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Executive Education - March 22, 2016

Insight from 3 world-class thought leaders on Harvesting Risk Premia in Equity and Bond Markets seminar, in partnership with Yale School of Management

Raman Uppal,
EDHEC Business School
Will Goetzmann,
Yale School of Management
Dominic O'Kane,
EDHEC Business School

Investment portfolios are based on the idea that risk must be taken in order to increase expected returns. However, there are intelligent ways to take risk. Participants will 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, with a particular focus on equity and bond markets. The seminar introduces the historical evidence for the existence of “smart beta” portfolios based on equity and fixed-income factors in global markets. The economic rationale behind factor portfolios is explored: Why have they provided higher returns historically? What are the risks the factor portfolios are exposed to and when do they manifest themselves? Will factor risk premia continue in the future? How do factors behave during financial crises? How costly are they to implement? How are factor exposures combined into a portfolio? The behavioural foundations of factor risk premia and portfolio choice are also essential for modern risk managers and portfolio managers to understand, and they will be discussed.

The Harvesting Risk Premia in Equity and Bond Markets Seminar will be held in London on 9-11 May, 2016, and in New Haven on 18-20 May, 2016:

  • Day 1: Foundations and recent research advances in equity portfolio management conducted by Professor Raman Uppal, from EDHEC Business School
  • Day 2: Equity factor investing in practice: Applications to portfolio management conducted by Professor Will Goetzmann, from Yale School of Management
  • Day 3: Efficient harvesting of interest rate and credit risk premia, conducted by Professor Dominic O’Kane, from EDHEC Business School
Seminar key learning objectives:
  • Understand the drawbacks of the popular equity strategy that combines a passively managed core portfolio with one of several actively managed satellite portfolios
  • Discover how to address the challenges in implementing optimised portfolios, in particular, how to manage portfolio liquidity and turnover
  • Study the limits of traditional equity indices
  • Develop an understanding of the concepts and tools for evaluating and implementing the new paradigm of equity strategies such as smart beta
  • Measure and manage systematic and specific risk of smart beta benchmarks
  • Discover the many dimensions of putting factor investing into practice through the case-study approach (The Norway Model)
  • Explore the rational and behavioural foundations of factor risk premia and portfolio choice
  • Identify and control the various risks associated with a bond portfolio using factor models
  • Learn how to control portfolio risk using interest rate and credit derivatives
  • Understand the shortcomings of existing bond benchmarks and learn how a smart bond benchmark can be used as an alternative