The webinar showed that smart beta indices can be reconciled with risk factor allocation and explained how improving upon the poor diversification of systematic and specific risks by cap-weighted indices requires the use of multiple smart factor-tilted indices, known as smart factor indices. The presentation also looked at how to reconcile factor risk parity constraints and optimal smart beta allocation in a long-only context.
Overview
The webinar addressed the limits of cap-weighted equity benchmarks and the approaches which can be followed to build improved equity benchmarks with a focus on systematic vs. specific risks.
It showed that smart beta indices can be reconciled with risk factor allocation and explained how improving upon the poor diversification of systematic and specific risks by cap-weighted indices requires the use of multiple smart factor-tilted indices, known as smart factor indices.
The presentation also looked at how to reconcile factor risk parity constraints and optimal smart beta allocation in a long-only context, the exploration of which has been the object of significant research efforts within EDHEC-Risk Institute.
The following topics were covered during the webinar:
Host
The webinar was hosted by Dr. Lionel Martellini, Senior Scientific Advisor of ERI Scientific Beta, and Scientific Director of EDHEC-Risk Institute. Dr. Martellini is professor of finance at EDHEC Business School and scientific director of EDHEC-Risk Institute. He has graduate degrees in economics, statistics, and mathematics, as well as a PhD in finance from the University of California at Berkeley. Lionel is a member of the editorial board of the Journal of Portfolio Management and the Journal of Alternative Investments. An expert in quantitative asset management and derivatives valuation, his work has been widely published in academic and practitioner journals and has co-authored textbooks on alternative investment strategies and fixed-income securities.
Date/Time
3 April, 2014 at 2.30pm CET / 8.30am EST.