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Indexes and Benchmarking - March 08, 2017

Riccardo Rebonato speaking on fixed-income smart beta at L’AGEFI Day: Indexing, ETF & Smart Beta Summit in London on 8 June, 2017

Riccardo Rebonato, Professor of Finance, EDHEC Business School and Member, EDHEC-Risk Institute, will be speaking on the theme of fixed-income smart beta at L’AGEFI Day: Indexing, ETF & Smart Beta Summit in London on 8 June, 2017.

The conference is dedicated to institutional investors, multi-managers, private bankers and family officers and will focus on the key aspects of modern investment approaches including indexing, single and multi-factor portfolios and smart beta solutions.

The aim is to help delegates to better understand the details of how modern benchmarks are built and how they should be analysed and used.

This conference will also offer unique insight into the investment vehicles providing access to those benchmarks, and shed light on how you can select the most efficient funds available on the market to benefit from the liquidity offered by secondary markets through listed ETFs.

Riccardo Rebonato will be speaking at the event on the theme "Smart Beta in Fixed-Income". The session will examine the following issues:

  • What is fixed-income smart beta, and why is it different?
  • Cross-sectional versus time-series risk premia: empirical findings.
  • The problem with proxies: how to ensure robustness and repeatability?
Riccardo Rebonato is Professor of Finance at EDHEC Business School, member of EDHEC-Risk Institute and author of journal articles and books on Mathematical Finance, covering derivatives pricing, risk management and asset allocation. Prior to this, he was Global Head of Rates and FX Analytics at PIMCO. Academically, he is an editor of financial journals and was until recently a visiting lecturer at Oxford University and adjunct professor at Imperial College’s Tanaka Business School. He sits on the board of trustees for the Global Association of Risk Professionals (GARP). Previously, he was global head of market risk, head of research and head of complex derivatives trading for European banks. He was a Research Fellow in Physics at Corpus Christ College, Oxford, a Visiting Scientist at Brookhaven National Laboratory, and a Chercheur Invité at the Institute Laue-Langevin (Grenoble). He holds a doctorate in nuclear engineering (University of Milan) and a PhD in condensed matter physics/science of materials from Stony Brook University, NY.

For detailed information, please consult the conference programme.

To register for the event, please visit the registration website.