Investment Management Workshop

The objective of this seminar is to give you a hands-on understanding of the state-of-the-art methods and tools for managing investment portfolios in a post-crisis investment landscape.

First, we discuss the challenges that face investors and investment managers in the aftermath of the global financial crisis. We discuss how these challenges can be taken into account when formulating investment objectives, policies and benchmarks. We also discuss the increasing impact of “behavioral” (non-rational) considerations in investment decision making, and we explain how this may lead markets becoming increasingly non-efficient, in violation of many of the assumptions behind “modern” portfolio theory.

We then explain and demonstrate how an investment policy statement (IPS) for a private or institutional investor can be prepared and how this IPS can be subsequently used as a practical guideline for asset allocation, portfolio construction and performance evaluation.

We present a toolkit for portfolio construction and implementation of investment strategies, and we explain how portfolios should be monitored and rebalanced. We also explain how portfolio performance is measured and appraised and how this feed-back can be used to improve and/or realign the risk-return characteristics of the investment portfolio.

The seminar is designed as a “workshop”, which means that you gain hands-on experience with all aspects of the investment process.

 

Day One

09.00 - 09.15 Welcome and Introduction

09.15 - 12.00 The Global Crisis and the Changing Investment Assumptions

• How The Global Crisis Has Affected Financial Markets
• The “New” Reality: Inefficient Markets
• Regulatory Developments and their Importance for Investment Management

Financial Planning for Private and Institutional Investors in a Post-Crisis Landscape

• Situational Profiling
  • The Psychology of Investing
  • The Growing importance of Behavioral Finance
• Preparing the Investment Policy Statement
  • Client Situation
  • Risk and Return Objectives
  • Investment Constraints
     
• Workshop:
  Practical Investor Case Studies and Preparation of an Investment Policy Statement

12.00 - 13.00 Lunch

13.00 - 16.30 Benchmark Selection and Strategic Asset Allocation - from Portfolio Theory to Real-life Portfolio Management

• Global Asset Classes and their Historical/Expected Performance
• Importance of Strategic Asset Allocation for Investment Performance
• Setting Asset Allocation Ranges
  • The traditional approach – and its shortcomings
  • Risk budgeting
  • Liability-driven
• Selecting Appropriate Benchmarks
  • Requirements of a Good Benchmark
  • Traditional and alternative forms of benchmarks
     
• Workshop:
  Determining Strategic Asset Allocation for Private/Institutional Investors

Day Two

09.00 - 09.15 Recap

09.15 - 12.00 The Portfolio Manager’s Toolkit

• Portfolio Optimization – the Changed Assumptions
  • Improving traditional mean-variance optimization
  • Black-Litterman
• Derivatives
  • Using derivatives for synthetic investments
  • Tactical asset allocation with derivatives
  • Hedging with derivatives
• Exchange Traded Funds
  • Using ETFs for passive management and core-satellite investing

Portfolio Construction Hands-On (Workshop):

• Construction of optimal portfolios using mean-variance and Bayesian analysis
• Construction of passive (tracking) portfolios
• Using derivatives in portfolio construction and tactical asset allocation

12.00 - 13.00 Lunch

13.00 - 16.00 Performance Measurement and Attribution Analysis

• Measuring Risk-Adjusted Return
  • Treynor, Sharpe index
  • Sortino ratio, ROMAD, LPM
• Attribution Analysis
  • Macro attribution analysis
  • Micro attribution analysis

Performance Measurement Hands-On (Workshop - Continued)

• Measuring the risk-adjusted performance of investment portfolios
• Macro and micro attribution analysis

Evaluation and Termination of the Workshop