Being Serious with Sustainable Investing: Scientific Beta Days Europe 2023
Presentation
Scientific Beta Days Europe will be taking place at the Barbizon Palace in Amsterdam on 14 & 15 November 2023. The conference will take place in-person and will present the latest research by Scientific Beta on smart beta and factor investing, climate strategy design and implementation, robustness, ESG investing, dynamic defensive solutions, value investing and more.
On day one, researchers from Scientific Beta along with panels of industry experts will focus on 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.
Day two will be dedicated to 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.
What Data to Construct Sustainable Investment Strategies?:
The development of regulatory requirements in the area of sustainability reporting and the development of climate-aligned benchmarks, added to the constant desire of ESG and climate solutions providers to innovate, raises the issue of the quality and relevance of the data used to build these reports and strategies.
On November 15, at 11:00am CET, Frédéric Ducoulombier, Director, EDHEC-Risk Climate Impact Institute will be speaking on the topic "Does Climate Data Meet the Challenge of the Climate Transition?".
Organisations identify a lack of access to robust data as the number one hurdle preventing (further) integration of ESG dimensions into financial decision-making. While climate change is now considered doubly material, investors face data challenges pertaining to limited availability – in particular of forward-looking information – and quality issues related to data materiality, accuracy, reliability, and comparability. In this session, academic and industry experts will describe the data demands placed upon investors by the net-zero agenda, discuss the dos and don’ts of data usage, shed light on issues of fitness for purpose of data and metrics advanced by regulators and standard setters, and discuss how forthcoming regulatory changes and technological innovations may change the transition data landscape for the better.
His presentation will examine the following topics:
- 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?
The session will be chaired by Rasmus Bessing, Managing Director, COO, PFA. Panelists will involve Dr. Bernd Spendig, Head of ESG - Client Risk Management, HypoVereinsbank - Unicredit and Jakob Thomä, Co-Founder & Research Director, Theia Finance Labs.
The Challenges in Measuring Climate Risk:
The uncertainties associated with climate change are unprecedented. Precisely because statistical analysis based on past historical data has obvious shortcomings, models must play a unique role. To provide useful guidance to our understanding and actions, models must reflect both our degree of ignorance, and what we do know about the interaction between the physics and the economics of the problem. We use state-of-the-art modelling (such as recursive utility functions and Dynamic Bayesian Nets) to explore both optimal policies, and what the impact on asset prices will be under sub-optimal policies. In particular, we can associate probabilities to climate scenarios (something currently missing), offer insight about the climate risk premium, and estimate which climate outcomes current asset prices seem to reflect.
On November 15, at 3:30pm CET, Riccardo Rebonato, Scientific Director, EDHEC-Risk Climate Impact Institute will be speaking on the topic "Beyond Climate Risk Scenarios".
His presentation will examine the following topics:
- 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
The session will be chaired by Frédéric Ducoulombier, Director, EDHEC-Risk Climate Impact Institute.
Further information on the conference can be found on the Scientific Beta website.
