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Indexes & Benchmarking Outperforming Equity Benchmarks without Active Management - Academic Theory to Practical Implementation 5 December, 2011 - New York, United States
Asset management is the art and science of designing investment solutions that match investors’ needs. For more than fifty 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 single-minded focus, which has not fared well in recent market turbulence, has, to some extent, kept the industry from looking into a more significant source of added value: beta and risk management.

In the wake of these recent crises, and given the intrinsic difficulty of 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 market-cap-weighted indices post poor risk-adjusted performance, whereas other studies have questioned the validity of utilising market cap as a proxy for company size and economic influence. The combination of these empirical and theoretical developments has significantly weakened the case for market-cap-weighted indices, and slowly but surely consensus on the inadequacy of market cap-weighted-indices as investment vehicles is emerging.

There has recently been explosive growth in interest in alternatives to market-cap-weighted indices. Some alternative-weighted benchmarks have dramatically outperformed market-cap-weighted benchmarks, and diligent institutional investors are investigating the sustainability, sources, and theoretical foundations of this outperformance. Drawing on the expertise developed at EDHEC-Risk Institute, this course 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 benchmarks, and provides them with an understanding of the efficient indices developed by EDHEC-Risk.

Key Learning Benefits:
  • Review the limitations of traditional indices
  • Understand the benefits and limits of alternative equity benchmarks
  • Find out about minimum-variance, equally-weighted, risk-parity, diversity-weighted and characteristics based benchmarks
  • Learn about improved equity indices, the efficient indices developed by EDHEC-Risk
Programme

Presented by Lionel Martellini, Professor of Finance at EDHEC Business School and Scientific Director of EDHEC-Risk Institute, and Vijay Vaidyanathan, President of EDHEC-Risk Indices & Benchmarks North America.

Limits of Cap-Weighted Benchmarks
- The distinction between indices and benchmarks
- Limits of cap-weighted benchmarks from the theoretical perspective
- Limits of cap-weighted benchmarks from the empirical perspective

Assessing Alternatives to Cap-Weighted Benchmarks
- Benefits and limits of alternatives to cap-weighted benchmarks
- Detailed review of existing weighting schemes
- Rehabilitating the tangency portfolio of Modern Portfolio Theory

Introducing the FTSE EDHEC-Risk Efficient Index Series
- Methodology
- Revisiting the empirical test
- From research & development to production
- Performance attribution
- Implementation

There is no charge for attendance.
Event Details
  When   Between 05/12/2011 08:00 AM and 05/12/2011 04:00 PM
Where   The Princeton Club of New York, 15 West 43rd Street, New York, NY 10036, United States
 
Contact Details
  Name   Séverine Anjubault
E-mail   severine.anjubault@edhec-risk.com
Phone   +33 493 187 863
 
Attachments
  Programme