Strategic Portfolio Management & Asset Allocation

Strategic Portfolio Management & Asset Allocation

Monday 15 Nov 2021

  • Duration: One Week
  • City: Madrid
  • Fees: Classroom: 4300 GBP / Online: 1950 GBP



Strategic Portfolio Management is a closed-loop process encompassing all enterprise investments. To illustrate, a company’s portfolio options might include funding internally generated ideas, buying other companies, returning cash to stockholders as dividends, modernizing facilities, implementing a major IT system, increasing employee compensation, and paying down debt. Deciding which of the options to invest in is a core responsibility of the company’s executive leadership team. Strategic asset allocation is a portfolio strategy that involves setting target allocations for various asset classes and rebalancing periodically. The portfolio is rebalanced to the original allocations when they deviate significantly from the initial settings due to differing returns from the various assets

The Strategic Portfolio Management & Asset Allocation course reviews in detail the latest developments and best practices within the banking and finance industry, with a key focus on asset allocation, portfolio construction, style management strategies, performance measurement and popular thematic trends. 

 After attending this course you will know how to:

  • Design robust asset allocation models for all market conditions
  • Build and maintain optimal portfolios based on investor needs
  • Analyse the key features advantages and risks of a broad range of asset classes and their performance in different market conditions
  • Recognise different approaches to identifying and capturing alpha
  • Gain competitive advantage from understanding behavioural biases and how to manage them
  • Address the theoretical and practical issues in connection with multi asset class investing

Who should attend?

This programme is designed for delegates with a knowledge of the fundamentals of modern portfolio theory asset allocation theory equity analysis and portfolio construction techniques.


Course Content

Day 1

Overview of the Investment Management Industry

  • The players
  • The key clients
  • The core products
  • Market trends
  • Key Performance Indicators and Profit dynamics
  • Investment themes and styles
  • Market trends and Product evolution

The Building Blocks

  • Asset allocation – Art or Science?
  • The relevance of Modern Portfolio theory and efficient markets today
  • The risk/return relationship
  • Diversification and Correlation

Day 2

The Asset Allocation Process

  • The Investment Policy Statement
  • Types of asset allocation
  • Principal protection and principal growth assets
  • Constructing the Framework
  • Matching asset classes with wealth levels and income needs
  • Asset and portfolio risk
  • Risk-adjusted returns
  • Case study: Building and maintaining optimal portfolio solutions

Rebalancing and Reallocation

  • Principles and Scope
  • Approaches to rebalancing
  • Advantages and disadvantages
  • Managing drift’ in the portfolio and maverick’ risk
  • Relative performance
  • Critical success factors
  • Special considerations when dealing with concentrated positions

Day 3

Asset Allocation and Other Portfolio Construction Disciplines

  • Strategic principles
  • Style and sector selection
  • Region and country selection
  • Industry and Security selection
  • Manager selection
  • Information ratios for different investment styles
  • Currency selection and currency overlay
  • Market timing
  • Decision points in implementation strategy

The Search for Alpha and the Importance of Information Ratios

  • Defining alpha
  • Sources of alpha
  • Portable alpha
  • Alpha generation and manager skill
  • The information ratio and coefficient
  • The fundamental law of active management
  •  The emergence of SMART Beta

Day 4

Performance Measurement and Attribution

  • Individual investor behaviour
  • Introduction – What is behavioural finance?
  • Decision theory
  • Factors impacting individual asset allocation decisions
  • The significance of asset locations’
  • Goal-based asset allocation
  • Comparison of expected utility, prospect theory and mean-variance analysis
  • Individual investor behaviour characteristics
  • What can we learn from market history’?
  • The cycle of ’emotion’
  • Identifying patterns of irrationality
  • Risk profiling – dealing with behavioural bias
  • Reacting to client irrationality
  • Moderate or adapt the asset allocation?
  • Summary of implications for portfolio design

Day 5

Asset Class Characteristics

  • Asset class descriptions and distinguishing qualities
  • Evaluation of asset classes
  • Specific challenges with Fixed Income
    • Duration
    • Convexity
    • Hedge ratio
    • Yield components
    • Skewness and Kurtosis
  • Case study: Thought leadership in Asset Allocation – The Yale Model
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