Quantitative Methods for Managing Multi-Asset Portfolios

Why attend

Learn how to apply relevant quantitative methods in the active management of multi-asset portfolios.

PROGRAM

Part One

Alpha Generation

We provide an overview on the econometric toolkit available for modelling financial market returns.

• Fair Value Models, to value current market levels
• Explanatory Return Models, to understand the drivers of observed market moves
• Forecasting Models, to forecast future moves purely from observed past data
• Quantitative Market Outlook: How do actual model signals look like?
• 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.

Part Two

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.

 

• Risk Budgeting, to ensure a balanced profile of taken risks and expected returns
• Risk Modelling, to obtain adequate information on risks in rapidly changing markets
• 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?
• Performance Analytics: Available performance metrics and decision making metrics. The interaction of risk budgeting and performance analytics.
• Integrated Risk and Performance Analysis: The benefits from an integrated approach and their implications for strategic allocations, risk budgeting and active management

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.

Duration

4 x 3 h best practice, deliberate practice, reflection and implementation planning

Who should take this course?

CIOs, investment committee members, fund managers, risk and performance analysts, quants

COURSE FEE

930 EUR + VAT