Asset Management

Asset management has experienced a very significant growth and particularly in Europe (development of pension funds and a cross border market). The course will focus on approaches and techniques used by investors and asset managers. Topics will include investment techniques like indexing and portfolio insurance and recent institutional investors’ approaches. The course will cover in details the investment process followed by asset managers : forecasting asset class returns, risk models, portfolio construction. Forward-looking measures of asset returns and tactical return forecasting models will be reviewed. Basics of equity and fixed-income portfolios management will be presented. Recent market trends will be analyzed : Smart Beta, Core-satellite approach, factor allocation…

Course Objectives

The course will focus on the application of financial theory to the issues and problems of asset management from a practitioner’s point of of view.

Course Content

Overview of the asset management industry:

  • Developement of asset management : definition, players…
  • Regulatory environment and organization of an asset manager
  • 3-P’s

Indexing strategies:

  • Indexing techniques
  • ETFs
  • Smart beta

Portfolio insurance and guaranteed funds:

  • History and recent growth
  • Presentation of the different techniques :
  • Stop loss
  • OBPI
  • CPPI

Active investment management:

  • The rationale for active management
  • Principles of behavioral finance
  • The fundamental law of active management
  • The three stages of asset allocation : strategic, tactical and securities selection
  • Style analysis

Forecasting asset class returns

  • Long-term asset returns
  • Tactical forecasting models

Portfolio construction:

  • Risk estimates
  • Drawbacks of classical portfolio optimization
  • Factor models
  • Black-Litterman approach

Managing Bond portfolios:

  • Presentation of bond markets
  • Basic risk measures : duration, modified duration
  • Beyond duration : Modern interest rate risk management techniques
  • Credit risk

Managing Equity portfolios:

  • Presentation of equities markets
  • Investment styles
  • Risk factors

Alternative Investments:

  • Common features
  • Hedge Funds : history, main strategies, performance and risk
  • Real estate and Infrastructure investing
  • Private Equity Funds

Performance evaluation:

  • Performance measure: methods and rankings
  • The limits of rankings based on past performance
  • Risk-return ratios
  • Performance analysis and breakdown in factors.