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CFA Lecture: The smart, the Dumb and the Alpha: a framework to understand Smart Beta and Risk Factor Investing (Düsseldorf)
Founder and CEO of TOBAM
DATE : Wednesday, 17th May 2017, 7pm
OBAM on Smart Beta and Factor Investing and a following Networking event.
Firstly, the Smart Beta initiative has been much talked about but it is not a well-defined concept. This presentation aims at presenting the differences between market cap weighted indices, smart beta approaches and risk factor investing approaches. From his analysis the most important find-ing is that there is a non-Smart Beta portfolio – the market cap weighted (MC) portfolio. Some people say that the value added by Smart Beta approaches is exposure to well known Risk Factors, but this presentation illustrates how by seeking direct exposure to Risk Factors, implies forecast-ing, and eventually providing alpha. The risk factor investing takes advantages of an ability to iden-tify arbitrage opportunities ability to assess mispricing, forecasting capabilities and speculation while the Maximum Diversification approach sole objective is to deliver the risk premium of an asset class.
Yves Choueifaty is mathematician and Former CEO of Credit Lyonnais Asset Management (“CLAM”, AUM €70B). Having spent more than 10 years with CLAM in diverse senior roles (CIO, Head of Financial Engineering and Quantitative Investment Management), Mr Choueifaty left in 2004, went back to Mathematics research and founded the Maximum Diversification® approach and TOBAM in 2005. TOBAM’s unique investment process is supported by original and patented research, and provides clients with diversified core exposure in both the equity and fixed income markets. As one of the pioneers of the smart beta movement, Yves Choueifaty is a frequent speaker at conferences and is a member of The 300 Club, whose mission is to raise awareness about the potential impact of current market thinking and behaviors.
Simmons & Simmons LLP
18:45h – Doors open
19:00h – Lecture und Q&A
20:00h – Get together
Snacks and refreshments will be provid-ed.
Member 0 Euro
Non-member 35 Euro
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