Equity Analysis and Investments Strategies

Thursday, March 26

09.00 - 09.15 Welcome and Introduction

09.15 - 12.00 Equity Markets and Instruments

• Characteristics of Equity Instruments
• Global Equity Markets
• Equity Funds
• ETF’s
• Equity Derivatives
• Hybrid Equity Instruments and Structured Products
• Alternative Equity Investments (Hedge Funds, Private Equity)

Sector and Region Analysis

• Equity Sectors/Regions and their Behaviour
  • Basic materials, consumer cyclical, consumer stable, …
  • US, Asian, European, Emerging markets
  • How sectors/regions behave under changing economic conditions
• Using Factor Models in Sector Analysis
  • Economic vs. statistical factor models
  • Quantifying sector returns
  • Risk/return decomposition using variance decomposition technique
  • Estimating factor loadings and factor sensitivities
• Exercises

12.00 - 13.00 Lunch

13.00 - 16.30 Financial Statement Analysis

• Brief Review of Financial Statements
• Analysis of Assets, Liabilities and Cash Flows (Brief Review)
• Financial Ratios and EPS Analysis
  • Common-size statements
  • Measures of a company’s liquidity
  • Ratios for operating performance, risk profile, growth potential, and external liquidity
  • Relationships between financial ratios and rating
  • Decomposing return on equity using traditional/extended DuPont Systems
  • Treatment of dilutive securities
• Financial Shenanigans
• Exercises

Equity Investment Strategies

• Quantitative Tools for Equity Investing
  • Brief recap of equity valuation techniques, CAPM and other models
  • The “Alpha” concept - forecasting and analysis

Friday, March 27

09.00 - 09.15 Brief recap

09.15 - 12.00 Equity Investment Strategies (continued)

• Style Management and Style Allocation
  • Value vs. growth investing
  • Information ratios for different styles
• Portfolio Optimization
  • Traditional mean/variance optimization
  • Optimization under shortfall risk constraints
  • Benchmark-relative optimization
  • Bayesian analysis and portfolio choice
• International Diversification
• Core-Satellite Investing
• Short-selling
  • How short-selling works in practice
  • Risks of short-selling
• Portable Alpha
• Equity Strategies
  • Market neutral and relative value strategies
  • Long-short strategies
  • Sector rotation vs. pairs trades
  • Statistical and fundamental arbitrage
  • Exercises

12.00 - 13.00 Lunch

13.00 - 16.00 Implementing Equity Investment Strategies with Derivatives

• Overview of Equity Derivatives
• Synthetic Equity Investments
  • Minimizing cash drag through synthetic indexation strategies
  • “Sector-switching” with futures
• Equitizing a Long/Short Strategy
• Using Futures to Create “Overlays”
• Equity Portfolio Management with Options
  • Securing minimum portfolio value
  • Enhancing portfolio return/reducing risk through covered call strategies
  • Management of shortfall-risk
• Implementing CPPI and other Dynamic Strategies with Futures
• Using Structures Products in Portfolio Management
  • Leveraged structures
  • Principal protected structures
  • Discount structures
• Exercises

Evaluation and Termination of the Seminar