Understanding Asset Allocation

Asset allocation is at the center of most, if not all, discretionary mandate solutions that target the core wealth of an investor. This two day course gives an insight on how to actively manage asset allocation based solutions. The first day focuses on the return dimension of asset allocation, describing different approaches to forecasting markets. On the second day, we study the risk dimension. We take an in-depth look at classical as well as innovative asset allocation models. The advantages and drawbacks of the different methodologies are presented. A special focus is put on illustrating the theoretical concepts with practical examples and hands-on case studies.

COURSE OUTLINE

Key success factors of an active investment manager (day 1)

  • Investment universe (decomposition, granularity, alternative investments), forecasting skills, and transfer mechanism
  • Decomposing return (alpha, beta, alternative beta, information ratio)
  • The fundamental law of active management

Forecasting markets (day 1)

  • Stochastic discount factor based asset pricing models as a starting point
  • Information gathering (structure of information, classification using different perspectives)
  • Factor based (macroeconomics, valuation, time series …) versus risk based (inflation expectation, risk premium, mean reversion, momentum …) information processing
  • Taking investment decisions

Asset allocation frameworks (day 2)

  • The original Markowitz model (a little bit of history) and its limitations
  • Robust mean-variance optimization techniques in practice
  • Black-Litterman and Bayesian models
  • Lee’s optimal risk budgeting approach
  • Multifactor models (APT, Treynor-Black, pure factor models, sensitivity models)

Risk budgeting – mixing market risk and active risk (day 2)

  • Liability driven investing (cash flow matching, risk exposure management, the building block approach)
  • Rebalancing and dynamic allocation
  • The concept of portable alpha
  • Risk budgeting and core-satellite portfolios
  • The hedge fund approach to portfolio management

LEARNING OUTCOME

  • Understand the key success factors and their interaction
  • Approaching market forecasting in a structured and consistent way
  • Using risk as a decision support tool
  • Knowing the advantages and drawbacks of different asset allocation models
  • Gaining insight in the key asset allocation based investment products

RECOMMENDED FOR

  • Portfolio managers
  • Investment strategists
  • Product specialists (product development, product management, sales and distribution)
  • Business managers in asset management wanting to understand the why and how of as-set allocation investment solutions

PARTICIPANT VALUE

Applying the learned theoretical knowledge and hands-on example will allow you to design and implement successful asset allocation investment solutions.

INSTRUCTOR

Dr. Claude Diderich, CEFA, FRM, NPDP, PMP has more than 15 years of experience in strategy development, product innovation and investment process design, with special focus on institutional asset management and private banking. He participated in the design, development and launch of numerous successful mandate and fund investment solutions.

He is a certified New Product Development Professional (NPDP), a member of the Product Development and Management Association (PDMA) and the International Society for Professional Innovation Management (ISPIM).

NEXT COURSE DATES

There are currently no courses planned. Please contact us if you interested in attending this course in the future. We also offer this course, or any variation thereof, as in-house course!