Euromoney Audit Training

Course overview

Whether you are involved in investing in domestic markets or internationally, for institutions, pension-holders or private clients, this 'Asian Investment Management School' offers the opportunity to advance your real-world investing skills through structured study, group exercises and investment simulations.

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

Methodology

The programme 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 ONE
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
• Conclusions of PMPT
• Practical applications of PMPT

  Case study: applying the principles of PMPT
  Delegates will 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 will 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 TWO
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 will 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 THREE
Dynamic portfolio analysis in an asset / liability context

Asset and liability issues

• The global pensions crisis – European, U.K. and U.S. 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 strategy
• Liabilities and funding strategy
• Pension surplus and the risk-adjusted change in surplus
• Current issues in asset / liability modeling

  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 will analyse the case of a Pension Fund with an asset / liability mismatch and a corresponding inappropriate asset allocation policy. They will be required to:
  – 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 an appropriate funding strategy
  – Devise an appropriate strategic benchmark and asset allocation for the fund
  – Develop an appropriate 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 FOUR
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 FIVE
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 began his investment management career with Abbey Life in Dublin before moving to London in 1985 to work for Irish Life Assurance.
  
  At Irish Life, Bernard was responsible for investment product marketing and new fund launches.
  
  Bernard then joined County Bank as Research and Development Executive in the unit trust division.
  
  He was then appointed head of the North American equity desk responsible for the day to day management of a successful unit trust fund.
  
  Bernard now specialises in the design and delivery of training courses on all aspects of private banking, investment management, equity and fixed income analysis. He has undertaken numerous assignments throughout the USA, Europe and Asia for clients such as ABN AMRO , Deutsche Bank, JP Morgan Investment Management.
  
  Bernard 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. Bernard has written papers on emerging competencies for the private banking and fund management industries.

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.

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