Scientific Beta Day Europe: discover the programme of the 2022 edition

The annual conference is organised by Scientific Beta within the framework of EDHEC Business School, as part of its policy of transferring know-how to the industry.

The 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.

Themes adressed by this conference

• Navigating the Factor Menu: Differentiate between Pricing and Priced Factors
• 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
• Net-Zero Alignment and Fossil-Free Investments

Practical Information

Conference reserved for asset owners and institutional consultants upon receipt of an invitation. Admission is only valid when confirmed by the organisers, who reserve the right to refuse any registrationrequest in order to preserve the diversity of the audience. Asset owners include: pension schemes, charities, endowments, foundations, insurance companies, single family offices and financial executives from non financial companies.

Date: December 9, 2022

Venues: Hyatt Regency - Sarphatistraat 104, 1018 GV Amsterdam

Registration: https://web-eur.cvent.com/event/fabd5d1c-21fe-48e2-b5bf-21dd58b69479/summary

Information: [email protected]

Programme of the event

07:30-08:15 Registrations, Morning Tea and Coffee

08:15-8:30 Opening Address

• Kin Yee Ng, CEO, Scientific Beta

08:30-09:30 Plenary session - Navigating the Factor Menu: Differentiate between Pricing and Priced Factors

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?

Q&A session with audience

• Chair: Allan Japhetson, Head of Investment Strategy, ATP
• Speaker: Felix Goltz, PhD, Research Director, Scientific Beta

09:30-10:30 Plenary session - Macro-Factor Tilted Benchmark

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.

Q&A session with audience

• Chair: Lorraine Sereyjol-Garros, Global Head of ETF & Index Sales Team, BNP Paribas Asset Management
• Speaker: Giovanni Bruno, PhD, Senior Quantitative Research Analyst, Scientific Beta

10:30-11:00 Break

11:00-12:00 Plenary session - Case Studies: Managing Macro Risks in Equity Portfolios

Macro indices: characteristics & design. Case studies: Liability-Driven Investment / Multi-Asset Portfolio.

Q&A session with audience

• Chair: Judy Hung, Senior Portfolio Manager, PGB
• Speaker: Dimitris Korovilas, PhD, Investment Product Specialist, Scientific Beta

12:00-13:00 Lunch

13:00-14:00 Plenary session - Assessing Greenwashing in Portfolio and Benchmark Construction

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.

Q&A session with audience

• Chair: Jaap van Dam, Principal Director, Investment Strategy, PGGM
• Speaker: Felix Goltz, PhD, Research Director, Scientific Beta

14:00-15:00 Plenary session - Should Oil and Gas be Excluded from Climate-Friendly Portfolios?

Fossil fuels in Net Zero trajectories: all fossil fuels were not created equal. Why, what and when to divest? The pitfalls of fossil fuels divestment: illustration with the Paris Aligned Benchmark regulation.

Q&A session with audience

• Chair: Gregoire Haenni, CIO, CPEG
• Speaker: Erik Christiansen, ESG and Low Carbon Investment Specialist, Scientific Beta

Panel Discussion:

• Olivier Rousseau, Executive Director, FRR
• Mark Campanale, Founder & CEO, Carbon Tracker Initiative

15:00-15:15 Break

15:15-16:15 Plenary session - How to Integrate the Net-Zero Framework Recommendations into Portfolio Construction

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.

Q&A session with audience

• Chair: Rasmus Bessing, Chief Operating Officer, PFA
• Speaker: Erik Christiansen, ESG