School of Investment Management

Whether you are involved in investing in global or domestic markets, for institutions, pension-holders or private clients, this programme offers the opportunity to advance your real-world investing skills through structured study, group exercises and investment simulations. Course background 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. Join us for this intensive 4-day School which will give you the in-depth information you need to advance your investing skills. On completion of the course you will be ready to implement your new skills into real-world investing activities, with the ultimate objective of increasing returns, reducing risks and attracting (and retaining) investors. Course highlights include: 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 sales people
Day 1 Quantitative background and tools to enhance the investment process 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 PMPT 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 PMPT Delegates assess how new measures of risk compare with more traditional measures and how they can be used in discussing and formulating investment strategy with trustees and plan sponsors. Information ratios and opportunity sets The information coefficient and manager skill The information ratio The fundamental law of active management Inside the information ratio Residual risk and residual return The opportunity set and residual frontier Case study: applying information ratios Delegates apply a number of quantitative techniques in a series of practical exercises to test their understanding of information ratios. In search of alpha Defining alpha Ex ante and ex post alpha Sources of alpha Techniques for forecasting alpha Alpha analysis Alpha and portfolio construction Refined alpha Alpha and residual risk T-statistics, information ratios and information coefficients Global asset allocation simulation Day 2 Global asset allocation simulation Asset allocation theory Components of expected return Forecasting asset class expected returns The covariance and correlation matrix How useful is correlation in today’s environment? 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 apply asset allocation theory to explain a number of high profile asset allocation moves by Institutional Money Managers. Strategic and tactical asset allocation – constrained and unconstrained 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 Delegates will develop a composite tactical asset allocation framework to help reduce the risks to this important decision. Asset mix rebalancing What is rebalancing and why do it? A comparison of the different approaches to rebalancing Buy-and-hold Constant mix Constant Proportion Portfolio Insurance (CPPI) Options Based Portfolio Insurance (OBPI) Global asset allocation simulation Day 3 Behavioural finance, style management and performance attribution and analysis Introducing behavioural finance What is behavioural finance? Efficient market hypothesis and behavioural finance What can behavioural finance teach us about investing? Systematic errors in investment thinking The major foundations of behavioural finance theory: Limited arbitrage and investor sentiment Common behavioural finance traits Case study: behavioural finance Delegates will examine recent asset bubbles and subsequent crashes and explain both phenomena using the precepts of 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 Global asset allocation simulation Day 4 Alternative investments in a post credit-crunch world Myth vs. reality in the hedge fund world Are hedge funds a “busted flush” and 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 Revisiting the drivers of hedge fund returns Outlook for the following strategies: Relative value – Opportunistic – Event driven – Global macro Case study: hedge funds in the new environment Private equity – revisiting the investment case Characteristics of private equity as an asset class The different routes to investing in private equity The drivers of private equity returns The J-curve of a private equity investment How do private equity managers add value? How will private equity perform in a credit constrained environment? 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 Global asset allocation simulation Course summary and close