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Indexes & Benchmarking Investing in Smart Beta: European Seminar Series 4 July, 2013 - Zurich

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.


Part 1: Understanding smart beta 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

Noël Amenc, PhD, is CEO, ERI Scientific Beta, and professor of finance at EDHEC Business School, where he heads EDHEC-Risk Institute. He has a master’s degree in economics and a PhD in finance and has conducted active research in the fields of quantitative equity management, portfolio performance analysis, and active asset allocation, resulting in numerous academic and practitioner articles and books. He is a member of the editorial board of the Journal of Portfolio Management, associate editor of the Journal of Alternative Investments, and member of the advisory board of the Journal of Index Investing. He is also a member of the scientific board of the French financial market authority (AMF), the Monetary Authority of Singapore Finance Research Council and the Consultative Working Group of the European Securities and Markets Authority (ESMA) Financial Innovation Standing Committee.

Fahd Rachidy, is a Senior Business Development Manager at ERI Scientific Beta. He holds a Master’s Research degree in Macroeconomics from the Sorbonne and an MSc in Finance and Economics from the Ecole Centrale in Paris. He is a lecturer at Sciences Po Paris in Applied Macroeconomics. He was formerly Quantitative Financial Analyst at EDHEC-Risk Institute, Head of Research and Sales at Vantage Capital Markets in London and previously worked as Head of the Statistical Analysis section at the European Central Bank. He worked as an index portfolio manager in major investment banks prior to the ECB.

Eric Shirbini, is Business Development Director for Europe with ERI Scientific Beta. Prior to joining EDHEC-Risk Institute, Eric was a quantitative analyst at UBS, BNP Paribas and Nomura International. During this time he worked on a diverse range of topics including multi-factor models, fundamental stock valuation, equity market indices, portfolio construction and portfolio trading. At BNP Paribas Eric managed a team of analysts who were responsible for the Global Equity Research Database. He holds a BSc and PhD from University College London and an MBA from CASS Business School.

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
  • Zurich - 4 July, 2013
    Park Hyatt Zurich, Beethoven-Strasse 21, Zurich, 8002, Switzerland
  • 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.


Participation to the seminar is complimentary and by invitation only.

To register, please visit:

Event Details
  When   Between 04/07/2013 08:30 AM and 04/07/2013 01:00 PM
Where   Park Hyatt Zurich, Beethoven-Strasse 21, Zurich, 8002, Switzerland
Contact Details
  Name   Séverine Anjubault
E-mail   severine.anjubault@scientificbeta.com
Phone   +33 493 187 863