Outperforming Equity Benchmarks without Active Management - Academic Theory to Practical Implementation

le 5 décembre 2011

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 understanding of the efficient indices developed by EDHEC-Risk.

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.

There has recently been explosive growth in interest in alternatives to market-cap-weighted indices. Some alternative-weighted benchmarks have dramatically outperformed market-cap-weighted benchmarks, and diligent institutional investors are investigating the sustainability, sources, and theoretical foundations of this outperformance. 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 understanding of 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

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Type :: Séminaire
Contact :: Séverine Anjubault
severine.anjubault@edhec-risk.com
Lieu(x) :: New York
The Princeton Club of New York
15 West 43rd Street
New York, NY 10036
United States

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Outperforming Equity Benchmarks without Active Management - Academic Theory to Practical Implementation