Learn how to apply relevant quantitative methods in the active management of multi-asset portfolios.
We provide an overview on the econometric toolkit available for modelling financial market returns.
i. Fair Value Models, to value current market levels
ii. Explanatory Return Models, to understand the drivers of observed market moves
iii. Forecasting Models, to forecast future moves purely from observed past data
iv. Quantitative Market Outlook: How do actual model signals look like?
v. Integrating Quant and Fundamental Research: How can we gain added value from the collaboration of both types of research? The pros and cons of using both approaches complementarily or independently.
We provide sample applications of all models discussed in the course. Moreover, we put particular weight to the discussion of experiences and the pros and cons of how to integrate quant models to your research approach.
Portfolio Construction and Portfolio Analytics
We provide an overview on the methods available for the construction of multi asset portfolios and in particular for their integrated analysis of risk, performance and active decision making. We give a thorough discussion of the challenges to align management in practice with the textbook world.
i. Risk Budgeting, to ensure a balanced profile of taken risks and expected returns
ii. Risk Modelling, to obtain adequate information on risks in rapidly changing markets
iii. Risk Analytics: Available metrics. What do they show and what do they not show? Where to look at and how to adjust your portfolio in case of changing risks?
iv. Performance Analytics: Available performance metrics and decision making metrics. The interaction of risk budgeting and performance analytics.
v. Integrated Risk and Performance Analysis: The benefits from an integrated approach and their implications for strategic allocations, risk budgeting and active
We will have a strong focus on discussing practical experiences and the gap between the textbook theory and the investment framework portfolio managers face in practice.
4 x 3h best practice, deliberate practice, reflection and
CIOs, investment committee members, fund managers, risk and
performance analysts, quants