Image

Investment Management

Asset Allocation, Portfolio Construction and Investment Strategies

Agenda Program Online
divider graphic
icon
Location
Prague, NH Hotel Prague
icon
Price
N/A
icon
Lecturer
N/A
icon
Language
English
icon
Evaluation
N/A
Hybrid Training
Hybrid
Both classroom and online training available
icon
Price for online training
N/A
divider graphic
Overview of Asset Classes and Instruments
Asset Pricing Models: CAPM, APT and Multi-Factor Models
Diversification: Eggs, Baskets, Umbrellas and Ice Cream
Strategic Asset Allocation and Portfolio Construction
Quantitative Portfolio Management
Tactical Asset Allocation
Derivative Strategies for TAA
Risk Monitoring and Benchmarking
Course Description
This course provides a broad overview of critical elements in the investment process; reviewing basic financial instruments and their characteristics, aspects of portfolio construction and quality control as well as forecasting risk and return. The course will also focus on some of the more practical challenges facing industry practitioners today in managing strategic and tactical portfolios through a wide range of traditional and alternative asset classes.
Although the Investment Management course was designed with professional investment managers and analysts in mind, its wide-ranging syllabus also offers an excellent guide to investment management generally. For this reason it can also be used as a knowledge-building introduction for those needing to better understand practical application of investment theory and current issues.

Methodologies
The methodology of this course is application oriented, leaving room for discussions and participant questions.

Target Audience
Junior investment professionals, investment committee members, senior management, relationships and sales professionals.

Materials
Participants will receive a binder with the slides presented and access to spreadsheets containing example calculations for all models and concepts discussed.

Program of the seminar: Investment Management

The seminar timetable follows Central European Time (CET).

09.00 - 09.15 Welcome and Introduction

09.15 - 12.15

The Investment Mandate

  • Investment Objective
  • Investment Strategy and Benchmark
  • Risk Tolerance, Correlations and Loss
  • Eligible Instrument Universe
  • Diversification Constraints
  • Example: Relative vs. Absolute Return Mandates

Overview of Asset Classes and Instruments

  • Cash: Deposits, CD, CP, Bills
  • Government Cash Bonds, Futures and Options
  • Stock/Common Equity and Stock Options
  • Corporate Bonds and Derivatives: Vanilla, Convertibles, CDS
  • Stock Index EFTs
  • Private Equity, Real Estate REIT
  • Commodity ETFs, Indices and Futures
  • Active ETF, Exchange Traded Products

12.15 - 13.15 Lunch break

13.15 - 17.30

Asset Pricing Models: CAPM and APT

  • Opportunity Set and Efficient Frontier
  • CAPM, APT and Multi-Factor Models
  • Factor Analysis and Principal Component Analysis
  • Case Study: Factor Identification

Diversification: Eggs, Baskets, Umbrellas and Ice Cream

  • Diversifiable and Non-Diversifiable Risk
  • Effect of Asset Correlations and Volatility on Portfolio Volatility
  • Stability of the Variance-Covariance Matrix
  • Diversification by Geography and Asset Class

09.00 - 12.15

Forecasting Asset Class Returns

  • Valuation Ratios: Price/Earnings, Reverse Yield Ratio, Earnings Yield Ratio
  • Equity Risk Premium
  • Dividend Discount Model

Strategic Asset Allocation and Portfolio Construction

  • Estimating the long-term Variance-Covariance Matrix
  • Portfolio Optimisation: Markowitz
  • Incorporating Higher Moments: CVaR, Drawdown
  • Constraints, Estimation Error and Other Practitioner Issues
  • Identifying the Optimal Portfolio
  • Examples: Balanced, Endowment Models and Core-Satellite

12.15 - 13.15 Lunch break

13.15 - 17.30

Bond Analysis and Portfolio Management

  • Fixed-Income Securities – general features of bonds, Government bonds, Agency bond, Corporate bonds; Convertible bonds; Asset-/Mortgage-backed securities
  • Bond Analytics – Discounting the expected cashflow (coupons, repayment), yield to maturity; price/ytm relationship
  • Yield Measures and Forward Rates – Sources of return, Traditional yield measures, Yield spread measures; Forward rates
  • Measuring Interest Rate Risk
  • Fixed-Income Portfolio Strategies – Selecting the Benchmark, Portfolio parameters, Duration and Yield curve, Volatility, International Corporate Bonds

09.00 - 12.15

Corporate Credit Strategies

  • Investment Grade: Yield Surfaces and Comparables
  • High Yield Fixed Income: Bond/Equity Hybrids
  • Using CDS for Tactical Credit Exposure and Hedging

Tactical Asset Allocation

  • Augmenting Strategic Returns with Tactical Alpha
  • Tactical Investment Horizon Equilibrium Breakdown and Crowd Behaviour
  • Variety of Approaches: Long/Short Gamma, Fundamental/Technical, Systematic/Discretionary
  • Tactical Investment Strategies: Trend following, Pattern Recognition, Global Macro, CPPI

Derivative Strategies

  • Instruments: Listed Futures and Options
  • Asset Classes: Global Stock Indices, Fixed Income, FX, Commodities
  • Using Futures to Implement Directional TAA
  • Refining Implementation of TAA through Options Strategies

12.15 - 13.15 Lunch break

13.15 - 17.30

Monitoring and Benchmarking

  • Identifying Suitable Benchmarks
  • Peer Group Analysis
  • Sources of Returns: Stock Selection, Asset Allocation, Market Timing
  • Monitoring Investment Guidelines, Constraints and Limits
  • Style Drift
  • The Role of the Independent Consultant

Summary and Conclusions of the Course

Upcoming seminars in our training calendar
Training catalogue in PDF
arrow-up icon