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Introduction to Third Generation Asset Allocation
Introduction to Third Generation Asset Allocation
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Duración:
16 horas
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1.000 €
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Professional market participants are increasingly puzzled by the exposed capital markets complexity when targeting capital preservation or more for their assets under management, given a lasting financial repression and persistently high correlations among traditional asset classes. Traditional asset allocation methodologies like Modern Portfolio Theory increasingly disappointed in achieving a significant diversification effect in portfolios. Where to go from here?

This seminar will cover the evolutionary asset allocation process from Generation 1 (Single-Factor/Single-Period models), via Generation 2 (Multi-Factor/Multi-Period models) to Generation 3 (Applied Behavioral Finance) and will highlight how practitioners can benefit hands-on in their investment decisions from the insights of the most recent generation 3.

Exemplarily, the following questions are addressed:

  • Why have the traditional asset allocation methodologies reached their limits?
  • What to use as starting point in state-of-the-art portfolio construction?
  • How to manage multi-asset portfolios to maximize the diversification effect?
  • How can investors practically benefit from behavioral finance insights?
  • How to define and manage risk in an interdependent world economy with interconnected capital markets?
  • Active versus Passive Investing? Or is it even a relevant question?
  • Factor-based investing - hype or opportunity?

For more information, please download the Seminar Brochure via the „Folleto PDF“ button.

 

 

 This seminar is tailored to the professional needs of practitioners from investment companies,
regional/private banks, insurance companies and institutional investors in the fields of portfolio
management, wealth management, investment controlling and treasury. Exemplary profiles:

  • Portfolio/ Asset Manager
  • Investment Committee Member
  • Wealth Manager
  • Trustee
  • Family Office CIO
  • CFA / CAIA
  • Treasurer

 In an intense two-day seminar, participants will be introduced to the latest asset allocation 
 insights of the third generation of optimization techniques, based on state-of-the-art applied
 behavioral finance insights.

 Participants will practice those techniques and reflect on how those can be applied given their respective  job profiles.

First day

09.00 –10.30  SEMINAR INTRODUCTION

SINGLE-FACTOR MODELS (1GEN)

Asset Allocation History – a general overview of asset allocation and risk management techniques

THE TRIUMVIRATE

Modern Portfolio Theory (MPT)
Capital Asset Pricing Model (CAPM)
Efficient Market Hypothesis (EMH)


10.45 –12.15 MULTI-FACTOR MODELS (2GEN)

STRATEGIES INTENDING TO IMPROVE 1GEN MODELS

Extending the Asset Class Universe
Multiple-Regression Analysis
Forecasting Models
Barra / ARCH/ GARCH / Copula

12.30 –14.00 2GEN EXAMPLE. MULTI-ASSET-CONCEPTS (MAC)

GOING BEYOND VOLA-BASED RISK PARAMETERS

Asset Allocation Analysis of Yale & Harvard Endowment Plans and selected Sovereign Wealth Funds

15.30 –17.00 LIMITS OF TRADITIONAL ASSETALLOCATION(1GEN + 2GEN)

CRISES INSIGHTS

Popular Asset Allocation myths are deconstructed:
Normal Distribution / Rational Investors / Efficient Markets / VaR / Constant CORR / Market
Timing / etc.
Portfolio liquidity issues
Onshore vs Offshore Products
Globalization effects on asset allocation methods
Implication of worldwide re-regulation efforts

Second day

09.00 –10.30 THIRD GENERATION (3GEN) – NEWBASIC HYPOTHESIS

Basic assumptions of the third asset allocation generation are introduced, distinguishing it from the previous ones.

10.45 –12.15  3GEN BUILDING BLOCK I. GLOBAL TRANSFORMATION PROCESSES

THE STARTING POINT

Market Timing Limitations
The search for a robust starting point in Strategic Asset Allocation
Coverage of global transformation processes

3GEN BUILDING BLOCK II. RISK FACTOR DIVERSIFICATION

Asset Class VS Risk Factor Diversification
What are Risk Factors?
How to isolate and analyze Risk Factors?
How to invest in/via Risk Factors?


12.30 –14.00 3GEN BUILDING BLOCK III. ANIMAL SPIRITS MANAGEMENT

BEHAVIORAL ASPECTS IN INVESTMENT DECISIONS

Behavioral Finance Update
Cultural aspects in investment decision making
Corporate Governance structure
High Performance Investment Teams ©

3GEN BUILDING BLOCK IV. PRODUCT & JURISDICTION AGNOSTICISM

Active VS Passive Investing
Alpha VS Beta Investing
MAC & Risk Parity

15.30 – 17.00 3GEN BUILDING BLOCK V. RULE-BASED DSAA PROCESS

Anti-cyclicality
Rebalancing
How to create a rule-book and how to commit to it?
How to combine the 3GEN building blocks to a coherent asset allocation process?

 

Este curso es organizado por (Instituto BME en colaboración con la empresa de asesoría Panthera Solutions.

El curso se impartirá en inglés con traducción simultánea . La documentación del curso es integramente en inglés.

 

 

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