Investment Management Workshop

Day One

09.00 - 09.15 Welcome and Introduction

09.15 - 12.00 The Global Crisis and the Changing Investment Assumptions

• How The Global Crisis Has Affected Financial Markets
• The “New” Reality: Inefficient Markets
• Regulatory Developments and their Importance for Investment Management

Financial Planning for Private and Institutional Investors in a Post-Crisis Landscape

• Situational Profiling
  • The Psychology of Investing
  • The Growing importance of Behavioral Finance
• Preparing the Investment Policy Statement
  • Client Situation
  • Risk and Return Objectives
  • Investment Constraints
     
• Workshop:
  Practical Investor Case Studies and Preparation of an Investment Policy Statement

12.00 - 13.00 Lunch

13.00 - 16.30 Benchmark Selection and Strategic Asset Allocation - from Portfolio Theory to Real-life Portfolio Management

• Global Asset Classes and their Historical/Expected Performance
• Importance of Strategic Asset Allocation for Investment Performance
• Setting Asset Allocation Ranges
  • The traditional approach – and its shortcomings
  • Risk budgeting
  • Liability-driven
• Selecting Appropriate Benchmarks
  • Requirements of a Good Benchmark
  • Traditional and alternative forms of benchmarks
     
• Workshop:
  Determining Strategic Asset Allocation for Private/Institutional Investors

Day Two

09.00 - 09.15 Recap

09.15 - 12.00 The Portfolio Manager’s Toolkit

• Portfolio Optimization – the Changed Assumptions
  • Improving traditional mean-variance optimization
  • Black-Litterman
• Derivatives
  • Using derivatives for synthetic investments
  • Tactical asset allocation with derivatives
  • Hedging with derivatives
• Exchange Traded Funds
  • Using ETFs for passive management and core-satellite investing

Portfolio Construction Hands-On (Workshop):

• Construction of optimal portfolios using mean-variance and Bayesian analysis
• Construction of passive (tracking) portfolios
• Using derivatives in portfolio construction and tactical asset allocation

12.00 - 13.00 Lunch

13.00 - 16.00 Performance Measurement and Attribution Analysis

• Measuring Risk-Adjusted Return
  • Treynor, Sharpe index
  • Sortino ratio, ROMAD, LPM
• Attribution Analysis
  • Macro attribution analysis
  • Micro attribution analysis

Performance Measurement Hands-On (Workshop - Continued)

• Measuring the risk-adjusted performance of investment portfolios
• Macro and micro attribution analysis

Evaluation and Termination of the Workshop