Index Investing - Index Funds, ETF’s, Synthetics and Structured Products

Tuesday, October 12

09.00 - 09.15 Welcome and Introduction

09.15 - 12.00 Index Investing – General Introduction

• What is “Index Investing”?
• Motivations for Index Investing
  • Are markets efficient or not?
• Passive vs. Active Investing – Historical Returns and Costs
• Overview of Index Investing Tools and Strategies

“Classic” Index Tracking

• Full Replication of Index
• Stratified Sampling
• Tracking Error Minimization
• Rebalancing Strategies
  • Constant Mix
  • CPPI
• Investing in Traditional Index Funds
  • Types of index funds
  • UCITS-compliant funds (EU)
  • Historical returns of index funds
• Small Exercises

12.00 - 13.00 Lunch

13.00 - 16.30 Synthetic Index Investing

• Advantages/Limitations of Synthetic Investing
• Overview of Instruments for Synthetic Indexation
  • Index futures and swaps
  • Commodity futures and swaps
• Minimizing Cash Drag with Equity Index Futures
  • Cost-of-Carry and the fair futures price
  • Replicating the index with cash + future
  • Comparing the returns of cash and synthetic investment
• Synthetic Commodity Investing with Commodity Futures
  • The importance of the “roll yield”
• Global Diversification with Synthetic Index Investing
• Synthetic Index Funds

Wednesday, October 13

09.00 - 09.15 Brief recap

09.15 - 12.00 Structured Index Products

• Principal Guaranteed Index Products
• Index Structures with “Exotic” Pay-Off Profiles
  • Performance lock-in structures
  • Structures with barriers (Knock-Out/Knock-In)
• Quanto (Currency Hedged) Indexation Structures
• Small Exercises

Exchange-Traded Funds (ETFs): Mechanics and Markets

• What is an “Exchange-Traded Fund”?
• Mechanics of ETFs – How they work
• ETFs Compared to Mutual Funds
• Types of ETFs
• “Live” Sightseeing Tour of the ETF Markets
• Current Use of Exchange-Traded Funds by European Investment Professionals

12.00 - 13.00 Lunch

13.00 - 16.00 Investment Strategies with ETFs

• Asset Allocation with ETFs
• Enhanced Indexing Strategies
  • Enhanced cash
  • Index construction enhancements
  • Exclusion rules
  • Trading enhancements (algorithmic trading)
  • Portfolio construction enhancements
• Core-Satellite Investing with ETFs
  • Static and dynamic core-satellite approach
  • Traditional and relative CPPI Approach
  • Controlling the risk of tactical bets with dynamic core-Satellite portfolios of ETFs
• “Upside-Down” Investing with Inverse and Leveraged ETFs
• Creating Absolute Return Funds with ETFs

Risks of Using Indexation Products

• Explicit Risks (Market risk)
• Implicit Risks (Counterparty and Operational Risks)

Evaluation and Termination of the Seminar