Quantitative Building Blocks for Portfolio Optimization

Tuesday May 17, 2016 9:00 AM - 5:00 PM
NYSSA Conference Center
Available as: Live Session;
Categories: Live Courses, Merav Ozair, Professional Development

This event is canceled.
"Outsmarting" Smart Beta Funds

“Smart beta” mutual funds and exchange traded funds (also known as “enhanced” funds or “tilted” funds) have become quite prominent in the past decade or so, in a quest to provide investors with “better” vehicles that beat the market.  But do they really perform as promised?

Some academic studies using backtests suggest that, yes these “new-age” portfolios – in which stocks are weighted by rules or “factors” other than their market value, such as their dividends, value or low volatility – can outplace a straight index over extended periods (i.e., a full cycle or two.) Don’t expect, however, outperformance every year.

Note: Bring your PC laptop with Microsoft Excel for PC (any version) installed. A native Mac with Excel for Mac will not be as effective and may hinder your ability to keep up.

In this course you will learn:

  • The theory and practice behind “smart beta” funds

    • “smart beta” funds pitfalls

  • Analyze the risk attributes of each “smart beta” fund

    • Understanding how and if it will perform better than market

    • Understanding how to hedge each fund

    • How to choose which fund is “right for you”

  • Creating your own “factor” fund (or portfolio)

    • Using single stocks

    • Using exchange traded funds

    • Using different asset classes

  • Diversifying not based on weighing assets

  • Reducing portfolio risk

  • Monitoring and rebalancing the portfolio effectively

Who should attend:

Bankers; financial analysts; investment advisors and consultants; portfolio managers; traders; private equity; asset management, risk management and hedge fund associates; investors.


Merav Ozair, PhD, CPA, CQF, has over 12 years of business and consulting experience. Her work and expertise center on portfolio and risk management, volatility modeling, market microstructure, and execution risk. Her previous business experience includes developing business strategies to enhance business growth; evaluating the viability of potential public offerings; estimating the market value of business for M&A; performing fundamental and valuation analysis; developing models for performance attribution; and analyzing operating risk and risk management on a company’s level. Ozair has over 15 years of teaching experience and currently she teaches at the Finance and Risk Engineering (FRE) program at NYU – Market Microstructure, Econometrics, and Portfolio Management.  She earned her PhD in accounting and finance from Stern Business School at NYU, and her research interests include market microstructure and volatility modeling. She is also the founder of Mackabie Capital a consultancy that bridges fundamental and quantitative methods to enable money managers in their pursuit for better alpha generating strategies, risk control, and execution.

Program Details

Tuesday, May 17, 2016

9:00 a.m.–5:00 p.m.

Merav Ozair, PhD, CQF

NYSSA, 1540 Broadway, Suite 1010 (45th Street Entrance)

$275 Member 
$425 Nonmember


Additional Information
If you are unable to register for this course online, please call (212) 541-4530 for assistance.
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