Day One

Session 1:

Modern Portfolio Theory and Efficient Markets as applied to today’s environment

• Efficient Markets – Are they? Do we live in a ‘Normal’ world?

• The Capital Asset Pricing Model and Efficient Frontiers

• Betas and the search for Alpha

• What is the correct Equity Risk Premium now? Can history be a guide

• Case Study – Beta at work in practice

Session 2:

Investment Performance Measurement and Benchmark Construction

• What sort of returns do you want to measure exactly? Relative, Absolute, Guaranteed. Lessons from the Markets and Client perceptions

• Time-Weighted VS Money-Weighted Performance Measurement

• Performance attribution analysis

• What are the desirable properties of the ‘right’ Benchmark Index

• What about unconstrained investing as a strategy?

Session 3:

Investing in Bonds – From Sovereign to Corporate

• Factors to consider when managing Bond Portfolios

• The search for Income – From Sovereign to Corporate

• Maturity, Duration; Yield Curve and Spread trading

• From Investment Grade to High Yield – Rising Stars and Fallen Angels

• Case Study – Credit Spreads in Practice across the Emerging Market Bond Universe

Session 4:

Investing in Equities – From Active to Passive

• Thematic VS geographical selection criteria

• Growth VS Value Investing – how do the numbers work?

• Thematic Investing – the Ethical/Green approach

• Can active management add value? The growth of Index Tracking

• Exchange Traded Funds – Active passive?

• Case Study – Assessment Criteria used by Equity Fund Managers

Day Two

Session 1:

Portfolio Construction for Private clients in practice

• How have Wealth Managers’ invested their Clients’ wealth to date?

• Investments of ‘passion’

• Changing Asset allocation strategies in today’s Markets

• Diversification VS Correlation

• Case Study – Correlations between the Equity Markets of Africa

• Client profiles and model portfolios

• Case Study – Putting together a Portfolio for a HNWI in practice

Session 2:

Risk Measurement and Management across the Investable Universe

• Volatility – Statistical probability and dispersion of returns

• Fat Tails in Finance & Black Swans explained

• Case Study – Volatility in practice across the Mutual Fund Universe

• Sharpe Ratios – Risk adjusted performance measurement

• Portfolio Optimisation and rebalancing (Excel demonstration)

• Value at Risk

Session 3:

Using Derivatives in Portfolio Management

• Which products do Portfolio Managers mainly use and why?

• For Hedging or Speculation

• Exchange Tradable VS Over-the-Counter instruments

• Index Futures – Hedging a Portfolio, Margin requirements

• Swaps for Fund Managers – Equity Index; Credit Default

• Using Options to protect Portfolio positions

Session 4:

Using Alternative Investments in the Portfolio – Hedge Funds

• What are they exactly? How do they differ from conventional Funds?

• The non-correlated Asset Class – Efficient Frontiers revisited

• Survivorship Bias, Drawdown

• Transparency issues

• Benchmark risks for Investors

• Manager tactics – Leverage and Shorting explained

• Case Study – How do Investors choose their Hedge Fund Manager?

Course Close