Highlights

  • Limits of Traditional Risk Management Techniques
  • Practical Application of Risk Factor Diversification
  • ETF Selection & Due Diligence Tips & Tricks
  • Global Capital Stock Introduction as Starting Point for Multi-Asset Portfolios

 

Course goal

In an intense one-day seminar, participants will be introduced to the latest asset allocation insights as well as practical quantitative methods, including risk factor diversification and multi-objective optimisation. Participants will practice these techniques and devise their own globally diversified multi-asset portfolio.

 

 

Course Target Group

Asset Managers, Pension Fund Managers, Risk Managers, Portfolio Managers, Wealth Managers, Senior Private Bankers, Research Analysts, Trustees, CIO-s, Family Office Managers, CAIA Candidates, CFA Candidates, and other participants interested in improving knowledge and skills regarding Risk Management.

 

Program

 

9.00 – 10.30

PORTFOLIO THEORY

ASSET ALLOCATION AND DIVERSIFICATION

  • Asset allocation overview

The emphasis of this introductory part is on Modern Portfolio Theory (MPT). We will review the theory, since the seminar papers of Markowitz (1952) and Sharpe (1964), behind the construction of a “traditional” capitalization weighted portfolio consisting of stocks. We will then study the concept of systematic risk, diversification and finally the mutual fund separation theorem.

 

LIMITS OF TRADITIONAL DIVERSIFICATION TECHNIQUES

  • Is diversification dead? Examples of risk contribution based portfolios.

The first golden rule in investing is diversification, yet the challenge of constructing a portfolio which delivers less volatility with the same given expected return still remains a holy grail in finance. We will study the notion of risk contribution and diversification enhancement portfolios and assess the benefits of these new optimizing techniques with a wide range of assets.

Practice

Quantitative tool: Bulding a Risk Parity portfolio

 

10.45 – 12.15

A FOCUS ON REAL ASSETS

  • Let’s get real assets

We will analyze the risk/return profile of several real assets investments: commodities, real estate, natural resources and infrastructure. Do they all look alike? We will study the difference between liquid and illiquid vehicles, their composition, historical performance and volatility.

Finally, we will ask if real assets investing is a good inflation hedge and how they could behave in a deflationary environment.

 

ILIQUID ALTERNATIVES

  • The rise of alternatives

Other alternatives are not yet available in liquid forms, e.g. hedge funds and private equity. We will review the existing produts and assets the cost / benefit of investing in these vehicles.

Practice

Quantitative tool: Buiding a map of risk / return profiles

 

13.45 – 14.45

POLICY PORTFOLIO

BUILDING A GLOBALLY DIVERSIFIED MULTI-ASSET PORTFOLIO

  • A first multi-asset portfolio: the global asset portfolio

Following the concept of Market portfolio, we will present a multi-asset, market-weighted policy portfolio based on global capital stocks, therefore genuinely untouched by any kind of active investing. We will study other existing global benchmarks and assess which may represent the most comprehensive market portfolio againts which to measure any active decision.

 

AN ACTIVE BENCHMARK

  • The Yale & Harvard Endowment examples

Alternative investments have grown faster than traditional investments over the last 8 years and have surpassed their 2007 peak levels. For imnstance, in 2014, the Yale endowment fund allocated mroe than 60&of its funds in private equity, real setate, and natural resources. We will anlyze the Yale and Harvard successful multi-asset portfolios.

Practice

Devise your multi-asset portfolio

 

15.00 – 16.30

APPLYING LESSONS LEARNED

TIME TO INVEST

  • ETFs selection: practical considerations

Additional objectives and constraints will be included for a more realistic approach to portfolio allocation: ETF’s composition, tracking error, expense ratio, liquidity. Participants will then brainstorm about how to use the new methods in their own job/company.

Practice

Your investable multi-asset portfolio with ETFs