Investment Management Academy

Day 1

Asset Allocation and Portfolio Optimisation

New Paradigms in Asset Allocation

• The changing world of asset allocation
• The demise of risk-free assumptions
• Assets are undergoing structural change
• Risk-on, risk-off mentalities
• Why new approaches are needed
• Relative Vs Absolute Vs Unconstrained investment approaches
• How ETFs are disrupting the old landscape
• Capturing risk premiums as cheaply as possible

Case Study: Introducing a complex case study – initial steps in asset allocation

Asset Allocation Theory

• Inputs to the asset allocation decision
• Models with alternative risk definitions
• Correlations and the covariance matrix
• Efficient frontiers and optimal portfolios
• Utility functions and indifference curves
• Static approaches to asset allocation – strategic asset allocation
• Dynamic approaches to asset allocation – integrated, tactical and insured
• Asset allocation rebalancing approaches

Case Study: Quantitative exercises in asset allocation

Asset Allocation, Asymmetric Returns and Post Modern Portfolio Theory

• Asymmetric investment returns and how to achieve them
• What fund managers need to know about PMPT
• Applying the principles of PMPT to portfolios
• The search for assets with asymmetric return distributions
• Downside deviation and the minimum acceptable return
• Target rate of return and upside potential ratio

Case Study: Applying the principles of PMPT

Dynamic Asset Allocation and Unconstrained Investment Approaches

• The move towards more dynamic portfolio management
• Multi-asset and multi-manager approaches
• Constant active management and conviction driven decision making
• Active risk budgets and volatility management
• Downside risk management
• Portable alpha and alpha transportation
• Capturing the upside whilst controlling the downside

Case Study: Structuring the portfolio for an Asset Allocation

Day 2

Quantitative Equity Investing, Relative Value Investing and Investing in Private Equity and Venture Capital

Quantitative EPM Strategies

• Principles guiding quantitative equity portfolio management
• Moving beyond Markowitz mean-variance optimisation
• Insights from Black-Litterman and Bayesian approaches
• Factor choice, factor exposure and factor forecasting
• Quantitative portfolio construction and management in emerging markets – challenges and pitfalls
• Quantitative unconstrained portfolio management when conviction is high
• Minimum-variance portfolios, construction and performance
• Portable alpha in theory and practice
• 130/30 strategies
• ETFs – the vehicle of choice?

Day 3

Fixed Income Portfolio Management – Tools of the Trade

Sovereign Bond Analysis Today

• The changing character of sovereign debt
• Sovereign bonds and risk-free returns
• Key drivers of sovereign credit quality today
• Sovereign risk analysis and CDS spreads

Trainer Led Discussion: Reassessing sovereign debt risk in light of the credit crisis

Interest Rates, Yield Measures and Yield Curves

• Overview of yield measures – current yield, yield-to-maturity, horizon yield
• Nominal yields, real yields, index linked yields and inflation
• Factors affecting bond yields and the term structure of interest rates
• Overview of sovereign term structure theories
• The treasury yield curve and how to interpret it
• Analysis and interpretation of spot, forward, par and swap curves
• The importance of the forward curve and forward rates
• Interest rate and yield curve modelling

Day 4

Risk and Performance Measurement and Investing in Infrastructure

Risk Management and Modelling in Portfolio Management

• Identification of risks in asset management
• Integrating risk into the investment process
• Different types of risk and how to measure them
• Tracking error, VaR, downside risk, shortfall probability
• Defining acceptable risk levels
• Extreme event distributions
• Exposure based risk models
• The total level of active risk in the portfolio
• Active risk and active risk budgeting

Day 5

Exchange Traded Funds – The New Building Blocks

Characteristics of ETFs

• A brief history of the evolution of ETFs
• Stimulants and catalysts behind the growth of ETFs
• Why the ETF market is poised for further growth
• An overview of the different types of exchange traded product
• An overview of what is needed to create an ETF
• Key differences between ETFs and tracker funds
• Key differences between ETFs and open-ended mutual funds
• Key differences between ETFs and closed-ended funds