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Active Portfolio Management & Asset Allocation
This 3 day virtual course is designed to enable delegates to:
- Understand how to design robust asset allocation models for all market conditions
- Build and maintain optimal portfolio’s based on investor needs
- Analyse the key features, advantages and risks of a broad range of asset classes and their performance in different market conditions
- Recognise different approaches to identifying and capturing alpha
- Gain competitive advantage from understanding behavioural biases and how to manage them
- Understand the theoretical and practical issues in connection with multi asset class investing
The programme objective is to review developments and best practices within the industry focusing on asset allocation, portfolio construction, style management strategies, performance measurement and popular thematic trends.
The program is designed for delegates with a knowledge of the fundamentals of modern portfolio theory, asset allocation theory, equity analysis and portfolio construction techniques.
This virtual workshop is designed to be interactive drawing on the knowledge and experiences of the trainer and participants. The trainer will explore best practices across the industry using current industry research, reports, analysis and case studies. Participants will be encouraged to apply the best practices to their own markets and businesses.
Who should attend
The course will be of value to professionals in the following areas:
- Private Bankers and Wealth Managers
- Portfolio and Asset Managers
- Heads of Investment
- Investment Analysts and Advisors
- Pension Fund Managers and Trustees
- Accountants and Finance Managers
- Regulators and Auditors
- Compliance Officers
Note - A good level of spoken and written English is required to attend this course. Delegates should be of an intermediate standard in English at a minimum. Please refer to the Common European Framework of Reference for Languages - as a guide the level required is B2.
This course will take place over virtual meeting room technology and is designed to be fully interactive.The start time of the course is expected to be 9am GST (Gulf Standard Time), and it will feature regular breaks.
If you have any questions at all, please contact firstname.lastname@example.org
Day 1: Introductions and welcome
Morning : 2 x 1.5 Hour Sessions
Session 1 : Inputs to the Asset Allocation Decision
• Key inputs to the asset allocation decision
• Return and volatility assumptions
• Correlations and the covariance matrix
• Efficient frontiers and optimal portfolios
• Utility functions, indifference curves and risk aversion factors
• Static approaches to asset allocation – strategic asset allocation
• Dynamic approaches to asset allocation – integrated, tactical and insured
Session 2 : Moving beyond Mean-Variance Optimisation
• General problems with mean-variance optimization and models
• Alternative mean-variance based models
• Models with alternative risk definitions – mean semi-variance and conditional VaR models
• The Black-Litterman model
• Lee’s optimal risk budgeting model
Case Study : Improving the Asset Allocation Decision via Alternative Frameworks
• Selecting an appropriate benchmark
• Defining and quantifying the client’s return expectation
• The move towards more dynamic portfolio management
• Relative, absolute and unconstrained approaches
• Asymmetric investment returns and how to achieve them
• Active risk budgets, VaR and volatility management
• Portable alpha and alpha transportation
• Asset mix rebalancing approaches
Case Study : Portfolio Structuring and Design
Session 4 : Asset Allocation in the presence of Liabilities
• How the asset allocation challenge changes when you introduce liabilities
• Factors to consider when forecasting liabilities
• Volatility and correlation considerations
• Theory of surplus optimization
• The liability matching asset portfolio (LMAP) and the risky asset portfolio (RAP)
• Asset allocation and Liability Driven Investing (LDI)
Case Study : Pension Fund Asset-Liability Study
Day 2 : Risk Management and Performance Attribution and MeasurementMorning : 2 x 1.5 Hour Sessions
Session 1 : Measuring Portfolio Risk
• Market risk (Systematic) Vs Specific risk (Residual)
• Beta risk and it’s measurement and meaning
• Portfolio market risk and portfolio specific risk
• Portfolio total risk
• Tracking error – calculation and interpretation
Case Study : Measuring the Risk of a Concentrated Equity Portfolio
Session 2 : Risk Budgeting in Theory and Practice
• What is a risk budget ?
• VaR and risk budgeting
• Asset allocation and risk budgeting
• Risk budgeting approaches based on
- Total risk per alpha source
- Marginal contribution to total portfolio risk
• Risk budgeting and active risk
• Allocating and spending the risk budget
• Implied returns
• Views, implied confidence levels and investment policy
Case Study : Risk Budgeting for a Pension Fund
Afternoon : 2 x 1.5 Hour Sessions
Session 3 : Information Ratios and Active Risk Budgeting
• Ex-post risk and ex-ante risk
• The information ratio and information coefficient
• The residual frontier
• Value-added and the optimal tracking error for a fund manager to take
• Skill, breadth and risk-taking
• Target IRs and target risk budgets
Case Study : Skill, Breadth and Optimal Tracking Errors
Session 4 : Risk-Adjusted Performance Measurement and Attribution Analysis
• Overview of performance attribution analysis
• The Brinson framework for return attribution
• Separating the asset allocation decision from the stock selection decision
• The interaction term
• The allocated portfolio return Vs the benchmark portfolio return
• Skill Vs luck
• Measuring the statistical significance of the outperformance
Case Study : Performance Attribution Calculations
Day 3 : Special Themes in Investment Management – Smart Beta, Factor Investing and ESGMorning : 2 x 1.5 Hour Sessions
Session 1 : Defining Smart Beta
• What is smart beta ?
• An overview of smart beta’s history
• The objectives of smart beta investing
• How smart beta works
• Rationale for today’s strong interest in smart beta
• Why investors should explore smart beta
• The risk and return characteristics of smart beta
• Why factor exposure matters
• Active fund management through a factor-based lens
• Differences between smart beta and factor investing
• Factor exposures, factor premiums and factor returns
• Factor behavior in changing economic environments
• Behavioural, risk and structural factor categories
• Macro risk factors, style risk factors and alpha
Case Study : Factor Investing through the Economic Cycle
Session 2 : Portfolio Applications of Smart Beta Strategies
• How smart beta can fit in a portfolio
• Tactical and strategic applications
• Risk management applications
• Implementing investment views
• Replicating active exposures with smart beta ETFs
• Extracting more out of beta
• Replacing and/or complimenting active strategies
• Managing factor exposures
• Outcome oriented approaches using smart beta
• Mapping factor exposures to the economic cycle
Case Study : Minimum-Variance Strategy for a Pension Fund
Afternoon : 2 x 1.5 Hour Sessions
Session 3 – History and Background to ESG and Responsible Investing
• An historical overview of socially responsible investing
• Social purpose, sustainability and purposeful capitalism
• Differentiating between socially focused investing, governance focused investing and environment focused investing
• The size and growth of the ESG and SRI marketplace
• Global ESG assets by type of exposure
• Stimulants and catalysts behind the growth of ESG and SRI investing
• Why the ESG market is poised for further growth
Case Study : The Growth of ESG and Socially Responsible Investing
Session 4 – Integration-Based ESG Investing
• What is integration-based ESG investing
• What added-value do integration-based approaches offer
• Incorporating alpha insights into an integration-based approach
• Common ESG factors that are targeted
• Fundamental ESG integration – evaluating ESG factors
• Systematic ESG integration – quantitative criteria Vs qualitative insights
• ESG as part of a multi-factor analysis
• ESG ratings improvement momentum
Case Study : Integration-Based ESG Investing
Our Tailored Learning Offering
Do you have five or more people interested in attending this course? Do you want to tailor it to meet your company’s exact requirements? If you’d like to do either of these, we can bring this course to your company’s office. You could even save up to 50% on the cost of sending delegates to a public course and dramatically increase your ROI.
If you want to run this course at a location convenient to you or if you want a completely customised learning solution, we can help.
We produce learning solutions that are completely unique to your business. We’ll guide you through the whole process, from the initial consultancy to evaluating the success of the full learning experience. Our learning specialists ensure you get the maximum return on your training investment.
We have a combined experience of over 60 years providing learning solutions to the world’s major organisations and are privileged to have contributed to their success. We view our clients as partners and focus on understanding the needs of each organisation we work with to tailor learning solutions to specific requirements.
We are proud of our record of customer satisfaction. Here is why you should choose us to help you achieve your goals and accelerate your career:
- Quality – our clients consistently rate our performance ‘excellent’ or ‘outstanding’. Our average overall score awarded to us by our clients is nine out of ten.
- Track record – 10/10 of the world’s largest banks have chosen us as there training provider and we have delivered training across the largest banks and have trained over 25,000 professionals.
- Knowledge – our 100+ strong team of industry specialist trainers are world leading financial leaders and commentators, ensuring our knowledge base is second to none.
- Reliability – if we promise it, we deliver it. We have delivered over 25,000 events both in person and online, using simultaneous translation to delegates from over 99 countries.
- Recognition – we are accredited by the British Accreditation Council and the CPD Certification Service. In an independent review by Feefo we scored 4.2/5 on service and 4.7/5 on Coursecheck
BiographyBernard Duffy began his investment management career with Abbey Life in Dublin before moving to London in 1985 to work for Irish Life Assurance Plc. At Irish Life, he was responsible for investment product marketing and new fund launches and was responsible for the company’s successful entry into the single premium bond market. He joined County Bank at the end of 1986 as Research and Development executive in the unit trust division. In 1987 he transferred to the pension fund department, assuming responsibility for the management and performance of Canadian equity investments. In 1991, he was seconded to the European equity desk to manage a research project on European smaller companies. At the end of 1992, he was appointed head of the North American equity desk. He has a B.A.(Hons) in Economics and Politics, an M.A. in Development Economics and an M.B.A. in Finance from the City university Business School in London. He is the course director and lead trainer on a number of Euromoney training programmes including the Investment Management School, Private Wealth Management, Hedge Funds and Investing in Art.