Investment Management Academy
Investment Management Academy
Starting dates and places
Description
Whether you invest in domestic or international markets for
institutions, pension-holders or private clients, this programme
will give you the skills to increase your returns, reduce risk and
retain investors. You also have the unique opportunity to network
with your industry peers worldwide. Through the use of structured
study, group exercises and investment simulations, this intensive
course will equip you with the tools you need to immediately apply
what you have learnt to real-world investment activities. How will
this course will assist you? On Completion of this 9-day course,
you will be able to: Devise asset allocation strategies for a
post-credit crunch environment Alpha analysis and…Frequently asked questions
There are no frequently asked questions yet. If you have any more questions or need help, contact our customer service.
Whether you invest in domestic or international markets for
institutions, pension-holders or private clients, this programme
will give you the skills to increase your returns, reduce risk and
retain investors. You also have the unique opportunity to network
with your industry peers worldwide. Through the use of structured
study, group exercises and investment simulations, this intensive
course will equip you with the tools you need to immediately apply
what you have learnt to real-world investment activities. How will
this course will assist you? On Completion of this 9-day course,
you will be able to: Devise asset allocation strategies for a
post-credit crunch environment 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 via practical applications Assess the opportunities
offered by emerging alternative assets Develop frameworks to
accommodate real and tangible assets in portfolios Who Should
Attend Portfolio / Fund/ Asset Managers Investment Analysts /
Advisors / Strategists Private Bankers / Investors Heads of
Investment Pension Fund / Trustee Managers Regulators, Auditors and
Actuaries Securities Salespersons
Day 1 Quantitative Tools to Enhance the Investment Process Modern Portfolio Theory (MPT) and 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 Foundations of post-modern portfolio theory Downside deviation and the minimum acceptable return (MAR) The target rate of return and upside potential Practical applications of PMPT Case Study: Applying the Principles of MPT and PMPT to a Portfolio Information Ratios and Opportunity Sets The information coefficient (IC) and manager skill The information ratio The opportunity set and residual frontier The value-added of active management The manager’s risk aversion coefficient Skill, effort and risk taking The fundamental law of active management Case Study: Applying Information Ratios Making Superior Alpha Forecasts Defining alpha Ex ante and ex post alpha Sources of alpha Techniques for forecasting alpha Alpha analysis Alpha and portfolio construction Alpha and residual risk T-stats and the statistical significance of alpha Case Study: Devising superior alpha forecasts Day 2 Asset Allocation and Portfolio Structuring 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 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 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 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 Day 3 Alpha Generation and Equity Portfolio Management The Alpha/Beta Matrix Overview and explanation of the various alpha/beta structures Benchmark-centric alpha hunting Beta grazers masquerading as alpha hunters Structural alpha Vs investment alpha The alpha frontier The fundamental law of active management Skill, breadth and risk Tracking errors and transfer coefficients Devising superior ex-ante alpha forecasts Case Study: Quantitative exploration of alpha concepts Alpha/Beta and Fundamental Equity Investing Alpha and superior earnings forecasts Performing a rigorous fundamental analysis from the bottom-up Determining sustainable growth rates and the appropriate discount rate Book value, ROE, ROA, and leverage Dupont analysis Determining fair valuation using dividends and earnings Inside the P/E ratio Analysts’ earnings revisions and earnings surprises Case Study: Carrying out a fundamental analysis Alpha/Beta and Equity Style Investing Equity style investing and market cycle analysis Differentiating between alpha and beta in equity style investing The persistence of equity style returns The equity cycle and how it interacts with the interest rate and credit cycles Sector and style allocation at each phase of the cycle Factors affecting asset prices in different phases Case Study: Sector and style performance throughout the equity cycle Alpha/Beta and Behavioural Finance Why behavioural finance and behavioural economics have moved to centre stage How emotions and psychology affect the market Behavioural biases and their influence on our thinking, action and reflection Information selection and processing biases Decision making and evaluation biases Dealing with behavioural biases in financial markets Day 4 Sovereign Risk and Corporate Credit Analysis Sovereign Debt and Sovereign Risk Analysis Defining country and sovereign risks Recent developments in sovereign risk Implications of changing sovereign risk profiles What causes sovereign credit deterioration? Regulatory issues regarding sovereign risk How changes in sovereign risk affect CDS spreads Case Study: Analysis of sovereign difficulties that occurred between the late 1990s and 2010 Credit Ratings and The Credit Rating Process The relevance of sovereign ratings The role and influence of the rating agencies Rating methodologies and criteria Rating scales and definitions Recovery ratings Foreign currency Vs domestic currency ratings Rating disparities Case Study: Comparing ratings and ratings trends with underlying macroeconomic data for a range of countries Corporate Debt and Corporate Risk Analysis Financial aspects of corporate credit analysis Ratios for credit analysis Assessing debt capacity Creation of a financial forecasting model Business risk analysis Leverage analysis Financial and non-financial covenants Impact of corporate finance transactions on credit quality Case Study: Evolution of BAA’s risk and financial profile and the structure of it’s borrowing arrangements Day 5 Exchange Traded Funds – The New Building Blocks 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 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 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 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 Day 6 Strategic and Leadership Issues in the Fund Management Industry Session 1 : Strategic Issues Facing the Fund Management Industry “Can asset managers convert the current market volatility into an investment opportunity for their clients?” Are we in an era of prolonged market volatility? Which investment styles are likely to do well in this decade? What asset classes will they favour? What factors will differentiate winners from losers in this decade? What changes will be needed to the existing business models? 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 Performance Measurement and Attribution Analysis Time-weighted and money-weighted returns Risk-adjusted performance analysis and measurement Interpretation and application of the following measures : - Sharpe ratio - Sortino ratio - Treynor ratio - Jensen ratio Information ratio The skill/luck matrix Components of investment performance Performance attribution analysis Selection effects Vs allocation effects Case Study: Attribution Analysis Calculations Day 7 Investing in Social Media Shares and Closely-Held Private Companies The Business and Economics of the Social Media Sector Overview of the Social Media Sector How social media could reshape certain industries Social media management companies and services Facebook, Twitter, LinkedIn, Zynga, Groupon Social media business models Pre-commerce, e-commerce and f-commerce F-Commerce and the Facebook ecosystem Marketing expenditure on social media marketing campaigns Understanding user behaviour on Facebook Case Study: Assessing the investment potential of social media The Mechanics of Private Investments and Exchanges The secondary market phenomenon The secondary market in private shares as an alternative asset class A new kind of I.P.O. market A new kind of liquidity market Major players – SecondMarket Holdings, Sharespost, NYPPEX, Gate Technologies, Xpert Financial, Inside Venture Profile of buyers and sellers of closely held privately traded companies Regulatory framework for private shareholdings Asymmetrical information in the buyer-seller relationship Pricing and valuation of closely-held private companies Hybrid private-public offerings – HPPOs Case Study: Valuing a closely-held private company Emergence of Private Investment Funds Structure of private investment funds investing in emerging social media stocks The risks to late stage, high valuation bets Investing in emerging and disruptive champions How Wall Street is muscling in Regulatory hurdles Case Study: Assessing the risks of Private Investment Funds Risks and Rewards Lessons from the dot-com boom and bust Why it might be different this time! Case Study: Comparing the dot.com crash with today’s technology environment Day 8 Hedge Funds Hedge fund basics Positive and negative views of hedge funds Comparison to traditional money management Comparison to private equity Leverage and short selling Hedge fund glossary Hedge fund strategies Investment styles of hedge funds Hedge fund AUM Hedge fund performance Opportunistic strategies - Long/short equity trading - Global macro trading - CTAs (Commodity Trading Advisor) - Quant trading (and high frequency trading) Case study: Making a market neutral portfolio Relative value arbitrage strategies Convertible arbitrage Volatility trading Fixed income arbitrage and yield curve trades Share class arbitrage Market neutral statistical arbitrage Case study: Dynamic portfolio management Case study: Volkswagen Event driven strategies Merger arbitrage Case study: Practical M&A situations Portfolio hedging strategies Hedge fund dynamics Investing in hedge funds – structures and risks Hedge fund of funds Hedge fund regulatory themes Day 9 Real Estate - The Resilient Asset Class Real Estate : The Asset and the Product Investment characteristics of real estate Capital markets Vs occupier markets Review of the various investment models Real estate valuation The importance of income Yield, RFR and market expected growth Sustainability issues Excel Demo: International Valuation and Appraisal Approaches The Routes to Investing in Real Estate Real estate investment : direct, indirect; public, private The 4 quadrants : available vehicles and methods Open ended Vs closed ended vehicles Private vehicles Vs quoted property stocks Derivatives and synthetics Excel Demo: Leveraged Returns and Real Estate Private Equity Models Real Estate in a Portfolio Context Risk and return in an historical context What can the past tell us about the future regarding real estate returns Correlation relationships with other asset classes Diversification benefits of adding real estate to a portfolio Modern portfolio theory and real estate The investment case for international real estate ? Excel Demo: Using Optimisation – Real Estate’s Efficient Frontier Opportunities in the Public Markets Commercial mortgage backed securities and CMBS 2.0 Real estate investment trusts (REITs) – a global product? Pressures for further change in the future Review and conclusions Course Conclusion and Summary
Day 1 Quantitative Tools to Enhance the Investment Process Modern Portfolio Theory (MPT) and 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 Foundations of post-modern portfolio theory Downside deviation and the minimum acceptable return (MAR) The target rate of return and upside potential Practical applications of PMPT Case Study: Applying the Principles of MPT and PMPT to a Portfolio Information Ratios and Opportunity Sets The information coefficient (IC) and manager skill The information ratio The opportunity set and residual frontier The value-added of active management The manager’s risk aversion coefficient Skill, effort and risk taking The fundamental law of active management Case Study: Applying Information Ratios Making Superior Alpha Forecasts Defining alpha Ex ante and ex post alpha Sources of alpha Techniques for forecasting alpha Alpha analysis Alpha and portfolio construction Alpha and residual risk T-stats and the statistical significance of alpha Case Study: Devising superior alpha forecasts Day 2 Asset Allocation and Portfolio Structuring 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 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 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 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 Day 3 Alpha Generation and Equity Portfolio Management The Alpha/Beta Matrix Overview and explanation of the various alpha/beta structures Benchmark-centric alpha hunting Beta grazers masquerading as alpha hunters Structural alpha Vs investment alpha The alpha frontier The fundamental law of active management Skill, breadth and risk Tracking errors and transfer coefficients Devising superior ex-ante alpha forecasts Case Study: Quantitative exploration of alpha concepts Alpha/Beta and Fundamental Equity Investing Alpha and superior earnings forecasts Performing a rigorous fundamental analysis from the bottom-up Determining sustainable growth rates and the appropriate discount rate Book value, ROE, ROA, and leverage Dupont analysis Determining fair valuation using dividends and earnings Inside the P/E ratio Analysts’ earnings revisions and earnings surprises Case Study: Carrying out a fundamental analysis Alpha/Beta and Equity Style Investing Equity style investing and market cycle analysis Differentiating between alpha and beta in equity style investing The persistence of equity style returns The equity cycle and how it interacts with the interest rate and credit cycles Sector and style allocation at each phase of the cycle Factors affecting asset prices in different phases Case Study: Sector and style performance throughout the equity cycle Alpha/Beta and Behavioural Finance Why behavioural finance and behavioural economics have moved to centre stage How emotions and psychology affect the market Behavioural biases and their influence on our thinking, action and reflection Information selection and processing biases Decision making and evaluation biases Dealing with behavioural biases in financial markets Day 4 Sovereign Risk and Corporate Credit Analysis Sovereign Debt and Sovereign Risk Analysis Defining country and sovereign risks Recent developments in sovereign risk Implications of changing sovereign risk profiles What causes sovereign credit deterioration? Regulatory issues regarding sovereign risk How changes in sovereign risk affect CDS spreads Case Study: Analysis of sovereign difficulties that occurred between the late 1990s and 2010 Credit Ratings and The Credit Rating Process The relevance of sovereign ratings The role and influence of the rating agencies Rating methodologies and criteria Rating scales and definitions Recovery ratings Foreign currency Vs domestic currency ratings Rating disparities Case Study: Comparing ratings and ratings trends with underlying macroeconomic data for a range of countries Corporate Debt and Corporate Risk Analysis Financial aspects of corporate credit analysis Ratios for credit analysis Assessing debt capacity Creation of a financial forecasting model Business risk analysis Leverage analysis Financial and non-financial covenants Impact of corporate finance transactions on credit quality Case Study: Evolution of BAA’s risk and financial profile and the structure of it’s borrowing arrangements Day 5 Exchange Traded Funds – The New Building Blocks 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 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 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 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 Day 6 Strategic and Leadership Issues in the Fund Management Industry Session 1 : Strategic Issues Facing the Fund Management Industry “Can asset managers convert the current market volatility into an investment opportunity for their clients?” Are we in an era of prolonged market volatility? Which investment styles are likely to do well in this decade? What asset classes will they favour? What factors will differentiate winners from losers in this decade? What changes will be needed to the existing business models? 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 Performance Measurement and Attribution Analysis Time-weighted and money-weighted returns Risk-adjusted performance analysis and measurement Interpretation and application of the following measures : - Sharpe ratio - Sortino ratio - Treynor ratio - Jensen ratio Information ratio The skill/luck matrix Components of investment performance Performance attribution analysis Selection effects Vs allocation effects Case Study: Attribution Analysis Calculations Day 7 Investing in Social Media Shares and Closely-Held Private Companies The Business and Economics of the Social Media Sector Overview of the Social Media Sector How social media could reshape certain industries Social media management companies and services Facebook, Twitter, LinkedIn, Zynga, Groupon Social media business models Pre-commerce, e-commerce and f-commerce F-Commerce and the Facebook ecosystem Marketing expenditure on social media marketing campaigns Understanding user behaviour on Facebook Case Study: Assessing the investment potential of social media The Mechanics of Private Investments and Exchanges The secondary market phenomenon The secondary market in private shares as an alternative asset class A new kind of I.P.O. market A new kind of liquidity market Major players – SecondMarket Holdings, Sharespost, NYPPEX, Gate Technologies, Xpert Financial, Inside Venture Profile of buyers and sellers of closely held privately traded companies Regulatory framework for private shareholdings Asymmetrical information in the buyer-seller relationship Pricing and valuation of closely-held private companies Hybrid private-public offerings – HPPOs Case Study: Valuing a closely-held private company Emergence of Private Investment Funds Structure of private investment funds investing in emerging social media stocks The risks to late stage, high valuation bets Investing in emerging and disruptive champions How Wall Street is muscling in Regulatory hurdles Case Study: Assessing the risks of Private Investment Funds Risks and Rewards Lessons from the dot-com boom and bust Why it might be different this time! Case Study: Comparing the dot.com crash with today’s technology environment Day 8 Hedge Funds Hedge fund basics Positive and negative views of hedge funds Comparison to traditional money management Comparison to private equity Leverage and short selling Hedge fund glossary Hedge fund strategies Investment styles of hedge funds Hedge fund AUM Hedge fund performance Opportunistic strategies - Long/short equity trading - Global macro trading - CTAs (Commodity Trading Advisor) - Quant trading (and high frequency trading) Case study: Making a market neutral portfolio Relative value arbitrage strategies Convertible arbitrage Volatility trading Fixed income arbitrage and yield curve trades Share class arbitrage Market neutral statistical arbitrage Case study: Dynamic portfolio management Case study: Volkswagen Event driven strategies Merger arbitrage Case study: Practical M&A situations Portfolio hedging strategies Hedge fund dynamics Investing in hedge funds – structures and risks Hedge fund of funds Hedge fund regulatory themes Day 9 Real Estate - The Resilient Asset Class Real Estate : The Asset and the Product Investment characteristics of real estate Capital markets Vs occupier markets Review of the various investment models Real estate valuation The importance of income Yield, RFR and market expected growth Sustainability issues Excel Demo: International Valuation and Appraisal Approaches The Routes to Investing in Real Estate Real estate investment : direct, indirect; public, private The 4 quadrants : available vehicles and methods Open ended Vs closed ended vehicles Private vehicles Vs quoted property stocks Derivatives and synthetics Excel Demo: Leveraged Returns and Real Estate Private Equity Models Real Estate in a Portfolio Context Risk and return in an historical context What can the past tell us about the future regarding real estate returns Correlation relationships with other asset classes Diversification benefits of adding real estate to a portfolio Modern portfolio theory and real estate The investment case for international real estate ? Excel Demo: Using Optimisation – Real Estate’s Efficient Frontier Opportunities in the Public Markets Commercial mortgage backed securities and CMBS 2.0 Real estate investment trusts (REITs) – a global product? Pressures for further change in the future Review and conclusions Course Conclusion and Summary
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