Courses

Investment strategy automation

  • Banking and financial courses

DESCRIPTION

With this seminar, participants will now understand how to build automated trading strategies.

Do your exactly know what you are invested in? The vast proliferation of data analytics and increasing technological advances make investors believe that they have better insights about their environment that will eventually lead to better investment decisions. However, we now live in a ‘VUCA’ (Volatile, Uncertain, Complex, and Ambiguous) world where anything but deep knowledge is simply not good enough.
This seminar first introduces common portfolio tools and will help you assess how your portfolio fits your risk preferences. More sophisticated methods like graphical networks and exploratory factor analysis, will then help you look at your portfolio with different angles. Finally, participants will be introduced to neural network methodologies to build smarter portfolios.
All together, participants get empowered through practical tools that can be applied back at their desk to fit their particular needs.

PARTICIPANT PROFILES

  • trusts
  • family offices
  • wealth managers
  • private/regional banks
  • investment companies

STRUCTURE

 

14/11/2019 – FIRST DAY
 

MORNING / SESSION ONE / 90MIN

MEASURING YOUR PORTFOLIO


Quantitative risk measures

  • Traditional quantitative measures: from Normality to drawdown
  • Beyond the first two moments
  • Which distribution fits your portfolio best?

CASE STUDY IN VBA/EXCEL - IS YOUR RISK AVERSION IN LINE WITH YOUR PORTFOLIO RISK PROFILE?

MORNING / SESSION TWO / 90MIN

VISUALIZING YOUR PORTFOLIO

 
Risk contributions and interactions

  • Computing the risk contribution of your securities
  • Capturing correlations and interactions 
  • Graphical representation of your portfolio as a network

CASE STUDY IN R - VISUALIZING INTERACTIONS IN A PORTFOLIO

AFTERNOON / SESSION ONE / 90MIN

DOWNSIZING YOUR PORTFOLIO

  • Reducing noise within your data
  • Re-assessing dependencies among your variables
  • Principal component analysis

CASE STUDY IN R - RISK FACTOR CLUSTERING

AFTERNOON / SESSION TWO / 90MIN

TRACKING YOUR PORTFOLIO


Portfolio tracking with Neural Networks

  • How to track your portfolio with few stocks and low validation error.
  • Optimizing trackers: seeking diversification and outperformance during periods of drawdowns.

CASE STUDY IN PYTHON - TRACKING YOUR PORTFOLIO

15/11/2019 – SECOND DAY
 

MORNING / SESSION ONE / 90MIN

INTRODUCTION TO A CULTURE OF COMPLIANCE

  • Definition of Investment Strategy Automation and Lean Compliance
  • Regulatory Asset Allocation History – a general overview of asset allocation and risk management regulations
  • Competitive forces at work in the asset management industry
  • The Business Judgement Rule – A Game Changer
  • Rulebook versus Playbook

MORNING / SESSION TWO / 90MIN

EXAMPLES OF SMART DOCUMENTATION

  • FOR CULTURAL INTERVENTION
    Instruments to strengthen a Culture of Compliance are introduced via practical examples.
  • FOR TEAMS
    Methods to strengthen the self-organization of investment teams that lead to a competitive edge
  • FOR INDIVIDUALS
    Methods to strengthen the self-responsibility of investment individuals that lead to a competitive edge

AFTERNOON / SESSION ONE / 90MIN

CASE STUDY
 

Participants will study their own investment process and explore how to optimize it by applying previously introduced automation techniques.
CASE STUDY: AUTOMATED AND LEAN INVESTMENT DECISION DOCUMENTATION

AFTERNOON / SESSION TWO / 90MIN

REVIEW  YOUR FINDINGS


Moderated by the lecturer, participant share their findings and reflect together on eventual further improvements of their own or other findings.

Tutors



Opened courses and exams

  • 14-15 November 2019

    Application deadline

    14 November 2019


    Locations and dates

    • 14 November 2019 -, Budapest Institute of Banking Zrt. 1013 Budapest Döbrentei utca 2. Google Calendar
    • 15 November 2019 -, Budapest Institute of Banking Zrt. 1013 Budapest Döbrentei utca 2. Google Calendar

    Course fee

    320.000 Ft Early bird 272.000 Ft + 27% VAT



    More details

    Early bird promotion is valid from 1 August to 31 August 2019.