Asian Investment Management School

Course overview The last few years have seen a number of forces re-shaping the global investment management industry. Equity volatility, new fixed income products, the growth of hedge funds, commodities and real estate – to name but a few – have contributed to dramatic changes in investor preferences, investment styles and asset allocation. Traditional analytical frameworks and performance measures must now be used together with a new group of tools and metrics to interpret data, trends and performance in this new environment and for newer asset classes. Whether you are involved in investing in global or domestic markets, for institutions, pensionholders or private clients, this 5-day course 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 the current economic environment Understand 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 with practical applications Assess the opportunities offered by emerging alternative assets Develop frameworks to accommodate real assets in portfolios Methodology The course is intensive, requiring full and active participation. It provides a valuable opportunity to network with other industry professionals. Practical exercises demonstrate how to structure portfolios to match or beat specific benchmarks or expected returns. Comprehensive pre-course reading is available for those wishing to review the fundamentals of fixed income/equity analysis, CAPM, APT and other principals of modern portfolio theory. Case studies are based on Asian examples Who should attend this training course? Portfolio, Fund and Asset Managers Investment Analysts/ Advisors/ Strategists Private Bankers/Investors Heads of investment Pension Fund/Trustee Managers Regulators, Auditors and Actuaries Securities Sales Staff Supporting publication
Day 1 Quantitative tools to enhance the investment process Registration commences at 8:30 Programme runs from 9:00 - 5:00 daily 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 Downside deviation and the Minimum Acceptable Return (MAR) The target rate of return and upside potential Practical applications of PMPT Case study: Applying PMPT Information ratios and opportunity sets The information coefficient and manager skill The information ratio The fundamental law of active management Residual risk and residual return The opportunity set and residual frontier Case study: Applying information ratios In search of alpha Defining alpha Ex ante and ex post alpha Sources of alpha Forecasting alpha Alpha analysis Alpha and portfolio construction Refined alpha Alpha and residual risk T-statistics, information ratios and information coefficients Day 2 Asset allocation in today's environment Asset allocation theory Components of expected return Forecasting asset class expected returns The covariance and correlation matrix How useful is correlation? 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 explain a number of high profile asset allocation moves by Institutional Money Managers. Strategic and tactical asset allocation 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 Asset mix rebalancing What is rebalancing? Why do it? Different approaches to rebalancing Buy-and-hold Constant mix Constant Proportion Portfolio Insurance (CPPI) Options Based Portfolio Insurance (OBPI) Day 3 Behavioural finance, style management and performance attribution and analysis Behavioural finance What is it? Efficient market hypothesis and behavioural finance What can behavioural finance teach us about investing? Systematic errors in investment thinking Limited arbitrage and investor sentiment Common behavioural finance traits Case study: 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 Day 4 Dynamic portfolio analysis in an asset/liability (A/L) context Asset and liability issues The global pensions crisis 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 and funding strategies Pension surplus and the risk-adjusted change in surplus Current issues in A/L modelling Case study: Assessing the impact of liabilities on a pension fund's investment strategy. Dynamic portfolio approaches Dynamic portfolio analysis with assets and liabilities Developing a strategic benchmark in an A/L 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 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 analyse a pension fund with an A/L mismatch and an inappropriate asset allocation policy. They will: Analyse the potential impact of the pension deficit on the company's balance sheet and the fund's liabilities on the overall investment strategy Devise a funding strategy, investment philosophy and an appropriate strategic benchmark and asset allocation 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 Day 5 Alternative investments Shadow banking and alternative financing What does shadow banking mean and entail Why fund managers are interested in shadow banking and alternative financing The risk and return opportunities in alternative financing as an asset class The various segments of shadow banking and alternative financing The role of fund managers in infrastructure and real estate financing Maturity and liquidity transformation Myth vs. Reality in the hedge fund world 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 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 (PE) - revisiting the investment case Characteristics of PE as an asset class The different routes to investing in PE The drivers of PE returns The J-curve of a PE investment How do PE managers add value? How will private equity perform in a credit constrained environment? The outlook for PE in Asia Pacific 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