Expand your expertise and earn the Yale SOM – EDHEC-Risk
Certificate in Risk and Investment Management

 

Harvesting risk premia in equity and bond markets seminar

November 12-14, 2018 in New Haven

 

The second seminar of the series, entitled “Harvesting risk premia in equity and bond markets” has been designed to offer participants an in-depth discussion on modern factor investing approaches in equity and bond markets.

A new approach known as factor investing has recently emerged in investment practice, which recommends that allocation decisions be expressed in terms of risk factors, as opposed to standard asset class decompositions. While risk factors have long been used for the risk and performance evaluation of actively managed portfolios, the current focus is on identifying the proper framework under which factor investing and risk allocation are expected to generate welfare gains for asset owners. In particular, the emergence of so-called smart beta investment solutions, which is blurring the traditional clear-cut split between active and passive equity portfolio management, puts the emphasis on efficient harvesting of risk premia across and within asset classes.

Participants can complete all three seminars and receive the prestigious joint Yale School of Management-EDHEC-Risk Certificate in Risk and Investment Management, or they can attend a single session that provides more focused study.

 

 

Remote learning option available

 

Faculty

 

SEMINAR KEY LEARNING OBJECTIVES

  • Appreciate the post-crisis passive-active equity management controversy
  • Find out about the dangers of naively optimised equity portfolios and the benefits of robust optimisation
  • Discover how to address the challenges in implementing optimized portfolios, in particular, how to manage portfolio liquidity and turnover
  • Study the limits of traditional equity indices, find out about the minimum-variance benchmark, the equally-weighted benchmark, and other forms of benchmarks; evaluate the objectives and assumptions underlying alternative indices and learn about model selection and hidden risks entailed in the choice of a particular benchmark
  • Develop an understanding of the concepts and tools for evaluating and implementing the new paradigm of equity strategies such as smart beta
  • Measuring and managing systematic and specific risk of smart beta benchmarks
  • Discover the many dimensions of putting factor investing into practice through the case-study approach (The Norway Model)
  • Identify and control the various risks associated with a bond portfolio using factor models
  • Understand the shortcomings of existing bond benchmarks and learn how a smart bond benchmark can be used as an alternative

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