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Indexes & Benchmarking Investing in Smart Beta: North American Seminar Series 2 July, 2013 - San Francisco, United States
Overview

The Investing in Smart Beta Seminar is an intensive half-day course, organised by ERI Scientific Beta, that will provide participants with an in-depth appreciation of the concepts and techniques underlying the new index and benchmark offerings in the equity universe.

The first part of the seminar focuses on bridging the gap between portfolio theory and portfolio construction to achieve efficient risk diversification. It discusses the limits of modern portfolio theory and presents the solutions proposed today to achieve a better level of diversification of the equity portfolio.

The second part of the seminar analyses the systematic and specific risks of these new forms of indices and benchmarks, whether based on what are referred to as fundamental or quantitative approaches. It enables the participants to take stock of the latest research advances (Smart Beta 2.0) so as to better control the absolute and relative risks of their investments. Particular attention will be given to the specific risks and conditions of optimality of smart beta.

The third part of the seminar deals with questions arising from the use of smart beta. It will provide in-depth analysis of diversification across different types of smart beta and the different contexts for the use of smart beta, whether involving passive investment, active investment or multimanagement.



Key Learning Benefits
  • Understand smart beta index and advanced benchmark construction: find out about fundamental indexation, minimum variance, equally weighted, equal-risk contribution, maximum decorrelation, efficient maximum Sharpe ratio and other forms of benchmarks.

  • Analyse the risks of the different forms of beta. Deal in depth with the systematic and specific risks of smart beta benchmarks. Study the conditions of optimality for the new forms of weighting and the conditionality of the popular forms of smart beta benchmarks. Measure the specific risk of the new forms of indices.

  • Take into account the new Smart Beta 2.0 approaches that allow benchmarks or portfolios to be constructed by distinguishing between security selection and the weighting scheme. Implement a methodology for controlling the absolute and relative risks of smart beta benchmarks. Learn how to manage the liquidity and turnover risks of the new forms of indices.

  • Understand how to use smart beta benchmarks. Understand the conditions of outperformance of smart beta. Learn how to diversify smart beta strategies to create smart beta portfolios with consistent outperformance. Learn how to construct custom smart beta benchmarks as a starting point for better performing active investment. Analyse the use of smart beta as a complement for a portfolio managed actively as part of a portfolio risk profiling strategy. Study the conditions for using smart beta in a diversified or multimanagement investment offering.


Programme

Part 1: Understanding smart beta diversification offerings
  • 1.1 Introduction: the main criticism of cap-weighted indices as a starting point for smart beta offerings
  • 1.2 Approaches based on stock characteristics
  • 1.3 Approaches based on explicit deconcentration/diversification objectives
  • 1.4 Conclusion: difficulties in implementing new smart beta offerings
Part 2: Measuring and managing the risks of smart beta offerings
  • 2.1 The systematic risks of smart beta strategies
  • 2.2 Controlling systematic risks in smart beta investing: the Smart Beta 2.0 approach
  • 2.3 How to evaluate the specific risks of the new smart beta strategies
  • 2.4 Controlling the relative risk of the smart beta approaches
Part 3: How to integrate smart beta strategies in the investment process
  • 3.1 Smart beta diversification
  • 3.2 Smart beta and passive investment
  • 3.3 Use of smart beta in active investment
  • 3.4 Smart beta and multimanagement
  • 3.5 Measuring the performance and risk of a smart beta investment


Seminar Instructors

Vijay Vaidyanathan, PhD, is CEO, Optimal Asset Management and Research Associate with EDHEC-Risk Institute. He holds a PhD in Finance, and an MSc in Finance (Risk and Asset Management) from EDHEC Business School, as well as an M.S. in Computer Science from the State University of New York at Albany and M.Sc (Tech) from BITS Pilani, India and is an alumnus of IMD, Lausanne, Switzerland. Vijay is also CEO of Return Metrics Inc., a boutique investment management and technology consulting firm located in Silicon Valley, California, specializing in the use of innovative quantitative techniques to develop econometric models for a wide range of financial markets. Prior to this, Vijay held several high-level positions in technology firms, including CEO of Yaga Inc., Chief Strategy Officer with NBC Internet, and Chief Technology Officer with Xoom.Com.

Amitabh Dugar, PhD, CPA is Business Development Director North America, ERI Scientific Beta. Amitabh is a seasoned investment professional with over fifteen years of experience in portfolio management and investment research. He has an extensive background in developing and managing quantitative investment strategies, most recently as Senior Portfolio Manager at THEAM (A BNP Paribas Investment Partner). Prior to joining THEAM, Amitabh managed US and international equity portfolios at Mellon Capital Management. Amitabh has been a Portfolio Manager at Geode Capital Management, where he managed the Fidelity Spartan International Index Fund and launched a quantitative enhanced international equity index fund. He has worked in similar previous roles at Panagora Asset Management, where he managed global equity and asset allocation portfolios, and Grantham Mayo van Otterloo (GMO) where he started his investment career as a Quantitative Analyst. Amitabh received his Bachelor of Commerce degree with honors from the University of Delhi (India). He holds Master of Science and Ph.D. degrees in Accounting & Information Systems from the Kellogg Graduate School of Management, Northwestern University (Evanston, Illinois). He is a Certified Public Accountant and a Chartered Management Accountant.



Who Should Attend

The programme is intended for all professionals involved in passive investment. More generally, this seminar is intended to be a reference for investment management professionals who advise on or participate in the design and implementation of asset allocation policies, equity portfolio models, and for sell-side practitioners who develop new equity investment solutions. The approach to diversifying the different forms of smart beta is also of great interest for diversified managers and multimanagers.



Venue and Timing
  • San Francisco - 2 July, 2013
    The Mandarin Oriental San Francisco, 222 Sansome Street, San Francisco, CA 94104-2792, United States
Schedule:
  • The seminar will start at 8:30am and finish at 1:00pm and will include a 30-minute refreshment break from 10:30am to 11:00am.


Registration

Admission to the seminar is complimentary and by invitation only.

To register, please visit:

Event Details
  When   Between 02/07/2013 08:30 AM and 02/07/2013 01:00 PM
Where   The Mandarin Oriental San Francisco, 222 Sansome Street, San Francisco, CA 94104-2792, United States
 
Contact Details
  Name   Séverine Anjubault
E-mail   severine.anjubault@scientificbeta.com
Phone   +33 493 187 863
 
Attachments
  Brochure