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Indexes & Benchmarking Towards the Design of Efficient Equity Indices and Benchmarks: Tokyo seminar 17 November, 2011 - Tokyo, Japan
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

Paul Hoff, Director, Business Development Asia, FTSE

Stoyan Stoyanov, Professor of Finance at EDHEC Business School and Programme Director of the MSc in Risk and Investment Management for Asia
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
Introducing the FTSE EDHEC-Risk Efficient Index Series
- Methodology
- Empirical test
- From research & development to production
- Performance attribution

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 17/11/2011 02:30 PM and 17/11/2011 06:00 PM
Where   Tokyo Midtown Conference, Midtown Tower 4F, 9-7-1 Akasaka, Minato-ku, Tokyo, Japan
Contact Details
  Name   Séverine Anjubault
E-mail   severine.anjubault@edhec-risk.com
Phone   +33 493 187 863