc, PhD, Professor of Finance, EDHEC Business School
    and CEO, ERI Scientific Beta

    • What are the real costs of smart beta?
    • What is the added value for active management in smart beta?
    • What is the price to pay for smart beta?

  • 9:00am-10:30am: Bottom-up versus top-down: What is the best method to use for the construction of multi-factor indices?
    Chairman: Anika Goel, Vice President, Equity Derivatives Structurer, Morgan Stanley
    Speaker: Felix Goltz, PhD, Head of Applied Research, EDHEC-Risk Institute and Research Director, ERI Scientific Beta
    • Considering cross-sectional negatives of single factor indices, seeking maximum exposure to rewarded factors, portfolio concentration versus diversification; what are the issues behind the bottom-up versus top-down debate?
    • From beta to stock picking: do stock factor champions exist?
    • What are the limits of bottom-up approaches?
    • Can we reconcile the top-down approach and consideration of cross-sectional negatives of single smart factor indices combinations?
    • What method can be used to maximise the benefits of factor investing?

    10:30am-11:00am: Morning Break

  • 11:00am-12:00pm: Unexpected consequences of smart beta strategies: the case of defensive strategy
    Chairman: Tomas Franzen, Founder, Franzen Advisory and Former Chaiman,
    EDHEC-Risk Institute International Advisory Board

    Speaker: Eric Shirbini, PhD, Global Research and Investment Solutions Director, ERI Scientific Beta
    • Rise of idiosyncratic and non-rewarded risk
    • Concentration of low vol factor and interest rate risk sensitivity
    • Performance conditionality and sample dependency
    • How to be smart with a smart beta defensive strategy

  • 12:00pm-1:00pm: Smart beta and low carbon investing
    Chairman: Peter Lindahl, Head of Multi-Asset, Evli Fund Management Ltd
    Speaker: Erik Christiansen, Senior Business Development Director Europe, ERI
    Scientific Beta

    • Beta versus alpha strategies for low carbon investing
    • Is there a low carbon factor?
    • Reconciling factor investing and low carbon constraints

    1:00pm-2:00pm: Lunch Break
Afternoon Sessions (2:00pm-5:30pm)
  • 2:00pm-3:00pm: How to measure and limit the costs of implementing smart beta strategies
    Chairman: Laurent Trottier, Global Head of ETF, Indexing & Smart Beta Management, Amundi
    Speaker: Felix Goltz, PhD, Head of Applied Research, EDHEC-Risk Institute and Research Director, ERI Scientific Beta
    • Presentation of research carried out by EDHEC-Risk Institute on the evaluation of market impacts and costs of popular smart beta strategies
    • Analysis of entry method consequences of smart beta strategies
    • Management and turnover costs

  • 3:00pm-3:45pm: What are the evaluation criteria of a smart beta index
    Chairman: Aniket Das, Investment Strategist – Index & Factor-Based Investing, Solutions Group, Legal and General Investment Management
    Discussant: Freddy van Mulligen, Portfolio Manager External Mandates, Achmea Investment Management
    Speaker: Eric Shirbini, PhD, Global Research and Investment Solutions Director, ERI Scientific Beta
    • Analysis of the robustness of performance and prevention against data mining
    • Analysis of factor exposure
    • Analysis of the diversification and reduction of specific risk

    3:45pm-4:15pm: Afternoon Break

  • 4:15pm-5:30pm: How to harvest factor premia without suffering from market volatility: the case for long/short multi-factor strategy
    Chairman: Benjamin Herzog, Quantitative Equity Strategies, Société Générale CIB
    Speakers: Noël Amenc, PhD, Professor of Finance, EDHEC Business School and CEO, ERI Scientific Beta; Felix Goltz, PhD, Head of Applied Research, EDHEC-Risk Institute and Research Director, ERI Scientific Beta
    • The limitations of traditional long/short approaches in smart beta and factor investing: Bad matching between risk factor exposure of long and short branches, inefficiency of short cap weighted leg, poor estimation of market beta
    • How to maximise the long/short spread in the case of factor investing?
    • Integrated long/short risk management to control volatility of long/short spread?
    • Robust market estimation of beta and improvement of market neutrality of long/short strategies

    5:30pm-6:30pm: Cocktail

Full programme

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 to the seminar is complimentary and by invitation only.

To register, please visit https://www.regonline.co.uk/smartbetadayeurope2017.



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Official Media Partner





About EDHEC and EDHEC-Risk Institute

Founded in 1906, EDHEC Business School offers management education at undergraduate, graduate, post-graduate and executive levels. Holding the AACSB, AMBA and EQUIS accreditations and regularly ranked among Europe’s leading institutions, EDHEC Business School delivers degree courses to over 6,000 students from the world over and trains 5,500 professionals yearly through executive courses and research events. The School’s ‘Research for Business’ policy focuses on issues that correspond to genuine industry and community expectations.

Established in 2001, EDHEC-Risk Institute has become the premier academic centre for industry-relevant financial research. In partnership with large financial institutions, its team of close to 50 permanent professors, engineers, and support staff, and 38 research associates and affiliate professors, implements 6 research programmes and 10 research chairs focusing on asset allocation and risk management and has developed an ambitious portfolio of research and educational initiatives in the domain of investment solutions for institutional and individual investors.

In 2012, EDHEC-Risk Institute signed two strategic partnership agreements with the Operations Research and Financial Engineering department of Princeton University to set up a joint research programme in the area of risk and investment management, and with Yale School of Management to set up joint certified executive training courses in North America and Europe in the area of investment management.



About ERI Scientific Beta

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 30 June, 2016, assets replicating the Scientific Beta indices reached 10.3 billion USD.
Event Details
  When   Between 21/03/2017 08:00 AM and 21/03/2017 06:30 PM
Where   The Grange Tower Bridge Hotel, 45 Prescot Street, London, E1 8GP, United Kingdom
 
Contact Details
  Name   Joanne Finlay
E-mail   joanne.finlay@edhec-risk.com
Phone   +33 493 187 837
 
Attachments
  Programme