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Indexes & Benchmarking EDHEC-Risk Smart Beta Day Europe 2016 13 October, 2016 - Amsterdam, Netherlands

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.

Part I of the conference will focus on smart beta indexation and factor investing and will present and discuss the latest research results on the equality of value indices, factor investing and emerging markets, factor crowding as well as the robustness and live performance of smart beta.

Part II will focus on smart beta solutions and will present research of great interest to asset owners on defensive strategies and low carbon investing solutions.

EDHEC-Risk Smart Beta Day Europe 2016 is organised by EDHEC-Risk Institute in partnership with ERI Scientific Beta.



Programme

Morning Sessions (8:00am-1:00pm)
  • 8:00am-8:15am: Opening Address
Part I: Smart Beta Indexation and Factor Investing
  • 8:15am-9:10am: All Value Indices are not Created Equal
    Speaker: Felix Goltz, PhD, Head of Applied Research, EDHEC-Risk Institute and Research Director, ERI Scientific Beta
    Chair: Kim Pessala, CIO, Evli Fund Management Ltd
    • Why, in the last few years, have some value indices outperformed the market and others conversely strongly underperformed?
    • Long-term value risk premium versus short-term losses
    • Data mining risks in constructing indices
    • Purity versus diversification in the long-only investment framework

  • 9:10am-10:00am: Factor Investing and Emerging Markets
    Speaker: Eric Shirbini, PhD, Global Product Specialist, ERI Scientific Beta
    • What academic research substantiates factor investing in emerging markets?
    • The limits of factor investing in emerging markets and the consideration of macroeconomic risks
    • The sources of smart beta performance in emerging markets

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

  • 10:30am-11:30am: Is Factor Crowding a Real Issue for Smart Beta?
    Speaker: Felix Goltz, PhD, Head of Applied Research, EDHEC-Risk Institute and Research Director, ERI Scientific Beta
    Chair: Anika Goel, Vice President, Equity Derivatives Structurer, Morgan Stanley
    • What can be learnt from academic research on the development of risk premia factors?
    • How to evaluate factor crowding risk
    • What are the appropriate and inappropriate responses to factor crowding risk?

  • 11:30am-1:00pm: Does Smart Beta Deliver what it Promises? Robustness and Live Performance of Smart Beta
    Speaker: Eric Shirbini, PhD, Global Product Specialist, ERI Scientific Beta
    Chair: Bruno Taillardat, Head of Smart Beta, Amundi
    • What are the live performances of popular smart beta strategies?
    • How can these performances be analysed?
    • What tools can be used to measure the robustness of smart beta performances?
    • Are past performances representative of future performances?

    1:00pm-1:45pm: Lunch Break
Afternoon Sessions (1:45pm-5:30pm)

Part II: Smart Beta Solutions
  • 1:45pm-3:00pm: Defensive When Necessary?
    Speakers: Noël Amenc, PhD, Professor of Finance, EDHEC Business School and CEO, ERI Scientific Beta; Eric Shirbini, PhD, Global Product Specialist, ERI Scientific Beta
    Chair: Jordan Berger, MD, Strategic Relationships & Portfolio Intelligence, OPTrust
    • Beyond low volatility and minimum volatility strategies, reconciling multi-factor diversification and defensive solutions
    • Smart beta defensive strategies: benefits and constraints of traditional approaches
    • How to build defensive strategies which are not just low volatility or low beta
    • Conditional performance properties of multi smart factor dynamic allocation relative to reduced target volatility

    3:00pm-3:30pm: Afternoon Break

  • 3:30pm-4:30pm: Smart Beta and Low Carbon Investing
    Speaker: Erik Christiansen, Senior Business Development Director Europe, ERI Scientific Beta
    Chair: Mickael Johansson, Portfolio Manager, AP4
    • Beta versus alpha strategies for low carbon investing
    • Is there a low carbon factor?
    • Reconciling factor investing and low carbon constraint

  • 4:30pm-5:30pm: Round Table: Implementation of Smart Beta Strategies: Investors' Experience
    Moderator: Daniel Ben-Ami, Deputy Editor, IPE
    Panellists:
    Jordan Berger, MD, Strategic Relationships & Portfolio Intelligence, OPTrust
    Preben Bertelsen, Senior Portfolio Manager, Danske Capital
    Renato Zaffuto, Head of Equity, Fideuram


    5:30pm-6:30pm: Cocktail

Full programme
Consult the list of confirmed speakers.



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/smartbetadaynl2016.



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 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 May, 2016, assets replicating the Scientific Beta indices reached 10.3 billion USD.
Event Details
  When   Between 13/10/2016 07:30 AM and 13/10/2016 06:30 PM
Where   The Intercontinental Amstel, Professor Tulpplein 1, Amsterdam 1018 GX, The Netherlands
 
Contact Details
  Name   Joanne Finlay
E-mail   joanne.finlay@edhec-risk.com
Phone   +33 493 187 837
 
Attachments
  Programme