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EDHEC-Risk Executive Education
Executive Education - December 12, 2011

Advances in Equity Portfolio Construction Seminar - Overview

19-20 April, 2012 - London

A seminar providing the technical and conceptual tools to better understand the limits and benefits of different portfolio construction approaches, and discussing portfolio construction strategies applied in equity portfolio management and alternative indexing strategies.

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 times of 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 generating alpha, 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 neither traditional active management based on security selection and market timing nor purely passive management based on market-cap-weighted indices provide investors with efficient risk/reward tradeoffs. The combination of these empirical and theoretical developments has however left investors with a void. While an increasing number of advanced portfolio construction techniques have been proposed by academic research and applied in practice, a host of questions remain regarding how investors can construct portfolios that are both based on sound theoretical and statistical principles and able to address the numerous constraints of the practical portfolio management environment, such as implementation hurdles and peer-group comparisons.

Drawing on the expertise developed at the EDHEC-Risk Institute, the first part of the seminar equips participants with both the technical and conceptual tools that will allow them to better understand the limits and benefits of different portfolio construction approaches. The second part of the seminar discusses portfolio construction strategies applied in equity portfolio management and alternative indexing strategies.

The programme is intended for investment management professionals who advise on or participate in the design and implementation of portfolio construction models, and for sell-side practitioners who develop new portfolio construction solutions for investors. The seminar will also be insightful for investment professionals who analyse or decide on the adoption of appropriate model portfolios or benchmarks for equity investments or who are interested in customising their strategic equity benchmark.

Seminar Instructors:

  • Felix Goltz, Head of Applied Research, EDHEC-Risk Institute
  • Raman Uppal, Professor of Finance, EDHEC Business School

Key Learning Benefits:

The seminar will enable participants to:

  • Understand the limits of various portfolio construction tools; find out about the dangers of naively optimised portfolios and the benefits of robust optimisation.

  • Review the state of the art in estimating risk parameters; discover how to achieve robustness of risk parameter estimates, and how to capture the dynamics of risk parameters.

  • Review the challenges in estimating expected return parameters and learn about new approaches for estimating expected returns using parametric portfolios, risk-based estimation, and estimates implied from option prices.

  • Review the limits of traditional equity indices; find out about the minimum-variance benchmark, equally-weighted benchmark, and other forms of benchmarks; discover the objectives and assumptions underlying alternative indices and learn about model selection and hidden risks entailed in the choice of a particular benchmark.

  • Discover how to address the challenges in implementing with optimised portfolios, in particular, how to manage portfolio liquidity and turnover.

  • Find out about relative risk concerns when deviating from market-cap weights and discover approaches to manage model risk and peer-group risk.

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.

Advances in Equity Portfolio Construction Seminar: