The IFF School of Investment Management

Key reasons why you must attend this groundbreaking training course:

• You will get to grips with the practicalities of cutting-edge investment management methodologies
• The residential nature of the course enables you to cover numerous highly focused case studies with a particular emphasis on the practical applications
• Taught by a leading investment management practitioner and management educator

Scroll down for agenda

Day 1-  Introduction to the Investment Markets

Investment Fundamentals Reviewed

• Principals of the investment risk return paradigm
• Modern markets and ancient markets: fear vs. greed and drivers of market returns
• Investment asset classes and historical returns
• Traditional asset classes/alternative asset classes and their return drivers
• Modern portfolio theory – the power of diversification
• Understanding risk, return and human behaviour in investment markets

Sources of Investment Return Drivers

• The key drivers in markets everywhere
• Cyclical approach to investment management
• Quantifying market direction and investment return
• Market liquidity: investment size
• Irrational exuberance: booms, bubbles, crashes
• Behavioural finance and investor sentiment, market excess and market crashes
  - The great stock and bond market collapse of 2008 and 2009 rebound, a study in investor behaviour

Understanding Investment Statistics

• Alpha, beta and alternative beta
• Volatility and hedging
• Investment performance comparisons, global investment benchmarks review
• Adding tracking error and investment benchmarks
• Correlations and normal distributions
• Fat tails and extreme events
• Risk management measures
• Major investment management measurement ratios

Investment Performance Measurement

• How investment performance is measured: the appropriate benchmark
• Why most fund managers underperform the index
• GIPS (Global Investment Performance Standards)
• Fiduciary responsibility and investment professionals
• Controlling the investment management process

Day 2 - Global Investment Markets - Fixed Income, Equity and Others

Drivers of Global Bond Returns

• Bonds, credit spreads and interest rates
• Fixed income risk measures: duration revisited
• The rise of securitization and the bond market
• Bond portfolio management and fixed income arbitrage trading
• Constructing bond portfolios
• Constructing fixed income arbitrage portfolios
  - Lessons learned 2008: when securitization falls apart

Equity Valuation and Stock Selection

• Financial analysis and Wall Street investment research
• Forecasting drivers of the equity market
• Understanding the corporate lifecycle
• Valuation of stocks, methods and results
• Active vs. passive strategies: comparative benchmarks
• ETFs and trackers - their place in the world
• Other equity themes: illiquid securities, capitalization, and leveraging investment returns

Style Bets in the Markets

• Growth vs. value: style indicators
• Market capitalization and size indicators
• Style cycles and the business cycle
• Style bets of geographical diversification
• Top down vs. bottom up stock selection

Equity Market Analysis

• The role of equity analysis
• Equity analysis and corporate earnings management
• Reading investment research and writing investment research: reading between the lines
• Creating equity valuation models and their shortcomings
• Stock selection skillsets, investor discipline and human behaviour
• Momentum investing and contrarian investing as different market cycles

Equity Portfolio Construction Methods

• Benchmarked or absolute return portfolio construction
• Tracking error and active portfolio management
• The equity long only investing and the rise of short selling and leveraged equity investment
• Constructing traditional equity portfolios
• Constructing long short equity portfolios

Case Study: Dissecting a 130/30 equity investment strategy 2010

Case Study: Dissecting the bond market meltdown and fixed income manager liquidication in 2008

Day 3 - Hedging Assets Allocation Theory

Derivatives and Investment Management

• Derivatives as investment tools
• Derivatives as hedging tools
• Some easy option and future payouts
• Long volatility and short volatility positioning
• Inherent leverage and trade sizing importance
• Putting on a derivatives hedge on an equity portfolio

Traditional and New Paradigms in Asset Allocation

• Asset allocation: source of the majority of investment returns
• Expected returns as per modern portfolio theor
• Revisiting correlations and expected returns of security
• Diversification and portfolio impact
• Forecasting returns and post-modern portfolio theory
• Optimizing portfolios with optimizers
• Benchmark, historical risk and return figures
• Evolving risk premia for different asset classes
• Understanding ALM models and asset allocation
• Pension fund asset allocation
• Endowment style asset allocation

Case Study: Asset allocation excercise using an optimiser

The Process of Tactical Asset Allocation

• Core vs. satellite strategies
• Style allocations
• Tactical asset allocation programs
• Portable alpha strategies defined
• Adding value added to bring along

Case Study: Does the endowment asset allocation model still work well?

Day 4 - Risk Management and Investment Management Tools

Understanding Investment Risk

• Risk measurement and risk management
• Fixed income risk vs. equity market risk
• Tracking error and risk management
• Credit risk and credit models
• Understanding risk profiles of different asset allocations
• Market liquidity and risk
• Some risk measurement models, VAR and stress testing
• Montecarlo simulation and projecting the future

Multifactor Models and Investment Risk

• Multifactor models and investment management bets
• Analyzing portfolios and investment risk
• Building portfolios on multifactor models
• Investment management performance analysis
• Understanding the measurement of investment returns
• Risk adjusted measure to optimize portfolio strategy

Case Study: Indicating future investment risks: running a multifactor model on an intermediate term bond fund

Risk Management Concerns on Global Portfolios

• Global pension management and other global investor
• Measuring and modelling assets and liabilities
• Liabilities and funding strategies
• Dynamic portfolio analysis for assets and liabilities
• Developing a strategic benchmark
• Liability matching, duration matching
• Analysing the cost of risk mitigation and hedging strategies
• Risk managing the equity book
• Risk managing the long short book
• Risk managing and should I hedge: the fixed income portfolio

Day 5 - Alternative Investments Enter the Mainstay

Alternative Investments and the Growing Importance as Investment Management Tools

• The benefits of alternatives, private equity, hedge funds, real estate and commodities to traditional portfolios
• Defining alternatives: so many variations
• Illiquid investments and liquid investment returns
• Newer alternatives, UCITS and NEWCITS alternative investment funds
• Correlations arguments of alternative investments?
• Return analysis of alternative strategies
• Alternative asset alpha vs. beta exposure and return drivers
• Obtaining exposure: alternatives run in house or outsourcing alternative exposure
• Protecting the downside: a key to investment performance

Hedge Fund Strategies Overview

• Performance characteristics of hedge funds
• Hedged funds or hedge funds: what we really need?
• Drivers of hedge fund returns
• The convergence between long only and long short strategies
• Quantitative risk management of hedge funds vs. long only funds
• Directional hedge fund strategies
• Event driven hedge fund strategies
• Arbitrage style strategies
• Style multitudes of hedge funds, weather bonds, cats, quantitative trading and CTAs

The Other Alternative Assets – Real Estate, Commodities and Private Equity

• The commodity indexes and enhanced indexing
• Direct investments - private equity and real estate
• Real estate investment funds and REITs as property exposure
• Hedged and active commodities exposure

Obtaining Alternative Investment Exposure

• Those great correlation arguments
• Hedge funds of funds and the gatekeepers
• Building dedicated hedge fund portfolios
• Hedge fund manager selection and private equity partnership selection
• The due in due diligence
• The hedge fund life cycle
• Investment risk management of alternative investments funds

Case Study: Indicating future investment risk: running a multifactor model on an intermediate bond fund

Course Wrapup Session:

• Major takeaways from the week reconsidered
• Market timing considerations and where we go next year
• Designing an asset allocation policy for my particular company light of this weeks conclusions

During this intensive five day programme you will gain a comprehensive understanding of:

• Modern portfolio theory and the evolution to post-modern portfolio management theory
• Asset allocation principals and tactical asset allocation programs
• Equity, bond and alternative investment management tools and techniques
• The navigation of the world of investment analysis
• Construction of an efficient equity portfolio in a world of volatile global markets
• Secrets of “endowment style asset allocation” and their longer term top decile returns
• Risk management and downside protection of investment portfolios
• Newer asset classes coming mainstream: hedge funds, private equity, commodities and real estate investment as an evolving asset class