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 Singapore (28/01/13), Hong Kong (29/01/13), Tokyo (04/02/13), Sydney (07/02/13), and Melbourne (08/02/13).
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
- 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.
Programme
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
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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. |
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Felix Goltz, PhD, is research director, ERI Scientific Beta and head of applied research at EDHEC-Risk Institute. He conducts research in empirical finance and asset allocation, with a focus on alternative investments and indexing strategies. His work has appeared in various international academic and practitioner journals and handbooks. He obtained a PhD in finance from the University of Nice Sophia-Antipolis after studying economics and business administration at the University of Bayreuth and EDHEC 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
- Singapore - 28 January 2013
Afternoon session (1:30pm - 6:00pm)
Raffles Hotel, 1 Beach Road, Singapore 189673
- Hong Kong - 29 January 2013
Afternoon session (1:30pm - 6:00pm)
Grand Hyatt Hong Kong, 1 Harbour Road, Hong Kong
- Tokyo - 4 February 2013
Afternoon session (1:30pm - 6:00pm)
The Peninsula Tokyo, 1-8-1, Yurakucho, Chiyoda-ku, 100-0006, Tokyo
- Sydney - 7 February 2013
Morning session (8:30am - 1:00pm)
InterContinental Sydney, 117 Macquarie Street, Sydney, NSW 2000
- Melbourne - 8 February 2013
Morning session (8:30am - 1:00pm)
Park Hyatt Melbourne, 1 Parliament Square, Off Parliament Place, Melbourne, VIC 3002
Schedule:
- The morning sessions (Sydney and Melbourne) will start at 8:30am and finish at 1:00pm and will include a 30-minute refreshment break from 11.30am to 12:00pm.
- The afternoon sessions (Singapore, Hong Kong and Tokyo) will start at 1:30pm and finish at 6:00pm and will include a 30-minute refreshment break from 4.30pm to 5:00pm.
Fees, Billing & Cancellation Policy
- Fees
Seminar in Singapore: SGD 400 + 7% GST for Singapore entities.
Other seminars (Hong Kong, Tokyo, Sydney and Melbourne): USD 350.
Fees include instruction, documentation and refreshments at breaks. Accommodation is not included.
- Billing and payment
The fee is billed upon registration and must be settled before the seminar begins. Payment can be made by credit card or wire transfer.
- Transfer or cancellation
Transfer of registration to a colleague, upon written notice, is allowed and free of charge. Cancellations of confirmed seats must be received in writing and are subject to the following charges: 45 to 30 days’ notice: 25% of the tuition fee; 29 to 11 days’ notice: 50% of the tuition fee; 10 days’ notice or less: 100% of the tuition fee.
Registration
To register on-line:
Contact
For further information, please contact:
- Séverine Anjubault
E-mail: severine.anjubault@scientificbeta.com
Tel: +33 493 187 863