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Découvrez le programme 2023 des "Scientific Beta Days Europe"

14 et 15 novembre 2023 (Amsterdam) - "Robust Innovations in Passive Investing"

Deux chercheurs de l'EDHEC interviendront à cette conférence : Frédéric Ducoulombier (EDHEC-Risk Climate) et Riccardo Rebonato (EDHEC, EDHEC-Risk Climate).

Temps de lecture :
30 oct 2023
Scientific Beta Days Europe 2023

La conférence Scientific Beta Days Europe 2023, intitulée "Robust Innovations in Passive Investing", a pour thème fédérateur l'innovation dans les stratégies d'investissement passif à partir des fondamentaux formant la robustesse des propositions de valeur. Elle est organisée par Scientific Beta dans le cadre de l'EDHEC Business School.

 

Informations pratiques

Cet événement se déroule au Barbizon Palace, Amsterdam les 14 et 15 novembre 2023.

Il est réservé aux Asset owners* et aux consultants institutionnels, sur invitation. La participation est valable uniquement sur confirmation des organisateurs afin d'assurer une diversité parmi les personnes présentes.

*Asset owners include: pension schemes, charities, endowments, foundations, insurance companies, single family offices and financial executives from nonfinancial companies.

Pour toute question, merci d'écrire à [email protected]

 

As the entire conference will be held in English, the programme is detailed only in this language.

Programme

 

14 November - The Fundamentals of Factor Investing Innovation

The objective of this first day is to allow participants to be able to analyse the limitations and challenges of constructing factor strategies. It will not only involve evaluating the usefulness of recent innovations in the area of factor investing but will also provide new avenues for constructing efficient and robust strategies.

 

(10 am - 11.40 am) The Importance of Robustness in Factor Choice and Construction

  • Fake factors are everywhere
  • The limitations of in-sample factor optimisation: the case of multicriteria factor construction

 

(12 pm - 4 pm) Revisiting Diversification

  • Beyond the diversification of idiosyncratic risk
  • How to reconcile diversification and maintain strong factor intensity: the case of sector neutrality
  • Climate transition risk in multi-factor portfolios

 

(4.30 pm - 5.30 pm) Roundtable: Future Trends for Quant investing

 

15 November - Being Serious with Sustainable Investing

This day will provide a genuinely critical state of the art of the data, concepts, and techniques in the area of sustainable investing. It will also outline the prospects for better evaluation of the financial consequences of climate change.

 

(9 am - 10.40 am) Take a Small Step Back on the Performance of ESG

  • The false alphas of the research into the performance of ESG
  • Sustainability alpha in the real world: evidence from exchange-traded funds

 

(11 am - 3 pm) What data to Construct Sustainable Investment Strategies?

  • Does climate data meet the challenge of the climate transition?

> Limitations of the climate performance indicators promoted by the regulator

> What value to attribute to climate alignment data

> What are the expected innovations in the area of climate impact data?

Q&A session with audience

Chair: Rasmus Bessing, Managing Director, COO, PFA

Speaker: Frédéric Ducoulombier, Director, EDHEC-Risk Climate Impact Institute

Panelists: Julien Grolee, Programme Manager, IIGCC - Dr. Bernd Spendig, Head of ESG - Client Risk Management, HypoVereinsbank, Unicredit - Jakob Thomä, Co-Founder & Research Director, Theia Finance Labs

  • Can we trust ESG scores to construct portfolios?
  • Must we choose between ESG and climate objectives?

 

(3.30 pm - 5 pm) The Challenges in Measuring Climate Risk

  • Beyond climate risk scenarios

> What is the state of the art in climate risk modelling?

> What are the limitations of the climate scenarios used in calculating extreme climate risks?
> How to take account of uncertainty in the economic climate calculation?
> Initial results of the EDHEC-Risk Climate Impact Institute research on evaluating the impact of climate change on asset prices

Q&A session with audience

Chair: Frédéric Ducoulombier, Director, EDHEC-Risk Climate Impact Institute

Speaker: Riccardo Rebonato, EDHEC Professor, Scientific Director EDHEC-Risk Climate Impact Institute

 

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