Investment Management in a Post-Crisis Landscape

Day One

10.00 - 10.15 Welcome and Introduction

10.15 - 12.30 The Investment Management Process

• New Challenges in the Aftermath of the Crisis
• Behavioral Finance and Investment Decisions
• Formulating Risk and Return Objectives
• Identifying Investment Constraints
• The Investment Policy Statement
• Choice of Benchmark

Global Asset Classes

• The Global Asset Markets and their Risk-Return Characteristics
  • Equity markets
  • Fixed income
  • Emerging markets
  • Alternative Investments
• Funds and Trusts
  • Unit trusts
  • Exchange-trade funds (ETFs)
  • Hedge funds
• Derivatives and Structured Products

12.30 - 13.30 Lunch

13.30 - 17.00 Strategic Asset Allocation and Portfolio Construction

• The Importance of Strategic Asset Allocation for Investment Performance
• ”Classic” Mean/Variance Optimization
• Shortfall-optimization
• Dealing with the Problems in the Classic Optimization Approach
  • Time-varying volatility
  • Illiquid investments
  • Life cycle investing
• Bayesian Analysis and Portfolio Choice
• Resampling the Efficient Frontier
• Scenario Optimization
• The Black-Litterman Asset Allocation Model
• Exercises

Day Two

09.00 - 09.15 Recap

09.15 - 12.00 Dynamic Asset Allocation Strategies

• Objectives of Dynamic Asset Allocation
• Presentation and Evaluation of Dynamic Strategies
  • Buy-and-hold
  • Constant mix
  • Constant proportion
  • Option-based portfolio insurance
• Exercises

Indexation and Core-Satellite Investing

• Traditional Benchmark-relative Optimization
• Multiple Benchmark Optimization
• Tracking Error Efficiency vs. Mean-Variance Efficiency
• The Core-Satellite Approach to Investing
• Using Exchange Traded Funds (ETFs) in Cores-Satellite Investing
• Exercises

12.00 - 13.00 Lunch

13.00 - 16.30 Risk Budgeting, Surplus Risk Management and Liability Driven Investing

• Risk Allocation vs. Asset Allocation
• Active Risk vs. Passive Risk
• The Concept of “Portable Alpha”
• Constructing Optimal Portfolios under Risk Budgeting Constraints
  • Defining objective function and constraints
  • Maximizing the Information Ratio
• Surplus Risk Management
  • Defining the Surplus in an ALM Framework
  • Managing “Surplus-at-Risk”
• Liability Driven Investing (LDI)
• Exercises

Day Three

09.00 - 09.15 Recap

09.15 - 12.00 Using Derivatives for Asset Management

• Derivatives and their Usefulness in Asset Management
• Portfolio Management with Financial Futures
  • Minimizing cash drag through synthetic indexation strategies
  • Exploiting pricing inefficiencies in the cash/futures relationship
  • “Tactical allocation” with futures
  • “Sector-switching” with futures
• Portfolio Management with Options
  • Securing minimum portfolio value
  • Enhancing portfolio return/reducing risk through covered call strategies
  • Management of shortfall-risk
• Using Swaps and “Structured Products”
• Using Derivatives to Create “Overlays” and “Absolute Return” Investments
• Exercises

12.00 - 13.00 Lunch

13.00 - 16.00 Performance Measurement and Attribution Analysis

• Why Measure Performance?
• Global Performance Reporting Standards
• Measuring return
  • IRR, MWR, TWR
• Risk-Adjusted Performance Measures
  • “Classic” (Jensen, Treynor, Sharpe)
  • Measures of “shortfall” risk (LPM)
  • Tracking error, information ratio
• Problems in Comparing Performance for between Absolute and Relative Investment Strategies
• Performance Attribution & Performance Reporting
• Exercises

Evaluation and Termination of the Seminar