Institute. Yale School of Management EDHEC-Risk Institute Multi-Asset Products and Solutions Seminar

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1 Institute Yale School of Management EDHEC-Risk Institute Multi-Asset Products and Solutions Seminar May 26-27, 2015, Yale Campus (New Haven, CT) - USA

2 Yale SOM EDHEC-Risk Multi-Asset Products and Solutions Seminar Description This seminar has a focus on multi-asset and multi-manager investment products and solutions. For participants who have attended the whole seminar series, it can be regarded as a concluding seminar that leverages upon the educational insights provided about the main traditional asset class (stocks, and bonds) as well as nontraditional asset classes (alternative investments) within the previous five seminars. For participants who may not have attended previous events, it is meant to serve as an in-depth introduction to a fast developing field focusing on helping investors achieve their desired outcomes with a multi-asset approach, combining asset allocation, manager selection and dynamic portfolio management techniques. In a nutshell, multi-asset products and solutions are by definition invested across the investment landscape and may include equities, bonds and alternative asset classes, with the asset manager in charge typically using active asset allocation decisions to add value above and beyond the value added by each manager within each asset class. The first day of the seminar will survey the evidence on return predictability that is relevant for investors engaging in tactical asset allocation. The seminar will begin with a discussion about the predictability of broad asset class returns, particularly equity and fixed income market returns. It will include a discussion about predictability of returns of sectors and styles within the equity market. Finally, should one choose to implement one s asset allocation strategy using active mutual fund managers, the first day of the seminar will present the methodologies used for identifying the managers who are most likely to outperform in the future. The second day of the seminar will dig further into how to use this reported evidence of predictability in asset, style and factor returns to build a process that can be used to perform active asset allocation decisions. It will discuss the models, techniques and applications of tactical asset allocation strategies, but also the practical implementation challenges associated with this process. More precisely, the seminar participants will review the different types of asset allocation, the modeling issues involved in building successful asset return prediction models, the risk forecasting techniques used in practice and the portfolio construction issues involved when running a TAA strategy. They will also review practical developments in equity factor rotation, volatility, commodity and volatility strategies and use case studies to illustrate the challenges and issues involved in designing, building and implementing tactical asset strategies. Overall, the focus of the second day of the course will be on the application of modern portfolio management principles to bridge the gap between the theory and practice of tactical asset allocation, so as to design meaningful multi-asset investment products and solutions. Key Learning Objectives > Investigate the evidence on return predictability > Explain the methodologies used for identifying the managers who are most likely to outperform in the future > Learn how to use the reported evidence of predictability in asset, style and factor returns to build a process that can be used to perform AAA decisions > Identify the different types of asset allocation, modeling issues, risk forecasting techniques used in practice > Explore practical developments in equity factor rotation, volatility, commodity and volatility strategies > Use case studies to illustrate the challenges and issues involved in designing, building and implementing tactical asset strategies 2

3 Detailed Outline Day 1 Professor James J. Choi Return predictability for tactical asset allocators This day will survey the evidence on return predictability that is relevant for investors engaging in tactical asset allocation. We will begin with predictability of broad asset class returns, particularly equity and fixed income market returns. We will then narrow the scope to predictability of returns of sectors and styles within the equity market. Finally, should one choose to implement one s asset allocation strategy using active mutual fund managers, we will discuss how to identify the managers who are most likely to outperform in the future. Predicting stock market returns > Valuation ratios > Investor sentiment measures > Learning from corporate financing decisions > Learning from the bond market > Volatility timing Predicting bond market returns > Learning from the term structure > Learning from corporate financing decisions Predicting equity style returns > Style momentum and reversals > Predicting value strategy returns with the value spread > Predicting momentum strategy returns with the momentum gap > Predicting high-beta vs. low-beta stock returns with the TED spread Picking active equity mutual fund managers > How persistent is performance? > Management fees and future returns > Learning from fund flows > Learning from fund portfolio holdings > Learning from manager characteristics 3

4 Day 2 Professor Nikolaos Tessaromatis Global Tactical Asset Allocation Strategies in Theory and Practice This day will discuss the models, techniques and applications of tactical asset allocation strategies. We review the different types of asset allocation, the modeling issues involved in building successful asset return prediction models, the risk forecasting techniques used in practice and the portfolio construction issues involved when running a TAA strategy. We review developments in equity factor rotation, volatility, commodity and volatility strategies and use case studies to illustrate the challenges and issues involved in designing, building and implementing tactical asset strategies. The focus of the course will be on the application of modern portfolio management principles to bridge the gap between the theory and practice of tactical asset allocation. Introduction > What is TAA > Why TAA? > A brief history of asset allocation > Types of TAA strategies Tactical asset allocation methodological foundations > TAA for short and long term investors > Estimation error > The Black-Litterman model: incorporating active views in TAA strategies - Case study: Constructing a global country portfolio - BL in practice > Recent developments in asset return prediction modelling > Forecasting variances and covariances in practice > Designing, building and evaluating a TAA strategy - Case study: Building a global equity TAA strategy Tactical asset allocation strategies > Factor based asset allocation > Equity factor rotation strategies - Case study: A dynamic global factor strategy under state dependent risk premia > Fixed income, volatility, currency and commodity strategies Topics in TAA > The Fundamental Law of active management and TAA > Implementing TAA strategies > TAA strategies as practiced by major investors 4

5 Seminar Instructors James Choi, Professor of Finance, Yale School of Management, PhD Harvard University James Choi is an expert in behavioral finance and household financial decision making. His research includes investigations of the pricing impact of investor sentiment and information asymmetry in the Chinese stock market, household selection of mutual funds, retirement savings choices, the effect of personal experience and peer influence on savings rates, and the effect of the Internet on trading behavior. He has published in all of the leading academic finance journals and has had his research covered by the New York Times, Wall Street Journal, Financial Times, BusinessWeek, Economist, Barron s, Money, MarketWatch, and many other outlets. Professor Choi is a recipient of the TIAA-CREF Paul A. Samuelson Award for outstanding scholarly writing on lifelong financial security. He is a member of the FINRA Investor Issues Committee and a TIAA-CREF Institute Fellow. Nikolaos Tessaromatis, Professor of Finance, EDHEC Business School, PhD, Manchester Business School Nikolaos Tessaromatis is a Professor of Finance at EDHEC Business School and Member of EDHEC- Risk Institute. Prior to joining EDHEC Business School Dr Tessaromatis was CEO and CIO of EDEKT Asset Management, the leading fiduciary manager of Greek pension funds, and Associate Professor of Finance at ALBA Graduate Business School. A financial economist with interest and experience in applying modern portfolio theory to the management of institutional assets, his professional experience includes creation and management of quantitatively driven investment products, index fund management, portfolio risk management and advice on strategic asset allocation. His academic experience includes positions as Associate Professor of Finance at ALBA Graduate Business School and Lecturer in Finance at Warwick Business School. He was also Chairman of the Board of Directors, School of Education of Employees at the Greek Ministry of the Economy. His research and teaching focuses on pension fund asset-liability management, global investment strategies, fund manager selection and risk management. Yale SOM EDHEC-Risk Certificate in Risk and Investment Management Institute Participants in the seminar series can acquire the joint Yale School of Management EDHEC-Risk Certificate in Risk and Investment Management. For further information on the Yale SOM EDHEC-Risk Certificate in Risk and Investment Management, please refer to the Certificate brochure. 5

6 Fees, Billing and Further Information Fees Standard rate: EUR3,000 (USD3,230) CFA Institute Member rate: EUR2,250 (USD2,420) Early bird available before April 26 Fees include instruction, documentation, refreshments at breaks, and lunch. Accommodation is not included. Billing and payment The fee is billed upon registration and must be settled before the seminar begins. Payment can be made by credit card or wire transfer. Transfer or cancellation Transfer of registration to a colleague, upon written notice, is allowed and free of charge. Transfer of registration fees to another Yale SOM - EDHEC-Risk programme must be requested in writing and is subject to the following charges: 45 to 30 days notice: 15% of the tuition fee; 29 to 11 days notice: 30% of the tuition fee; 10 days notice or less: 50% of the tuition fee. Cancellations of confirmed seats must be received in writing and are subject to the following charges: 45 to 30 days notice: 25% of the tuition fee; 29 to 11 days notice: 50% of the tuition fee; 10 days notice or less: 100% of the tuition fee. Schedule A typical programme day lasts from 8:30 am to 5:30 pm and is usually divided into lectures and application cases. The two class sessions in each half-day period are separated by 30-minute refreshment breaks. Lunch is included. Venue Yale School of Management Edward P. Evans Hall 165 Whitney Avenue, New Haven, Connecticut Continuing Professional Education Credits EDHEC-Risk Institute is registered with CFA Institute as an Approved Provider of continuing education programs EDHEC-Risk Institute is registered with GARP as an Approved Provider of continuing professional education credits for FRMs and ERPs. Registration For further information, please contact Mélanie Ruiz at: yalesom-eri@edhec-risk.com or on: To register, please visit: 6

7 Yale School of Management Edward P. Evans Hall 165 Whitney Avenue, New Haven, Connecticut Tel.: Institute EDHEC-Risk Institute 393 promenade des Anglais BP Nice Cedex 3 France Tel: +33 (0) EDHEC Risk Institute Europe 10 Fleet Place, Ludgate London EC4M 7RB United Kingdom Tel: EDHEC Risk Institute Asia 1 George Street #07-02 Singapore Tel: EDHEC Risk Institute North America One Boston Place, 201 Washington Street Suite 2608/2640, Boston, MA United States of America Tel: EDHEC Risk Institute France rue du 4 septembre Paris France Tel: +33 (0)