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EDHEC-Risk Executive Education

Yale School of Management – EDHEC-Risk Institute Equity Investment Seminar: Overview

March 5-6, 2014, New Haven, CT, United States / March 18-19, 2014, London, United Kingdom

In the face of recent crises, the question of the value added by both active and passive equity managers has been raised with heightened intensity. Academic and industry research has offered convincing empirical evidence that market-cap weighted indices exhibit poor risk-adjusted performance, while other studies have questioned the persistence of positive abnormal performance generated by active managers. The combination of these empirical and theoretical developments has significantly weakened the case for the current equity investment paradigm based on a combination of a passively managed core portfolio and one of several actively managed satellite portfolios. While a new paradigm known as smart beta equity investing has been proposed, the emergence of which blurs the traditional clear-cut split between active and passive equity portfolio management, a host of questions remain regarding the implications with respect to how the equity investment process should be executed by institutional investors and/or asset managers. In this context, this two-day seminar equips participants with both the technical and conceptual tools that will allow them to better understand the limits and benefits of traditional and alternative equity investing strategies.

Key Learning Objectives

  • 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.
  • Examine 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.
  • Study the limits of traditional equity indices; find out about the minimum-variance benchmark, equally-weighted benchmark, and other forms of benchmarks; evaluate 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 optimized portfolios, in particular, how to manage portfolio liquidity and turnover.
  • Investigate relative risk concerns when deviating from market-cap weights and explore approaches to manage model risk and peer group risk.
  • Get a comprehensive understanding of smart beta strategies: the motivation for these strategies, their risks, and how best to integrate them into.
  • Learn about how to use current models and empirical evidence about global capital markets to construct asset portfolios based on the principles of factor investing.
  • Discover the many dimensions of putting factor investing into practice through the case-study approach (The Norway Model).

Seminar Instructors

  • Raman Uppal, Professor of Finance, EDHEC Business School PhD Wharton School, University of Pennsylvania.

  • William N.Goetzmann, Edwin J. Beinecke Professor of Finance and Management Studies & Director of the International Center for Finance, Yale SOM, PhD Yale SOM.

Who Should Attend

The seminar is intended for senior officers, investment specialists and administrators working for buy- and sell-side institutions, and for consultants and key account representatives advising high net worth individuals and institutional investors.

Yale SOM–EDHEC-Risk Certificate in Risk and Investment Management

Participants in the seminar series can acquire the joint Yale School of Management – EDHEC-Risk Certificate in Risk and Investment Management.

For further information on the Yale SOM–EDHEC-Risk Certificate in Risk and Investment Management please refer to the certificate brochure.

Continuing Professional Education Credits

EDHEC-Risk Institute is registered with CFA Institute
as an Approved Provider of continuing education programs.

EDHEC-Risk Institute is registered with GARP
as an Approved Provider of continuing professional education credits for FRMs and ERPs.

Yale School of Management – EDHEC-Risk Institute Equity Investment Seminar: