New Frontiers in Equity Investing Seminar - Overview26-27 June, 2012 - Boston
An intensive two-day seminar providing participants with both the technical and conceptual tools to better understand the limits and benefits of traditional and alternative equity benchmarks, and discussing advanced methods for risk management and performance attribution for equity portfolios.
Asset management is the art and science of designing investment solutions that match investors’ needs. For more than 50 years, the industry has focused on delivering alpha through security selection as the main source of added-value, based on the assumption that market cap weighted indices were efficient portfolios. This sole focus, which did not fare well during recent market turbulences, has somewhat distracted the industry from another, more significant, source of added value: beta and risk management.
In the face of these recent crises, and given the intrinsic difficulty in alpha generation, the question of the value-added by both active and passive managers has been raised with heightened intensity. Academic and industry research has offered convincing empirical evidence that market-cap weighted indices exhibit a poor risk-adjusted performance, while other studies have questioned the validity of utilizing market cap as a proxy for a company size and economic influence. The combination of these empirical and theoretical developments has significantly weakened the case for market cap weighted indices, and a consensus is slowly but surely emerging regarding the inadequacy of market cap weighted indices as investment vehicles.
This fierce attack against cap weighted indices, which have been shown to be neither representative nor efficient, has however left investors with a void. While a number of alternative weighting schemes have been proposed, the emergence of which blurs the traditional clear-cut split between active versus passive equity portfolio management, a host of questions remain regarding which of these alternative weighting scheme should be used by investors.
Drawing on the expertise developed at the EDHEC-Risk Institute, the first part of the seminar will equip participants with both the technical and conceptual tools that will allow them to better understand the limits and benefits of traditional and alternative equity benchmarks. The second part of the seminar will discuss advanced methods for risk management and performance attribution for equity portfolios.
The event is presented in a highly accessible manner by instructors who combine academic expertise and industry experience.
The programme is intended for investment management professionals who are keen to improve their knowledge of the limits and benefits of traditional and alternative equity benchmarks.
- Frank Fabozzi, Professor of Finance at EDHEC Business School.
- Lionel Martellini, Professor of Finance at EDHEC Business School, Scientific Director of EDHEC-Risk Institute, and Scientific Advisor at EDHEC-Risk Indices & Benchmarks.
Key Learning Benefits:
The seminar will enable participants to:
- Understand the benefits and limits of alternative equity benchmarks
- Review the limitations of traditional indices
- Find out about minimum-variance, risk-parity, and other forms of benchmarks
- Discover statistical and fundamental weighting schemes
- Learn how to take account of liquidity, transaction costs and tracking error constraints
- Improve risk management for equity portfolios: from diversification to hedging and insurance
- Have a better understanding of the use of derivatives in equity portfolio management: risk management, returns management, cost management, and regulatory management
- Analyse performance attribution models of equity portfolios
CFA Institute Continuing Education Credits:
As a participant in the CFA Institute Approved-Provider Programme, EDHEC-Risk Institute has determined that this programme qualifies for 13 credit hours. If you are a CFA Institute member, continuing education credit for your participation in this programme will be automatically recorded in your CE Diary. Please see www.cfainstitute.org/ceprogram for more information.
New Frontiers in Equity Investing Seminar: