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:
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:
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.
09.00 –10.30 SEMINAR INTRODUCTION
SINGLE-FACTOR MODELS (1GEN)
Asset Allocation History – a general overview of asset allocation and risk management techniques
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
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)
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
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
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.