Fundamentals of Investment Management

Overview of the Asset Management Industry
  • Institutional funds
  • Collective investment vehicles
  • Wealth management
  • Impact of the crisis
Traditionnal asset allocation
  • Macro-economic environment and asset allocation
  • Determining risk premium
  • Diversification principles
  • Sharpe-Markowitz
  • Black Litterman, multifactorial models robust models
  • Practical workshop
  • Analyse risk premiums
  • Define an investment policy
  • Suggest an asset allocation strategy
Advanced asset allocation
  • ALM and risk budget
  • Core-satellite
  • CPPI
  • Use of derivatives in overlay strategies
  • Practical workshop
  • Suggest a core-satellite asset allocation
Fixed income management
  • Analysis and management of the yield curve
  • Analysis and management of credit risk
  • Analysis and management of complex products and linkers: inflation-linked bonds, ABS, convertibles, CDO
  • Use of derivatives and management of risk exposure
  • Practical workshop
  • Pricing and management of a fixed-income portfolio
Equity management
  • Management of trackers
  • Top-down approach, market timing and sector rotation
  • Bottom-up approach: Value and Growth
  • Best execution principles
  • Practical workshop
  • Pricing and management of a stock portfolio
Alternative assets
  • Private equity: illiquidity premium
  • Hedge funds: risk premium and/or alpha
  • Principles and limitations of arbitrages
  • Practical workshop
  • Historical simulation of the price of a structured product
  • Building a long-short portfolio
Performance measurement
  • Various ratios of performance
  • Global Investment Performance Standards (GIPS®)
  • Performance attribution
  • Style analysis
  • Practical workshop
  • Calculate TWRR and MWRR, Dietz formula
  • Risk indicators
  • Most important ratios: Sharpe, Information ratio, Sortino, Calmar
  • Analyse a funds’ style of management
Investors’ needs and constraints
Final presentation for clients

  • Understand the role and organisation of the asset management industry
  • Understand the regulatory framework of asset management and the operating regulations of UCITS
  • Asses the basic characteristics of the different types of assets and their role in investment strategy
  • Understand the management principles of fixed-income, money market and equity funds as well as the main hegde funds strategies
  • Know how to present and analyse the performance of an investment
  • Analysis of traditional asset classes and premiums risks associated with alternative strategies
  • Consideration of opportunities by derivatives and structured products
  • Analysis of various management styles and their evaluation criteria
  • Performance analysis and interpretation

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