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

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1 Institute Yale School of Management EDHEC-Risk Institute Multi-Asset Multi-Manager Products and Solutions December 5-6, 2016, Yale Campus (New Haven, CT)-USA

2 Yale SOM EDHEC-Risk Multi-Asset Multi-Manager 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 three 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. 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, the first day of the seminar will also present the methodologies used for identifying the managers who are most likely to outperform in the future for situations when the asset allocation strategy is implemented via active mutual fund managers. The second day of the seminar will discuss the models, techniques and applications of tactical asset allocation strategies as well as factor rotation strategies. It will start with a review of the different types of dynamic asset allocation techniques, the modelling issues involved in building successful asset return prediction models, the risk forecasting techniques used in practice and the portfolio construction issues involved when running an active allocation strategy. It will also 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 broad focus of this day will be on the application of modern portfolio management principles to bridge the gap between the theory and practice of tactical asset allocation. Key Learning Objectives > Learn the evidence on return predictability > Discuss the models, techniques and applications of active multi-asset allocation strategies > Review the methodologies used for identifying mutual fund managers who are most likely to outperform > Learn how to incorporate active views on tactical asset allocation models > Discover recent techniques for factor rotation strategies within and across asset classes > Provide practical application through real-world examples of the techniques introduced during the seminar 2

3 Detailed Outline Day 1 Professor James J. Choi Return predictability and active management Multi-asset managers can add value through their allocation decisions across broad asset classes and their choice of managers within each asset class. We will begin this day by surveying the evidence on the predictability of returns in equity and fixed income indexes. We will then turn our attention to how one might select active equity mutual fund managers. Finally, we will cover the debate on private equity s performance as an asset class and the evidence on whether individual manager outperformance can be predicted. Predicting stock market returns > Valuation ratios > Investor sentiment measures > Learning from corporate financing decisions > Model averaging > Macro announcement timing > Volatility timing Predicting bond market returns > Learning from the term structure > Learning from issuance decisions Picking active equity mutual fund managers > How persistent is performance? > Management fees and future returns > Learning from portfolio characteristics > Learning from manager characteristics How attractive is private equity? > Does private equity outperform as a whole? > Can private equity manager outperformance be predicted? 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, low volatility/beta strategies, commodity, currency 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 - Rebalancing: fact and fiction > Portfolio construction and estimation error - Case study: Using the Black-Litterman model to build a TAA strategy in practice > Recent developments in asset return and risk prediction modelling > Risk based timing strategies > Designing, building and evaluating a TAA strategy Tactical asset allocation strategies > Factor based asset allocation > Equity factor rotation strategies -Case study: A volatility regime based global factor strategy > Predicting the payoff of low risk strategies > 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

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.

choices, the effect of personal experience and peer influence on savings rates, and the effect of the Internet on trading behavior.

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 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 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. Prior to joining EDHEC Business School Dr Tessaromatis was CEO and CIO of EDEKT Asset Management, the leading fiduciary manager of Greek pension funds. He worked for several years in the City of London as Principal and Head of Research and Product Development at Gartmore Investment Management, Associate Director at Nat-West Investment Management and Senior Quantitative Analyst at Hermes Investment Management. 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 strategies, 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 Chairman of the Board of Directors, School of Education of Employees at the Greek Ministry of the Economy. 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: EUR3,500 (USD4,000) 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. Invoicing will be in euros. 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 9:00am to 5:00pm 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: Caroline Prévost, EDHEC-Risk Institute at: yalesom-eri@edhec-risk.com or on: David Pramer, Yale School of Management at: david.pramer@yale.edu 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)

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

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