BIB education

Courses

Investment strategy automation

  • Banking and financial courses

DESCRIPTION

Do you 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. On its first day, his 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. 

The second day revolves around qualitative investment monitoring techniques by introducing narrative reporting, lean compliance and smart documentation. With experiences gained through the introduction of MiFID II and Solvency II, regulators now focus in their current reviews on avoiding to be submitted even more data points of which they are actually overwhelmed to monitor. They are drifting towards narrative reporting, based on which they can run plausibility checks. This upcoming regulatory change can be used to the investors favor to better understand their own portfolios. Documentation turns from a compliance necessity into an internal learning opportunity to better understand your investment decisions. 

With this two-day-seminar, participants will better understand what their portfolios are really made of. 

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



For more information, contact our education organizer