Quantitative Techniques for Investment Managers

LEVEL: ADVANCED LEVEL

▪	Master the particularities of different asset classes and their associated risks
▪	Use advanced portfolio construction and management techniques
▪	Master the best methods for measuring performance and assessing the risk involved in your management strategies

▪	Active quantitative strategies - Advanced
▪	Advanced methods of portfolio construction - Advanced
▪	Performance measurement: method selection - Advanced
▪	Risk measurement: method selection - Advanced
▪	Systemic risk vs. Idiosyncratic risk - Advanced
▪	Using copulas - Advanced
▪	Advantages and limitations of risk neutral probability - Advanced

▪	Acquire the skills you need to adequately analyse market variations, and assimilate the latest portfolio
▪	management techniques
▪	An exhaustive seminar that develops all the techniques necessary to an optimal portfolio management strategy

▪	Fund managers wishing to widen their technical quantitative skills
▪	Client relationship managers
▪	Middle office personnel, reporting staff
▪	Internal controllers, auditors
▪	Risk divisions
▪	Institutional investors
▪	Financial consultants

Pre-Course Preparation
▪	Familiarity with the fundamentals of portfolio management (see our seminar: Fundamentals of Investment Management)
▪	Familiarity with zero-coupon valuation is advised (see our seminar: Financial Market Mathematics 1: Zero-Coupon Valuation)

General principles of investment management
▪	Financial asset classes
▪	Investment horizon
▪	Total return or income
▪	Concept of risk: volatility
Quantitative analysis of investments
▪	MWRR, TWRR and performance linking
▪	Mean, variance, standard deviation, confidence testing
▪	Normal distribution, binomial models, Black-Scholes formula, etc.
▪	Missing and asynchronous data
Equity Valuation
▪	Discounted cash flows and the Gordon Shapiro formula
▪	Multiples method
▪	Traditional analysis and market consensus
▪	Technical analysis
▪	Practical Workshop . Estimate a share’s valuation
Bond valuation, exposure to interest rates and credit risk
▪	Bonds, swaps, ABS, securitisation
▪	Actuarial rate of return, zero-coupon bonds, sensitivity, convexity
▪	Modelling the interest rate curve: Vasiceck, Cox, Ingersoll, Ross
▪	Practical Workshop . Analyse the sensitivity of a bond
Plain Vanilla and Exotic Options
▪	Sensitivity parameters (Greeks): delta, gamma, rho, theta, vega
▪	Volatility, arbitrage formula, example of strategies
Equity Risk
▪	Style analysis: value/growth and size
▪	Risk, volatility, beta modelling
▪	Equity indices
▪	Equity portfolio construction
▪	Practical Workshop . Study an efficient frontier
Credit Risk
▪	Credit as an asset class
▪	Credit rating agencies and transition matrices
▪	Credit default swaps: overview, pricing elements
▪	Difficulties with recovery
▪	Modelling credit risk: structural models and sudden surprise
▪	Practical Workshop . Analyse the statistical tools of a credit rating agency (KMV)
Risk Analysis
▪	Market risk, credit risk, operational risk
▪	Volatility, tracking error, VaR, eVaR, Expected Shortfall, measurement distortions
▪	Solvency and risk of ruin
▪	Regulation: VaR according to Basel II
▪	Practical Workshop . Monitor a portfolio’s risk
Portfolio Construction and Management
▪	Asset classes, diversification, correlation
▪	Efficient frontier and Markowitz theory
▪	CAPM (Capital Asset Pricing Model), optimisation
▪	Perfecting a dedicated investment portfolio
▪	Ratios: Sharpe, information, Sortino,
▪	Practical Workshop . Study a quantitative management process
Selecting Portfolio Managers
▪	Quantitative concerns
▪	Qualitative concerns
▪	Practical Workshop . Analysis of the main management strategies