Euromoney Audit Training

This 4-day course is designed to enable delegates to:

• Design robust asset allocation models for all market conditions
• Build and maintain optimal portfolio structures depending on investor needs
• Analyse the key features, advantages and risks of a broad range of asset classes and their performance in different market conditions
• Capture and maximise 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
  

Course Objective

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.

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.

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 

Documentation and Course Texts

All delegates will receive comprehensive course documentation for use during and after the course, enabling them to return to their organizations with an extensive and valuable source of information for future reference.

Day 1

Introductions and welcome

An overview of trends within the industry

• The changing wealth management paradigm
• The passive vs. active debate – 'redefining active management'
• The benefits of a structured wealth management approach
• The 'lifecycle' approach
• The nature of downturns and recoveries
• Demographics, retirement planning & intergenerational wealth transfer
• The challenges facing wealth managers and clients
• Investment strategy beyond the credit crunch
• Open architecture and multi manager approaches

The 'theoretical' backdrop – tools and concepts

• Modern portfolio theory and the efficient market hypothesis revisited
• Flaws in the 'efficient frontier' framework
• Asset and portfolio risk and returns
• Exploring risk – the investment professionals perspective
• Exploring risk – the investors perspective(s)
• Utility and the minimum acceptable return (MAR)
• The impact of economic cycles

Case study: Have we learnt anything?

Understanding asset allocation

• Overview of the process
• Different approaches to asset allocation
• The risks and rewards of asset allocation in different market cycles
• Principal protection and principal growth assets
• The effects of inflation on purchasing power
• The Investment policy statement

The mechanics of asset allocation

• Constructing an Analytical Framework
• Market cycle – defining the capital market opportunity
• Investor satisfaction
• Phases and cycles
• Strategy implementation
• Estimating expected returns
• Matching asset classes with wealth levels and income needs
• Correlation and convergence in a crisis
• Asset and portfolio risk
• Understanding and explaining risk adjusted returns
• Optimisation models
• A comparison of the different approaches to asset allocation
• Strategic
• Tactical
• Dynamic
• Integrated
• Core / Satellite approaches
• Tactical asset allocation using derivatives

Case study: the 'road to optimality' and the cost of getting there. Building and maintaining portfolio solutions for clients.

Rebalancing and reallocation

• Principles and Scope
• Approaches to rebalancing
• Advantages and disadvantages
• Managing 'drift' in the portfolio and 'maverick' risk
• Relative performance
• Critical success factors
• Special considerations when dealing with concentrated positions

Workshop: articulating asset allocation to private clients
A series of short case studies and role plays looking at the difficulties in communicating Asset Allocation concepts to clients.

Day 2

Asset allocation and other portfolio construction disciplines

• Strategic principles
• Style and sector selection
• Region and country selection
• Industry and Security selection
• Manager selection
• Information ratios for different investment styles
• Currency selection and currency overlay
• Market timing
• Decision points in implementation strategy

Case study: liability driven investment strategies.

The search for 'alpha' and the importance of information ratios

• Defining alpha
• Idiosyncratic risk
• Sources of alpha
• Portable alpha
• What’s wrong with Beta?
• Alpha generation and manager skill
• The information ratio and coefficient
• The fundamental law of active management

Individual investor behaviour

• Introduction - What is behavioral finance?
• Decision theory
• Factors impacting individual asset allocation decisions
• The significance of 'asset locations'
• Goal based asset allocation
• Comparison of expected utility, prospect theory and mean variance analysis
• Individual investor behaviour characteristics
• What can we learn from 'market history'?
• The cycle of 'emotion'
• Identifying patterns of irrationality
• Risk profiling – dealing with behavioural bias
• Reacting to client irrationality
• Moderate or adapt the asset allocation?
• Summary of implications for portfolio design

Case study: examining patterns of irrationality and the impact on portfolio construction

Asset class characteristics

• Asset class descriptions and distinguishing qualities
• Evaluating Asset Classes
• Asset supercategories
• Rates of return
• Forecasting expected returns

Day 3

Building the equity allocation

• Market indices and indexation techniques
• Equity analysis
• Valuation approaches
• Market segmentation and weighting decisions
• Manager and style selection
• Style diversification - an impossible challenge?
• Selecting the benchmark
• Performance measurement and attribution
• Correlation amongst quoted markets
• Sources of alpha in equity portfolios
• Technical analysis - tools and techniques

Integrating alternative assets with 'traditional' asset classes

• Overview of skill-based investing
• The growth in alternative strategies
• Creating a need for alternative investments among traditional investors
• Performance characteristics of alternative investments
• Performance benchmarks for alternative investments
• Potential problems in moving to a multi asset class approach

Case study: The Yale model.

Hedge funds

• The key attributes of hedge funds
• The case for investing in hedge funds
• An overview of the trading techniques and tactics - understanding short selling, leverage and derivatives
• Hedge fund styles and strategies
• Event driven – opportunistic situations
• Relative value / arbitrage – exploit small pricing anomalies and market inefficiencies
• Directional / trading / global macro – trends and directional bets
• Long / short strategies
• Hybrid funds – a blend of strategies, styles and technique
• Evaluating Hedge Funds – risk and performance
• The future of Hedge Funds

Case study: long / short and market neutral strategies.

Day 4

Private equity

• Definition of Private Equity
• The main sources of Private Equity
• The case for Private Equity
• Constructing the Private Equity portfolio
• Monitoring the portfolio and measuring performance
• Measuring correlation with public markets
• Current trends in the market place

 Case study: the practical difficulties in building a private equity allocation.

Property

• Gaining exposure to the asset class
• Performance measurement and benchmarks
• Correlation

Structured products

• What are structured products?
• Foreign exchange products
• Certificates
• Index
• Basket
• Comparison with mutual funds
• Covered warrants
• Capital guarantee and protection products
• Vanilla products
• Portfolio insurance
• Maximum return products
• Discount certificates
• Reverse convertibles
• Derivatives
• Exchange Traded Funds – tools for tactical asset allocation
• Ad hoc solutions or part of portfolio construction?

Case study: designing specific 'structured' solutions for clients.

Summary, evaluation and close

• Bill Humphreys

  Bill Humphreys has worked in the international private banking market for almost 20 years.
  
  His private banking career began with Royal Bank of Canada where he spent 15 years in a variety of senior roles covering all aspects of the international private banking business, both onshore (London) and offshore (Bermuda).
  
  Bill has broad general wealth management experience but his particular area of expertise is developing financial planning solutions for international high net worth private clients and their businesses who have complex cross border planning issues.
  
  During his career Bill has had responsibility for designing and delivering financial training programmes for professional staff in Europe, Middle East, USA, Canada, South America and Africa.
  
  Bill is currently developing and delivering training programmes for international banks, private banks, wealth managers, professional bodies and regulators covering a broad range of financial, investment and soft skills subjects.
  
  Bill is a Chartered Accountant (FCA), Trust and Estate Practitioner (TEP) and Financial Planner (DipPFS).

  Courses run by this instructor

  • Active Portfolio Management & Asset Allocation - Riyadh

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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