Euromoney Audit Training

Course overview

Whether you are involved in investing in domestic markets or internationally, for institutions, pension-holders or private clients, this 'Investment Management School' will give you all the in-depth information you will need to advance your investing skills through structured study, group exercises and investment simulations. On completion of the course you will be ready to apply your new skills to real-world investing activities, with the ultimate objective of increasing returns, reducing risks and attracting (and retaining) investors.

Summary of course content

• Devise asset allocation strategies for a post-credit crunch environment
• Alpha analysis and information ratios in theory and practice
• Learn and apply the principles of post-modern portfolio theory
• Construct superior equity portfolios using behavioural finance theory
• Reassess hedge fund investing in light of recent events
• Learn how to implement portable alpha strategies via practical applications
• Assess the opportunities offered by emerging alternative assets
• Develop frameworks to accommodate real and tangible assets in portfolios

Case studies are based on Asian examples

Methodology

The course is highly intensive, requiring full and active participation. It provides a valuable opportunity to network with other industry professionals.

Who should attend this training course?

Designed for individuals who wish to make a real impact on their investment management strategy. We suggest the following investment professionals attend:

• Portfolio/ Fund/ Asset Managers
• Investment Analyst/ Advisors/ Strategists
• Private Banker/ Investors
• Heads of Investment
• Pension Fund/ Trustee Managers
• Regulators, Auditors and Actuaries
• Securities Salespersons

 Supporting publications

   

 

Day 1

Quantitative background and tools to enhance the investment process

Post-Modern Portfolio Theory (PMPT)

• Recap of capital asset pricing model and arbitrage pricing theory
• First and second order stochastic dominance
• Problems with standard deviation as a measure of risk
• Foundations of PMPT
• Downside deviation and the Minimum Acceptable Return (MAR)
• The target rate of return and upside potential
• Practical applications of PMPT

Case study: applying the principles of PMPT

Delegates assess how new measures of risk compare with more traditional measures and how they can be used in discussing and formulating investment strategy with trustees and plan sponsors.

Information ratios and opportunity sets

• The information coefficient and manager skill
• The information ratio
• The fundamental law of active management
• Inside the information ratio
• Residual risk and residual return
• The opportunity set and residual frontier

Case study: applying information ratios

Delegates apply a number of quantitative techniques in a series of practical exercises to test their
understanding of information ratios.

In search of alpha

• Defining alpha
• Ex ante and ex post alpha
• Sources of alpha
• Techniques for forecasting alpha
• Alpha analysis
• Alpha and portfolio construction
• Refined alpha
• Alpha and residual risk
• T-statistics, information ratios and information coefficients

Global asset allocation simulation

 

Day 2

Asset allocation in a post credit-crunch environment

Asset allocation theory

• Components of expected return
• Forecasting asset class expected returns
• The covariance and correlation matrix
• How useful is correlation in today's environment?
• Building optimal portfolios
• Importance of the benchmark and policy portfolio
• Historical equity and bond risk premia
• Where has the equity risk premium disappeared to?

Case study: asset allocation theory

Delegates apply asset allocation theory to explain a number of high profile asset allocation moves by Institutional Money Managers.

Strategic and tactical asset allocation - constrained and unconstrained

• A comparison of the different approaches to asset allocation
• Strategic, tactical, integrated and insured approaches
• The Yale Endowment Model
• Core / satellite approaches
• Unconstrained approaches
• Defining the dimensions of unconstrained and tactical asset allocation frameworks
• Tactical asset allocation, tactical style allocation and credit yield spreads
• New approaches to the asset allocation decision

Case study: benchmark timing and tactical asset allocation

Delegates will develop a composite tactical asset allocation framework to help reduce the risks to this important decision.

Asset mix rebalancing

• What is rebalancing and why do it?
• A comparison of the different approaches to rebalancing
• Buy-and-hold
• Constant mix
• Constant Proportion Portfolio Insurance (CPPI)
• Options Based Portfolio Insurance (OBPI)

Global asset allocation simulation

Day 3

Behavioural finance, style management and performance attribution and analysis

Introducing behavioural finance

• What is behavioural finance?
• Efficient market hypothesis and behavioural finance
• What can behavioural finance teach us about investing?
• Systematic errors in investment thinking
• The major foundations of behavioural finance theory: Limited arbitrage and investor sentiment
• Common behavioural finance traits:
• Framing and coding
• Over-confidence
• Over-reaction bias
• Myopic loss aversion

Case study: behavioural finance

Delegates will examine recent asset bubbles and subsequent crashes and explain both phenomena using the precepts of behavioural finance.

Style allocation and style management

• What is style management and why do it?
• Growth / value betas and alphas
• Extremes in growth and value stocks
• Growth / value barbell portfolios
• What drives style cycles
• Style and expectations formation in the equity markets

Case study: style allocation and style management.

Performance attribution and analysis

• The skill / luck matrix
• Standard error of the information ratio
• Cross sectional comparison performance
• Returns-based performance analysis
• Components of investment performance
• Performance attribution analysis
• Risk adjusted performance analysis and measurement
• Sharpe ratio
• Sortino ratio
• Treynor measure
• Jensen measure
• Fama measure

Global asset allocation simulation

Day 4

Dynamic portfolio analysis in an asset / liability context

Asset and liability issues

• The global pensions crisis - European, UK and US perspectives
• The rising costs of funding pension schemes
• The importance of the pension fund to corporate balance sheets
• The relationship between pension assets and liabilities
• Measuring and modelling a pension liability
• Impact of liabilities on investment and funding strategies
• Pension surplus and the riskadjusted change in surplus
• Current issues in asset / liability modelling

Case study: assessing the impact of liabilities on a pension fund's investment strategy - The case of
The Boot's PLC Pension Fund.

Dynamic portfolio approaches

• Dynamic portfolio analysis with assets and liabilities
• Developing a strategic benchmark in an asset / liability framework
• Portfolio optimisation with drawdown constraints
• Global equity and bond investing for pension funds
• The absolute vs. relative return decision for a pension fund
• Dynamic investment approaches
• Liability matching strategies - duration matching and cashflow matching
• Strategies with upside - dynamic contingent optimisation and portable alpha
• Limiting the sponsor risk - absolute return and liability hedging
• Generating real returns - new asset classes and real alpha

Case study: asset allocation and fund manager selection

Delegates analyse a pension fund with an asset / liability mismatch and an inappropriate asset allocation policy. They will:

• Analyse the potential impact of the pension deficit on the company's balance sheet
• Analyse the impact of the fund's liabilities on overall investment strategy
• Devise a funding strategy
• Devise an appropriate strategic benchmark and asset allocation for the fund
• Develop an investment philosophy for the fund
• Appoint external managers for the fund

Portable alpha in theory and practice

• What is portable alpha and how does it work?
• The components of a portable alpha strategy
• Alpha-beta separation
• Portable alpha and asset allocation
• Portable alpha in a world of low returns
• Portable alpha implementation

Global asset allocation simulation

Day 5

Alternative investments in a post credit-crunch world

Myth vs. reality in the hedge fund world

• Are hedge funds a "busted flush" and what does the future hold?
• Cause and effects of the hedge fund implosion
• Do hedge fund-of-funds have a future in light of recent events?
• Separating alpha from beta in the hedge fund space
• Revisiting the drivers of hedge fund returns
• Outlook for the following strategies:
• Relative value
• Opportunistic
• Event driven
• Global macro
• The outlook for Asian hedge funds

Case study: hedge funds in the new environment

Private equity - revisiting the investment case

• Characteristics of private equity as an asset class
• The different routes to investing in private equity
• The drivers of private equity returns
• The J-curve of a private equity investment
• How do private equity managers add value?
• How will private equity perform in a credit constrained environment?
• The outlook for private equity in Asia

Case study: private equity

Commodities

• Commodities as an asset class
• Risk, return and correlation characteristics of commodity markets
• Overview of major commodity markets
• Should commodities be considered a strategic or a tactical asset class?
• Is the bull argument for commodities still in place?

Emerging alternative assets

• Infrastructure as an asset class
• Forestry and farmland as an asset class
• Carbon emissions as an asset class
• Environmental assets
• Emotional assets

Global asset allocation simulation

• Bernard Duffy

  Bernard Duffy is a dedicated training solutions provider to the Global Wealth Management and Fund Management industries. His consultancy specialises in the design and delivery of training programmes across the full spectrum of products and asset classes, both traditional and alternative. He is highly respected for his ability to integrate selling skills training with complex product training in an informative and entertaining style.
  
  Bernard 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 smaller European companies. At the end of 1992, he was appointed head of the North American equity desk.
  
  Bernard has a B.A.(Hons) in Economics and Politics, an M.A. in Development Economics and an M.B.A. in Finance from City University Business School in London. Bernard is the course director and lead trainer on a number of Euromoney training programmes. He has undertaken numerous training assignments throughout Europe, Asia and the U.S.A. for leading private banks and asset managers. In 2007, Bernard founded a boutique asset manager focused on researching and investing in a broad range of emotional assets from fine art and rare stamps to diamonds and classic cars.
  

  Courses run by this instructor

  • Pension Fund Strategy
  • Exchange Traded Funds (ETFs) Masterclass

Interested in holding this course in-house? Please fill out your details and a member of our team will be in touch with more information.

Bond School

12-15 Jun 2012 (Hong Kong, Hong Kong)
4-7 Dec 2012 (Singapore, Singapore)

Our expert 'Bond School' provides systematic, integrated training on all bond and bond related products available in the market today. The course is designed to equip you with the most professional, intensive and active market knowledge in this field.

Private Equity and Leveraged Transactions

18-20 Jun 2012 (Singapore, Singapore)

This course reviews critical aspects of private equity and includes the analysis of several private equity deals and leveraged buyouts, including a series of Asian transactions.

Bank Risk Management School

23-27 Apr 2012 (Hong Kong, Hong Kong)
15-19 Oct 2012 (Singapore, Singapore)

In the current economic downturn, many financial institutions lost large amounts of money and had to be assisted by governments. Was this a failure of risk management, and if so, why? 'Bank Risk Management School' will discuss that happened, and how some institutions actually came out of the credit crisis with enhanced reputations.

Portfolio Performance Measurement and Attribution Analysis

21-23 May 2012 (Hong Kong, Hong Kong)
15-17 Oct 2012 (Singapore, Singapore)

Portfolio performance measurement is the quality control element of the investment decision process. It provides the necessary information to enable asset managers and clients to assess exactly how their money has been invested and the results of the process. Performance measurement is a core part of the decision process providing essential information to several key stakeholders.

Euromoney Fixed Income School

16-20 Apr 2012 (Singapore, Singapore)
24-28 Sep 2012 (Hong Kong, Hong Kong)

A 5-day intermediate training programme on fixed income securities, fixed income derivatives and fixed income structured products.

International Private Banking School

18-22 Jun 2012 (Singapore, Singapore)
26-30 Nov 2012 (Hong Kong, Hong Kong)

Taught by an internationally experienced wealth management executive, this course is designed to give delegates a comprehensive overview of how to build a successful wealth management strategy and raise the performance of their institution.

Strategic Portfolio Management and Asset Allocation

11-14 Sep 2012 (Singapore, Singapore)

The aim and objective of 'Strategic Portfolio Management and Asset Allocation' is to further develop the skills, competencies, and knowledge needed to achieve investment objectives by managing and controlling investment risk and enhancing the returns of investment portfolios.

Exchange Traded Funds (ETFs) Masterclass

31 Oct 2012 - 2 Nov 2012 (Hong Kong, Hong Kong)

This unique new masterclass will help you navigate the rapidly evolving world of ETFs and understand the role of the different players in the structuring, management, administration and marketing of ETFs.

Pension Fund Strategy

28-30 Nov 2012 (Singapore, Singapore)

This comprehensive course addresses many of the pension issues from both the asset and liability perspectives to give you a holistic appreciation of the complex issues involved.

Euromoney School of Management and Leadership

23-27 Apr 2012 (Singapore, Singapore)
15-19 Oct 2012 (Hong Kong, Hong Kong)

This course offers an unparalleled insight into the financial sector and the unique way in which it operates both in Asia and globally. The course has been enthusiastically recommended by all past attendees.

Global Macro Allocation Strategies

20-23 Mar 2012 (Hong Kong, Hong Kong)

This course will advocate an holistic approach to macro market analysis and investing and will explain this approach by examining inter-relationships across all relevant asset classes as expressed in the day to day co-movements revealed in global markets. The advertised price is our Early Bird Discount. Early Bird Deadline is 21 February 2012. Register and pay before this date to receive this special discounted rate.

 

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