Smart Beta Indexing

Management issues and implementation

Course objectives

  • Understand the origins of Smart Beta indexing
  • Control the evaluation of Smart Beta indexing
  • Understand the future challenges and analyze the evolution of the offer

The origins of Smart Beta indexing

  • Alternatives to market capitalization as index criterion
  • Financial crisis and rise of Smart Beta indexing

Case study: Pure performance index and unbased performance

Assessment of Smart Beta indexing

  • Structural principles of Smart Beta indexes
  • Index replication and transaction costs
  • Smoothing of returns by Smart Beta indexing
  • Illiquidity: the increase of specific risk

Case study:Case study: Building a Smart Beta index based on the dividend rate of listed companies

The future of Smart Beta indexing

  • Integration of the SRI thematic in the Smart Beta indexing
  • Construction of indices with objective volatility or with dominant sector
  • A clearer management for investors

Case study: Evolution of Smart Beta Indices offer

Julien Dauchez

Julien Dauchez

Julien is a quant-trained derivatives specialist with over 16 years experience in capital markets. After graduating with a Masters in quantitative finance from HEC and a M.Eng in Applied Computer Science from Dauphine University in Paris, Julien started his career at Lehman Brothers in London in 1998 where he structured interest rates derivatives and hedge fund-linked products for clients in Europe. After 7 great years at Lehman, Julien joined Barclays Capital’s Equity and Fund Structured Markets (EFS) in New York where he headed the fund-linked derivatives structuring and marketing team for the Americas. Upon his return to London in 2010, Julien joined the asset management arm of Barclays Capital where he originated UCITS and other investment funds for both institutional and retail-oriented clients. Julien left Barclays in June 2013 to set-up his consultancy. In June 2014, at Natixis IM, he became manager of the Portfolio Research & Consulting team, which works only on portfolio analysis intended for professionnal investors.

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