EDHEC-Risk Concept Industry Analysis Featured Analysis Latest EDHEC-Risk Surveys Features Interviews Indexes and Benchmarking FTSE EDHEC-Risk Efficient Index Series FTSE EDHEC-Risk ERAFP SRI Index EDHEC-Risk Alternative Indexes EDHEC IEIF Quarterly Commercial Property Index (France) Hedge Fund Index Research Equity Index Research Amundi "ETF, Indexing and Smart Beta Investment Strategies" Research Chair Rothschild & Cie "Active Allocation to Smart Factor Indices" Research Chair Index Regulation and Transparency ERI Scientific Beta Performance and Risk Reporting Hedge Fund Performance Performance Measurement for Traditional Investment CACEIS "New Frontiers in Risk Assessment and Performance Reporting" Research Chair Asset Allocation and Alternative Diversification Real Assets Meridiam Infrastructure/Campbell Lutyens "Infrastructure Equity Investment Management and Benchmarking" Research Chair Natixis "Investment and Governance Characteristics of Infrastructure Debt Instruments" Research Chair Société Générale Prime Services (Newedge) "Advanced Modelling for Alternative Investments" Research Chair CME Group "Exploring the Commodity Futures Risk Premium: Implications for Asset Allocation and Regulation" Strategic Research Project Asset Allocation and Derivative Instruments Volatility Research Eurex "The Benefits of Volatility Derivatives in Equity Portfolio Management" Strategic Research Project SGCIB "Structured Investment Strategies" Research ALM and Asset Allocation Solutions ALM and Private Wealth Management AXA Investment Managers "Regulation and Institutional Investment" Research Chair BNP Paribas Investment Partners "ALM and Institutional Investment Management" Research Chair Deutsche Bank "Asset-Liability Management Techniques for Sovereign Wealth Fund Management" Research Chair Lyxor "Risk Allocation Solutions" Research Chair Merrill Lynch Wealth Management "Risk Allocation Framework for Goal-Driven Investing Strategies" Research Chair Ontario Teachers' Pension Plan "Advanced Investment Solutions for Liability Hedging for Inflation Risk" Research Chair Non-Financial Risks, Regulation and Innovations Risk and Regulation in the European Fund Management Industry Index Regulation and Transparency Best Execution: MiFID and TCA Mitigating Hedge Funds Operational Risks FBF "Innovations and Regulations in Investment Banking" Research Chair EDHEC-Risk Publications All EDHEC-Risk Publications EDHEC-Risk Position Papers IPE EDHEC-Risk Institute Research Insights AsianInvestor EDHEC-Risk Institute Research Insights P&I EDHEC-Risk Institute Research for Institutional Money Management Books EDHEC-Risk Newsletter Events Events organised by EDHEC-Risk Institute EDHEC-Risk Smart Beta Day Amsterdam 2017, Amsterdam, 21 November, 2017 EDHEC-Risk Smart Beta Day North America 2017, New York, 6 December, 2017 Events involving EDHEC-Risk Institute's participation EDHEC-Risk Institute Presentation Research Programmes Research Chairs and Strategic and Private Research Projects Partnership International Advisory Board Team EDHEC-Risk News EDHEC-Risk Newsletter EDHEC-Risk Press Releases EDHEC-Risk in the Press Careers EDHEC Risk Institute-Asia EDHEC Business School EDHEC-Risk Executive Education EDHEC-Risk Advances in Asset Allocation Blended Learning Programme 2017-2018 Yale School of Management - EDHEC-Risk Institute Certificate in Risk and Investment Management Yale SOM-EDHEC-Risk Harvesting Risk Premia in Alternative Asset Classes and Investment Strategies Seminar, New Haven, 5-7 February, 2018 Investment Management Seminars Contact EDHEC-Risk Executive Education Contact Us ERI Scientific Beta EDHEC PhD in Finance
Indexes & Benchmarking EDHEC-Risk Smart Beta Day North America 2017 6 December, 2017 - New York, United States

In partnership with ERI Scientific Beta


Overview

The EDHEC-Risk Smart Beta Day is organized by an academic research center 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 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-Risk Smart Beta Day North America 2017 is organized by EDHEC-Risk Institute in partnership with ERI Scientific Beta.



Program

Morning Sessions (8:00am-1:00pm)

  • 8:00am-8:15am: Opening Address 
    Speaker: Marc Zieger, Business Development, ERI Scientific Beta North America

  • 8:15am-9:30am: Misconceptions and Misselling of Smart Beta; When the Policy Benchmark does not Respect the Investment Choices
    Chair: Syed Haque, Director of Public Markets, UPS
    Discussant: Kevin Zhu, Managing Director, Portfolio Construction, OPTrust
    Speakers: Noël Amenc, PhD, Professor of Finance, EDHEC Business School and CEO, 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?

  • 9:30am-10:45am: Cyclicity and Conditionality of the Performance of Factor Investing
    Chair: Erik Carleton, Director of Pension Investments, Textron Inc
    Speaker: Felix Goltz, PhD, Head of Applied Research, EDHEC-Risk Institute and Research Director, ERI Scientific Beta
    • The different forms of factor cyclicality and conditionality: beta and premia
    • How to improve the measurement of beta factors considering their variability
    • What are the economic regimes of the different factors?

    10:45am-11:15am: Morning Break

  • 11:15am-1:00pm: From Static to Dynamic Risk Allocation across Smart Factor Indexes
    Chair: Greg Behar, Head of Index Strategy, Legal & General Investment Management America
    Speaker: Eric Shirbini, PhD, Global Research and Investment Solutions Director, ERI Scientific Beta
    • Are factor-based tactical allocation approaches easy to implement?
    • Principles of a robust dynamic risk allocation
    • Reconciling diversification and factor intensity by a dynamic risk allocation approach
    • Case study: improving market conditionality through a dynamic leveraged beta one approach

    1:00pm-2:00pm: Lunch Break

Afternoon Sessions (2:00pm-4:45pm)

  • 2:00pm-3:15pm: Reconciling ESG Objectives and Multi-Factor Performances
    Speaker: Eric Shirbini, PhD, Global Research and Investment Solutions 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 exposure and ESG policy: the case for Scientific Beta ESG Multi-Beta Multi-Factor indexes 

  • 3:15pm-4.45pm: Factor Investing in Long/Short Strategies
    Chair: Mike Clark, Equities & Derivatives Managing Director, Société Générale Corporate & Investment Banking
    Discussant: David Veal, CIO, City of Austin Employees Retirement System
    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 
    • Improving factor spreads without sacrificing performance stability: the challenge of allocating between factors adapted to long/short strategies
    • How to ensure real market neutrality of long/short factor strategies
    • The importance of investability of long/short strategies in factor investing

    4:45pm-5:30pm: Cocktail
Full program



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/smartbetadayus2017.



Official Sponsors






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 program 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 favor 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 capitalization 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 indexes. As of December 31, 2016, the Scientific Beta indexes corresponded to USD 12.3bn in assets under replication. ERI Scientific Beta signed the United Nations-supported Principles for Responsible Investment (PRI) on September 27, 2016.
Event Details
  When   Between 06/12/2017 08:00 AM and 06/12/2017 05:30 PM
Where   The Princeton Club, 15 W 43rd St, New York, NY 10036, United States
 
Contact Details
  Name   Joanne Finlay
E-mail   joanne.finlay@edhec-risk.com
Phone   +33 493 187 837
 
Attachments
  Program