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Indexes & Benchmarking Towards the Design of Efficient Equity Indices and Benchmarks: Australian seminars Melbourne – 27 October, 2011 / Sydney – 1 November, 2011
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.

This fierce attack on cap-weighted indices, which are neither representative nor efficient, has, however, left investors with a void. Although there have been proposals for alternative weighting schemes, the emergence of which blurs the traditional divide between active and passive equity portfolio management, it is not yet clear which alternatives investors should prefer. 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 introduction to 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

Introduction
Julie Andrews, Director, FTSE Australia

Presentation:
Limits of Cap-Weighted Benchmarks
Assessing Alternatives to Cap-Weighted Benchmarks
Introducing the FTSE EDHEC-Risk Efficient Index Series
Noël Amenc, Professor of Finance at EDHEC Business School, Director of EDHEC-Risk Institute, and Chairman of EDHEC-Risk Indices & Benchmarks
Felix Goltz, Head of Applied Research at EDHEC-Risk Institute and Director of Research and Development at EDHEC-Risk Indices & Benchmarks


Conclusion
Gilles Guérin, Chief Executive Officer, THEAM (BNP Paribas Investment Partners)

Dates & Venues
  • 27 October, 2011 - Melbourne
    Venue: Park Hyatt Melbourne, 1 Parliament Square, off Parliament Place, Melbourne, Victoria 3002, Australia, Tel. +61 3 9224 1234

  • 1 November, 2011 - Sydney
    Venue: Hilton Sydney, 488 George Street, Sydney 2000, Australia, Tel: +61 2 9266 2000

The programme is exclusively reserved for institutional investors (pension schemes, charities, endowments, foundations, insurance companies, family offices). There is no charge for attendance.
Event Details
  When   Between 27/10/2011 09:00 AM and 27/10/2011 01:00 PM
Where   27 October, 2011: Park Hyatt Melbourne / 1 November, 2011: Hilton Sydney
 
Contact Details
  Name   Karen Teo
E-mail   karen.teo@edhec-risk.com
Phone   +65 66318575
 
Attachments
  Programme