Asset Allocation

Introduction

• Traditional and emerging asset classes
• Institutional practices, cross-border comparisons
• Recent developments and impact of the financial crisis
• Nominal and real performance

Return, Risk and Risk Premium

• Statistical reminders: arithmetic, geometric means, dispersion and risk
• Historical analysis, comparison
• Surveys, econometric models and other methods
• Breaking down the risk premium
• Dynamic risk premium?

• Practical workshop

• Calculate average return, risk and risk premium

Investment policy

• Definition of client’s needs and constraints
• Required returns and risk aversion
• Investment horizon and liquidity needs
• Reporting and revision process

Strategic Asset Allocation

• CAPM and the benefits of diversification
• Techniques of mean-variance optimisation
• Black-Litterman solutions
• Multifactorial models
• Performance objectives, ALM and risk budget

• Practical workshop

• Optimising a portfolio, sensitivity to in-flows

Rebalancing and protection strategies

• Constant mix or dynamic
• Trend stability and volatility
• Transaction costs and derivatives
• Option replication, CPPI

• Practical workshop

• Model various rebalancing strategies.

Economic Policy and the Behaviour of Financial Assets

• Key economic variables
• Business cycle analysis
• Long-term trends
• Economies and markets

Tactical Asset Allocation

• Economic analysis
• Fundamental analysis
• Technical analysis
• Market sentiment analysis

• Practical workshop

• Execute a tactical allocation based on a given scenario

Performance Measurement

• Risk and performance
• Risk breakdown
• Performance attribution

• Practical workshop

• Performance analysis of a balanced portfolio