[Home]     [Partners]     [EDHEC-Risk Institute]



EDHEC-Risk Days Europe 2012 conference brochure
[View conference programme]

Day 1: Indexation and Passive Investment Conference

Morning Plenary Session
_________________________________________________________________________________________

08:00
Opening Address

Speakers

Noël Amenc, Director, EDHEC-Risk Institute, and Professor of Finance, EDHEC Business School

Tomas Franzén, Chief Investment Strategist, AP2, and Chairman of the International Advisory Board, EDHEC-Risk Institute

Related
document

pdf


EDHEC-Risk Institute Corporate Brochure

Related
link
EDHEC-Risk Institute Corporate Film

Roundtable
_________________________________________________________________________________________

08:15
Roundtable: Governance and Transparency of Indices

The development of more sophisticated forms of indices and notably strategy indices raises questions in terms of understanding regulation, the accuracy of track records and more globally the transparency and governance of indices, which are essential components of the investment process and its inherent risks.

Introductory presentation:

• What level of transparency and accuracy do investors expect?
• Presentation of a study carried out by EDHEC-Risk Institute

Moderator
Amy Resnick, Executive Editor, Pensions & Investments
Speakers

Noël Amenc, Director, EDHEC-Risk Institute, and Professor of Finance, EDHEC Business School

Frédéric Ducoulombier, Director, EDHEC Risk Institute—Asia, and Professor of Finance EDHEC Business School

Panellists

John T. Grier, Director of Internal Equity, Virginia Retirement System

Rick Redding, Executive Director, Index Industry Association

Brian Reid, Chief Economist, Investment Company Institute

Kurt Schacht, Managing Director, Standards and Financial Market Integrity Division, CFA Institute

Tom Selman, Executive Vice-President, Regulatory Policy, FINRA

Presentation

pdf

Governance and Transparency of Indices

Related
research
papers
and
documents

pdf

EDHEC-Risk Institute Contribution to ESMA; Noël Amenc, Frédéric Ducoulombier; February 2013

Index Transparency – A European Perspective: Regulatory Developments and Investor Requirements; Frédéric Ducoulombier; Journal of Indexes Europe; May/June 2013

Comments from EDHEC-Risk Institute on the IOSCO Consultation Report CR05/12 concerning the principles for the regulation of Exchange Traded Funds; Noël Amenc, Frédéric Ducoulombier; June 2012

Comments by EDHEC-Risk Institute on the IOSCO Consultation Report concerning Financial Benchmarks (CR01/13); Noël Amenc, Frédéric Ducoulombier; February 2013

Morning Plenary Session
_________________________________________________________________________________________

10:30
The Development of Passive Investment in North America, Asia & Europe

• How are the new forms of indices perceived by institutional investors?
• What are the consequences, in terms of asset allocation, of the multiplication of new forms of beta?
• What is the role of smart beta indices in this search for new benchmarks?
• Presentation of the results of EDHEC-Risk Index Surveys in North America, Asia & Europe

Chair
Andrew C. Palmer, Deputy Chief Investment Officer, Director of Fixed Income, State of Tennessee Treasury Department, Investment Division
Speaker

Felix Goltz, Head of Applied Research, EDHEC-Risk Institute, and Research Director, ERI Scientific Beta

Discussants

Rodney Comegys, Principal, Equity Investment Group, Vanguard

Harsh Parikh, Portfolio Manager & Strategist, BNY Mellon Asset Management

Presentation

pdf

The Development of Passive Investment in North America, Asia & Europe

Related
research
papers

pdf

EDHEC-Risk North American Index Survey 2011; Noël Amenc, Felix Goltz, Lin Tang, Vijay Vaidyanathan; April 2012

EDHEC-Risk European Index Survey 2011; Noël Amenc, Felix Goltz, Lin Tang; October 2011

Reactions to the EDHEC-Risk European Index Survey 2011; Noël Amenc, Felix Goltz, Lin Tang; EDHEC-Risk Institute Research Insights, Investment & Pensions Europe (IPE); Autumn 2012

Indices in Institutional Investment Management: Results of a European Survey; Noël Amenc, Felix Goltz, Lin Tang; EDHEC-Risk Institute Research Insights, Investment & Pensions Europe (IPE); Spring 2011

EDHEC-Risk Asian Index Survey 2011; Noël Amenc, Felix Goltz, Masayoshi Mukai, Padmanaban Narasimhan, Lin Tang; May 2012

Key Results of the EDHEC-Risk Asian Index Survey; Noël Amenc, Felix Goltz, Masayoshi Mukai, Padmanaban Narasimhan, Lin Tang; EDHEC-Risk Institute Research Insights, Investment & Pensions Europe (IPE); Winter 2013

EDHEC European ETF Survey 2012; Noël Amenc, Felix Goltz, Nicolas Gonzalez, Nikhil Shah, Eric Shirbini, Nikolaos Tessaromatis; February 2013

Morning Stream Sessions
_________________________________________________________________________________________

11:45
Choose your Smart Beta: How to Appreciate the Performance and Risks of New Forms of Equity Benchmarks

• Explicit choice of exposure to risks, and risks produced by the index construction method
• Systematic risk, model risk: Risk control in new forms of indices
• Diversifying the risks of new indices

Chair
Tomas Franzén, Chief Investment Strategist, AP2, Chief Investment Strategist, and Chairman of the International Advisory Board, EDHEC-Risk Institute
Speakers

Noël Amenc, Director, EDHEC-Risk Institute, and Professor of Finance, EDHEC Business School

Felix Goltz, Head of Applied Research, EDHEC-Risk Institute, and Research Director, ERI Scientific Beta

Discussants

Lynn Blake, Executive Vice President, State Street Global Advisors (SSgA) and CIO, Global Equity Beta Solutions

Syed Haque, Portfolio Manager - Global Equities, UPS Investments Group

Presentation

pdf

Choose your Smart Beta: How to Appreciate the Performance and Risks of New Forms of Equity Benchmarks

Related
research
papers

pdf

Choose Your Betas: Benchmarking Alternative Equity Index Strategies; Noël Amenc, Felix Goltz, Ashish Lodh; The Journal of Portfolio Management; Fall 2012

Diversifying the Diversifiers and Tracking the Tracking Error; Noël Amenc, Felix Goltz, Ashish Lodh, Lionel Martellini; The Journal of Portfolio Management; Spring 2012

11:45
PhD Forum — Constructing an Observable Regime Indicator for Asset Allocation

• An observable regime-based Business Cycle indicator extracted from multi-frequency economic data
• Comparative analysis of asset class characteristics under the observable regimes
• Implications of these observable regimes on asset allocation strategies

Chair

Frank Fabozzi, Professor of Finance, EDHEC Business School

René Garcia, Dean of Graduate Studies, EDHEC Business School, and Academic Director, PhD in Finance, EDHEC-Risk Institute

Speaker

Douglas Chau, EDHEC-Risk Institute PhD in Finance Candidate

Presentation

pdf

Constructing an Observable Regime Indicator for Asset Allocation

Related
link

EDHEC-Risk Institute PhD in Finance Presentation Film

Afternoon Workshops
_________________________________________________________________________________________

13:45
Creating Robust Portfolios by Dynamically Weighting Multiple Smart Beta Strategies

Organised by: Optimal Asset Management

• “Tactical Weighting Allocation” (TWA) to incorporate different market regimes in an alternatively-weighted equity    portfolio
• Discussion of key regime parameters (volatility, momentum)
• Using Dynamic Risk Bugeting to implement and optimize Drawdown control


Speaker

Vijay Vaidyanathan, CEO, Optimal Asset Management, and Research Associate, EDHEC-Risk Institute

Presentation

pdf

Creating Robust Portfolios by Dynamically Weighting Multiple Smart Beta Strategies

13:45
Smart Beta 2.0

Organised by: ERI Scientific Beta

• Understanding and controlling the risks associated with smart beta: the Smart Beta 2.0 approach
• Diversifying investment risk in smart beta
• Substitution versus complementarity in cap-weighted indices; plain vanilla index or custom benchmark: where   does smart beta belong in the investment process?


Chair

Felix Goltz, Head of Applied Research, EDHEC-Risk Institute, and Research Director, ERI Scientific Beta

Speaker

Eric Shirbini, Business Development Director Europe, ERI Scientific Beta

Discussants

Sara Shores, Director, Index Strategy, BlackRock

Paul Bouchey, Managing Director, Parametric Portfolio Associates

Presentation

pdf

Smart Beta 2.0

Related
research
paper

pdf

Choose Your Betas: Benchmarking Alternative Equity Index Strategies; Noël Amenc, Felix Goltz, Ashish Lodh; The Journal of Portfolio Management; Fall 2012

Smart Beta 2.0; Noël Amenc, Felix Goltz, Lionel Martellini; June 2013

Overview of Diversification Strategy Indices; Nicolas Gonzalez, Antoine Thabault; ERI Scientific Beta publication; October 2013

Related
document

pdf

ERI Scientific Beta Corporate Brochure

Related
link
ERI Scientific Beta Corporate Film

Afternoon Stream Sessions
_________________________________________________________________________________________

15:15
What are the New Methods of Investing Passively in Commodities?

• The fundamentals of backwardation and contango
• Moving from first to second generation commodity indices: The importance of liquidity
• Long-short third generation commodity indices

Chair

Candice Graham, Director, Commodity Products, CME Group

Speaker

Joëlle Miffre, Professor of Finance, EDHEC Business School

Presentation

pdf

What are the New Methods of Investing Passively in Commodities?

Related
research
paper

pdf

Long-Short Commodity Investing: Implications for Portfolio Risk and Market Regulation; Joëlle Miffre; August 2011

15:15
PhD Forum — Pricing Real Options in the Oil & Gas Value Chain

• Valuing equipment flexibility along the value chain using real options to help optimal investment decisions
• A pricing model including stochastic volatility and jumps
• A Bayesian estimation procedure for the pricing model

Chair

Frank Fabozzi, Professor of Finance, EDHEC Business School

René Garcia, Dean of Graduate Studies, EDHEC Business School, and Academic Director, PhD in Finance, EDHEC-Risk Institute

Speaker

Claudio Galimberti, EDHEC-Risk Institute PhD in Finance Candidate

Presentation

pdf

Pricing Real Options in the Oil & Gas Value Chain

Related
link

EDHEC-Risk Institute PhD in Finance Presentation Film

15:15
Investing in Low Volatility Strategies

• Conditionality versus anomaly: What is the rationale for investing in low volatility strategies?
• Low volatility, minimum volatility, low beta: What is the best defensive investment strategy for stocks?
• What state-of-the-art for low volatility portfolio construction?

Chair

Tom Goodwin, Senior Research Director, Russell Indexes

Speaker

Lionel Martellini, Scientific Director, EDHEC-Risk Institute, and Professor of Finance, EDHEC Business School

Presentation

pdf

Investing in Low Volatility Strategies

Related
research
papers

pdf

Understanding the Low Volatility Anomaly; Lionel Martellini; EDHEC-Risk Institute Research Insights, Investment & Pensions Europe (IPE); Spring 2013

Advantages and Shortcomings of Minimum Variance Portfolios; EDHEC-Risk Institute Research Insights, Investment & Pensions Europe (IPE); Summer 2011

Afternoon Plenary Session
_________________________________________________________________________________________

16:45
From Asset Allocation to Risk Reporting

• The limits of traditional concentration measurements and portfolio diversification
• Improved techniques for measuring diversification using risk contribution approach
• How to measure and report the portfolio exposure to uncorrelated factors

Chair
Joe Saliba, Deputy Chief Executive Officer, CACEIS
Speaker

Lionel Martellini, Professor of Finance, EDHEC Business School, and Scientific Director, EDHEC-Risk Institute

Presentation

pdf

From Asset Allocation to Risk Reporting

Global Institutional Investment Conference

Morning Plenary Sessions
_________________________________________________________________________________________

08:00
Reconciling Long-Term Optimal Investing Strategies with Short-Term Funding Risk Constraints

• Using insurance and not hedging to optimally manage short-term constraints
• Benefitting from mean-reversion in equity returns
• Reducing the opportunity costs of short-term constraints

Chair
William De Vijlder, Chief Investment Officer, Strategy & Partners, BNP Paribas Investment Partners
Speaker
Lionel Martellini, Scientific Director, EDHEC-Risk Institute, and Professor of Finance, EDHEC Business School

Panellists

Emily Berger, Director, Investments Office, The Rockefeller Foundation

Russell Hiscock, CEO, Investment Division, CN Investment Division

Geoffrey Rubin, Vice President and Head of Portfolio Management, Canada Pension Plan Investment Board

Brett Sumsion, Managing Director-Asset Allocation & Defined Contribution, E.I. DuPont de Nemours & Company

Presentation

pdf

Reconciling Long-Term Optimal Investing Strategies with Short-Term Funding Risk Constraints

Related
research
papers

pdf

Hedging versus Insurance: Long Horizon Investing with Short-Term Constraints; Romain Deguest, Lionel Martellini, Vincent Milhau; February 2013

Dynamic Investment Strategies for Corporate Pension Funds in the Presence of Sponsor Risk
; Lionel Martellini, Vincent Milhau, Andrea Tarelli; February 2012

10:15
From Asset Allocation to Risk Allocation

• From asset allocation to risk allocation: Beyond risk parity and equal risk contribution
• Measuring the effective number of bets
• Managing diversification to risk factors

Chair
Jim Maher, Chief Risk Officer, Platinum Underwriters Re
Speaker

Attilio Meucci, Research Associate, EDHEC-Risk Institute, and Chief Risk Officer, Director of Portfolio Construction, Kepos Capital LP

Discussant
David Goerz, Executive Vice President, Investment Strategy & Risk Management, Alberta Investment Management Corp

Presentation

pdf

From Asset Allocation to Risk Allocation

Related
research
paper

pdf

Risk Parity and Beyond - From Asset Allocation to Risk Allocation Decisions; Romain Deguest, Lionel Martellini, Attilio Meucci; August 2013

Morning Workshops
_________________________________________________________________________________________

11:45
Smart Beta Diversification

Organised by: ERI Scientific Beta

• The benefits of smart beta diversification
• The case for smart beta multi-strategy indices
Risk factor investing and smart beta multi-strategy indices

Chair

Felix Goltz, Head of Applied Research, EDHEC-Risk Institute, and Research Director, ERI Scientific Beta

Speakers

Eric Shirbini, Business Development Director Europe, ERI Scientific Beta

Marc Zieger, Business Development, Sales Manager North America, ERI Scientific Beta

Presentation

pdf

Smart Beta Diversification

Transcript of the Question & Answer Session

Related
research
papers

pdf

Overview of Diversification Strategy Indices; Nicolas Gonzalez, Antoine Thabault; ERI Scientific Beta publication; October 2013

Scientific Beta Diversified Multi-Strategy Index; Saad Badaoui, Ashish Lodh; ERI Scientific Beta publication; October 2013

Related
document

pdf

ERI Scientific Beta Corporate Brochure

Related
link
ERI Scientific Beta Corporate Film

11:45
Volatility Harvesting: Why Does Diversifying and Rebalancing Create Portfolio Growth?

Organised by: Parametric

• Reducing portfolio concentration improves the long-term growth of the portfolio
• Systematic rebalancing creates short-term opportunities to buy low and sell high
• This presentation will highlight realistic examples of how these theories can be applied to constructing an   alternative beta portfolio

Speaker

Paul Bouchey, Managing Director, Parametric Portfolio Associates

Presentation

pdf

Volatility Harvesting: Why Does Diversifying and Rebalancing Create Portfolio Growth?

11:45
Extracting Alpha from Hedge Funds: Value Beyond Performance

Organised by: Lyxor Asset Management

• Hedge funds are an exceptional source of intellectual capital
• Investors often struggle to systematically exploit this intellectual capital
• By creating a defined process, institutional investors can incorporate this resource within their broad multi-asset   class portfolios as well as their various hedge-fund strategic allocations
• We will discuss a client-tested approach to help institutional investors extract alpha from their hedge fund   investments beyond fund performance

Speaker

Fabien Pavlowsky, Director - Hedge Fund Research, Lyxor Asset Management Inc.

Presentation

pdf

Extracting Alpha from Hedge Funds: Value Beyond Performance

Afternoon Stream Sessions
_________________________________________________________________________________________

13:45
Towards an Infrastructure Equity Beta?

• Understanding the nature of infrastructure investment
• Is there an infrastructure ‘beta’?
• Measuring investment risk
• Investment management considerations

Chair
Thierry Déau, Chief Executive Officer, and Founder, Meridiam
Speaker

Frédéric Blanc-Brude, Research Director, EDHEC Risk Institute—Asia

Presentation

pdf

Towards an Infrastructure Equity Beta?

Related
research
paper

pdf

Towards Efficient Benchmarks of Infrastructure Equity Investments; Frédéric Blanc-Brude; January 2013

13:45
The Convergence Between Long-Only Investment and Hedge Funds

• What hedge fund techniques can be transposed into the long only world?
• Comparing the performance of UCITS and non-UCITS hedge funds
• Measuring the level of convergence between long-only funds and hedge funds

Chair
Scott Richter, Origination and Structuring, Newedge
Speaker

Robert Kosowski, Affiliate Professor of Finance, EDHEC-Risk Institute

Discussant

Bill McBride, Executive Vice-President, Account Management, Markov Processes International (MPI)

Presentations

pdf

The Convergence Between Long-Only Investment and Hedge Funds, Robert Kosowski

Markov Processes International (MPI), Bill McBride

Related
research
paper

pdf

An Analysis of the Convergence between Mainstream and Alternative Asset Management; Juha Joenväärä, Robert Kosowski; February 2013

13:45
EDHEC-Risk Institute PhD in Finance Information Session

Speakers

Frédéric Ducoulombier, Director, EDHEC Risk Institute—Asia, and Professor of Finance, EDHEC Business School

René Garcia, Dean of Graduate Studies, EDHEC Business School, and Academic Director, PhD in Finance, EDHEC-Risk Institute

Presentation

pdf

EDHEC-Risk Institute PhD in Finance Information Session

Related
document

pdf

EDHEC-Risk Institute PhD in Finance Brochure

Related
link

EDHEC-Risk Institute PhD in Finance Presentation Film

15:30
Clarifying the Impact of Speculators and Financial Investors on Commodity Markets

• Should speculators have a minority role in commodity futures markets?
• The difficulty of ascribing causality during commodity price spikes
• Commodity futures trading in a “Risk ON / Risk OFF” environment

Speaker

Hilary Till, Principal, Premia Capital, and Research Associate, EDHEC-Risk Institute

Discussant

Suzanne Bishopric, Director, Investment Management Division, United Nations Joint Staff Pension and Member of the International Advisory Board, EDHEC-Risk Institute

Presentation

pdf

Clarifying the Impact of Speculators and Financial Investors on Commodity Markets

Related
research
paper

pdf

“Who Sank the Boat?” Response to the Finance Watch Paper “Investing Not Betting”; Hilary Till; June 2012

15:30
Fixed-Income Return Attribution Analysis

• The important role played by performance attribution in the management of fixed income portfolios
• Methodologies used for fixed income performance attribution analysis
• Practical considerations in the implementation of performance attribution analysis
• Dealing with multi-currency portfolios, derivatives and leverage

Chair
Nikolaos Tessaromatis, Professor of Finance, EDHEC Business School
Speaker

Frank Fabozzi, Professor of Finance, EDHEC Business School

Discussant

Benjamin L. Cotton, Managing Director, Fixed Income Investments, UAW Retiree Medical Benefits Trust

Presentation

pdf

Fixed-Income Return Attribution Analysis

15:30
Infrastructure Debt: Who is Afraid of Construction Risk?

• The systematic drivers of credit spreads
• Measuring credit risk in project finance
• Portfolio construction implications
• Regulatory implications

Chair

Benjamin Sirgue, Global Head of Aircraft, Export & Infrastructure Finance Structured & Asset Finance, Natixis

Speaker

Frédéric Blanc-Brude, Research Director, EDHEC Risk Institute—Asia

Presentation

pdf

Infrastructure Debt: Who is Afraid of Construction Risk?

Related
research
paper

pdf

Who is Afraid of Construction Risk?, Frédéric Blanc-Brude; July 2013

Afternoon Plenary Session
_________________________________________________________________________________________

16:15
Hedging Long-Term Inflation-Linked Liabilities without Inflation-Linked Instruments

• Inflation risk versus liability risk: Measuring the true impact of inflation risk within liability risk
• Expected inflation risk versus realised inflation risk
• Diversifying versus hedging expected inflation risk in nominal bond portfolios

Chair
Deborah Ng, Portfolio Manager, OTPP
Speaker

Lionel Martellini, Professor of Finance, EDHEC Business School, and Scientific Director, EDHEC-Risk Institute

Presentations

pdf

Hedging Long-Term Inflation-Linked Liabilities without Inflation-Linked Instruments, Lionel Martellini

Managing a Mature and Maturing Pension Plan: “How Teachers’ Thinks about LDI”, Deborah Ng

Related
research
paper

pdf

An Empirical Analysis of the Benefits of Inflation-Linked Bonds, Real Estate and Commodities for Long-Term Investors with Inflation-Linked Liabilities, Lionel Martellini, Vincent Milhau; January 2013

© 2013 EDHEC-Risk Institute