Scientific Beta

An intensive half-day seminar providing participants with an in-depth appreciation of the concepts and techniques underlying the new index and benchmark offerings in the equity universe, taking place in Doha (11/09/13), and Dubai (12/09/13). 

Investing in Smart Beta Asian Seminar Series

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

Programme

Part 1: Understanding smart beta offerings

The goal of this part of the seminar is to present the different forms of smart beta strategy, whether involving their aims, their principles, the diversification models used or the state of their implementation. This presentation will enable participants to situate each smart beta category in relation to the modern portfolio theory framework and also with regard to the problems posed by cap-weighted indices.

Part 2: Measuring and managing the risks of smart beta offerings

The second part of the seminar allows participants to understand and control all of the risks associated with investing in smart beta. Notably addressed are measurement of the systematic and specific risk of popular smart beta offerings and the integration of the absolute and relative risks of the implementation of benchmarks based on smart beta strategies.

Part 3: How to integrate smart beta strategies in the investment process

This part of the seminar has two objectives: to optimise the benefits of using smart beta and to study practical applications of smart beta in different investment contexts.

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 masters 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, member of the advisory board of the Journal of Index Investing, member of the scientific advisory council of the AMF (French financial regulatory authority), and member of the Financial Research Committee of the Monetary Authority of Singapore.

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.

Venues and Timing

Schedule:

Registration

Participation to the seminar is complimentary and by invitation only.

To register on-line:

Contact

For further information, please contact: