Masterclass on Portfolio Construction and Optimisation

Transcription

1 Masterclass on Portfolio Construction and Optimisation 5 Day programme

2 Programme Objectives This Masterclass on Portfolio Construction and Optimisation will equip participants with the skillset required to excel and outperform in a multi-asset environment. Participants will be exposed to the latest techniques in managing and constructing portfolios and will learn how to optimise exposures to a broad range of asset classes. Who Should Attend The following professionals will benefit from attending this new training course : Portfolio Managers Investment Advisors Investment Analysts Risk Managers and Analysts Investment and Risk Supervisors Heads of Department Regulatory Supervisors Wealth Managers Private Bankers Performance Specialists Asset Allocators Relationship Managers Agenda Day One: Asset Allocation and Portfolio Optimisation Session 1 New Paradigms in Asset Allocation The changing world of asset allocation The demise of risk-free assumptions Assets are undergoing structural change Risk-on, risk-off mentalities Why new approaches are needed Relative Vs Absolute Vs Unconstrained investment approaches How ETFs are disrupting the old landscape Capturing risk premiums as cheaply as possible Case Study: Introducing a complex case study initial steps in asset allocation

3 Session 2 Asset Allocation Theory Inputs to the asset allocation decision Models with alternative risk definitions Correlations and the covariance matrix Efficient frontiers and optimal portfolios Utility functions and indifference curves Static approaches to asset allocation strategic asset allocation Dynamic approaches to asset allocation integrated, tactical and insured Asset allocation rebalancing approaches Case Study: Quantitative exercises in asset allocation Session 3 Asset Allocation, Asymmetric Returns and Post Modern Portfolio Theory Asymmetric investment returns and how to achieve them What fund managers need to know about PMPT Applying the principles of PMPT to portfolios The search for assets with asymmetric return distributions Downside deviation and the minimum acceptable return Target rate of return and upside potential ratio Case Study: Applying the principles of PMPT Session 4 Dynamic Asset Allocation and Unconstrained Investment Approaches The move towards more dynamic portfolio management Multi-asset and multi-manager approaches Constant active management and conviction driven decision making Active risk budgets and volatility management Downside risk management Portable alpha and alpha transportation Capturing the upside whilst controlling the downside Case Study: Structuring the portfolio for an Asset Allocation

4 Day Two: Quantitative Equity Investing, Relative Value Investing and Investing in Private Equity and Venture Capital Session 1 Quantitative EPM Strategies Principles guiding quantitative equity portfolio management Moving beyond Markowitz mean-variance optimisation Insights from Black-Litterman and Bayesian approaches Factor choice, factor exposure and factor forecasting Quantitative portfolio construction and management in emerging markets challenges and pitfalls Quantitative unconstrained portfolio management when conviction is high Minimum-variance portfolios, construction and performance Portable alpha in theory and practice 130/30 strategies ETFs the vehicle of choice? Case Study : Calculating the Risk/Return Characteristics of an Unconstrained (high conviction) Equity Portfolio Session 2 Relative Value Strategies What does relative value market-neutral mean? Pair trades identification and exploitation Examples of relative value strategies in practice - Equity market neutral/statistical arbitrage - Convertible bond arbitrage - Fixed income arbitrage - Credit arbitrage - Capital structure arbitrage Case Study: Relative Value Exercises Session 3 Private Equity A brief history of private equity investing The different routes to investing in private equity Main differences between private equity investing Vs public equity investing The J-curve of a private equity investment Value drivers in a private equity investment How LBOs work and how private equity managers make money on deals Case Study : Analysing an LBO Deal Session 4 Venture Capital A brief history of venture capital investing The various rounds and stages of venture capital investing Do the returns compensate for the risk The unique cash flow and risk dynamics of early-stage ventures Valuing early-stage ventures Why traditional valuation methods don t work for early-stage ventures Structure of venture capital funds Understanding how venture capital firms think Term sheets what each side tries to achieve in a term sheet Terms for splitting the rewards and allocating control Aligning the interests of founders/management and investors Case Study : Silicon Valley and the Venture Capital Industry

5 Day Three: Fixed Income Portfolio Management Tools of the Trade Session 1: Sovereign Bond Analysis Today The changing character of sovereign debt Sovereign bonds and risk-free returns Key drivers of sovereign credit quality today Sovereign risk analysis and CDS spreads Trainer Led Discussion: Reassessing sovereign debt risk in light of the credit crisis Session 2: Interest Rates, Yield Measures and Yield Curves Overview of yield measures current yield, yield-to-maturity, horizon yield Nominal yields, real yields, index linked yields and inflation Factors affecting bond yields and the term structure of interest rates Overview of sovereign term structure theories The treasury yield curve and how to interpret it Analysis and interpretation of spot, forward, par and swap curves The importance of the forward curve and forward rates Interest rate and yield curve modelling Case Study: Yield Curve Interpretation Session 3: Bond Price Volatility and Interest Rate Risk: Duration and Convexity Basics of interest rate risk Determinants of bond price volatility PVBP (PV01) and the price value of a basis point Duration concepts modified, effective and key rate The importance of duration in managing a portfolio Convexity, meaning and application Session 4: Hedging Sovereign Bonds Principles of hedging sovereign bond portfolios Choices of instruments for hedging Calculating hedge ratios Regression-based hedge ratios Duration-based hedge ratios Yield betas Convexity hedging Case Study: Duration-based hedging

6 Day Four: Risk and Performance Measurement and Investing in Infrastructure Session 1 Risk Management and Modelling in Portfolio Management Identification of risks in asset management Integrating risk into the investment process Different types of risk and how to measure them Tracking error, VaR, downside risk, shortfall probability Defining acceptable risk levels Extreme event distributions Exposure based risk models The total level of active risk in the portfolio Active risk and active risk budgeting Case Study: Integrating risk management into the investment process Session 2 Performance Measurement and Attribution Analysis Time-weighted and money-weighted returns Risk-adjusted performance analysis and measurement Meaning and interpretation and application of the following measures : Sharpe ratio Sortino ratio Treynor ratio Jensen ratio Fama ratio 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 Selection effects Vs allocation effects Case Study: Attribution Analysis calculations Session 3 Investing in Infrastructure History of infrastructure investing Principle players in the infrastructure industry Why infrastructure investing is not a fad and is here to stay The unique characteristics of infrastructure as an asset class Risks and rewards of infrastructure as an asset class Characteristics of infrastructure investing that appeal to investors Ways to invest in infrastructure Opportunities and pitfalls of infrastructure investing Case Study : Ways to Invest in Infrastructure

7 Day Five: Exchange Traded Funds The New Building Blocks Session 1 Characteristics of ETFs A brief history of the evolution of ETFs Stimulants and catalysts behind the growth of ETFs Why the ETF market is poised for further growth An overview of the different types of exchange traded product An overview of what is needed to create an ETF Key differences between ETFs and tracker funds Key differences between ETFs and open-ended mutual funds Key differences between ETFs and closed-ended funds Case Study: Comparing ETFs with other investment vehicles Session 2 Mechanics of ETF Creation and Redemption The rationale for share creation and redemption during the trading day Players involved in the ETF creation process The role of authorised participants (AP) in the ETF creation and redemption process The role and importance of creation units Portfolio composition files (PCFs) Market pricing of ETFs Continual ETF pricing how it works NAV calculations for ETFs Intraday indicative values (IIVs) and indicative NAVs (inavs) ETF premiums and discounts and their calculation Authorised participants and the creation and redemption arbitrage mechanism How ETF prices are kept close to their NAV price Synthetic ETFs Swap-based ETF models Vs portfolio-based models Case Study: Calculation of intraday indicative values Session 3 ETFs and Portfolio Strategies Factors to consider in deciding the appropriate ETF investment strategy Active ETFs are on the way Strategic asset allocation, passive investing and ETFs Tactical asset allocation, market timing and ETFs ETFs, alpha and beta Active sector allocation and rotation via ETFs Active style rotation via ETFs Active theme allocation via ETFs Core-explore-satellite approaches via ETFs Lifecycle investing via ETFs Target date investing via ETFs ETFs and equity investing ETFs and fixed income investing ETFs and commodities investing Case Study: Choosing an appropriate ETF portfolio investment strategy

8 Session 4 Launching an ETF Making the decision to launch an ETF What you need to have in place to get it right first time The 3 phases to a successful ETF launch Choosing your service providers Filing for regulatory approvals Choosing a market maker/specialist firm Reviewing the draft prospectus and Authorised Participant (AP) agreements Deciding on a listing exchange and launch date Deciding on your distribution strategy Educating your distribution partners Communicating the investment benefits Case Study: Launching an ETF and devising a marketing strategy Course Trainer - Bernard Duffy Bernard began his investment management career with Abbey Life in Dublin before moving to London in 1985 to work for Irish Life Assurance Plc. 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 European smaller companies. At the end of 1992, he was appointed head of the North American equity desk and was responsible for the day to day management of a successful unit trust fund. Bernard was at supervisor level and deemed Fully Threshold Competent under the I.M.R.O. competence assessment regime. 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 Bank, Bankers Trust, Deutsche Bank, Merrill Lynch, Lehman Brothers, JP Morgan Fleming Asset Management and Mercury Asset 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