Portfolio Performance Measurement and Asset Allocation Techniques

Course Description

Asset managers tend to choose between active or passive management – the former involving active selection of new stocks or constant rearranging of portfolio weights through careful timing and the latter through buy-and-hold strategies.

While passive management has been welcomed because of low fees and (in calm markets) low volatility, active management remains a viable alternative for skilled portfolio managers.

Both active and passive managers face certain restrictions and mandated requirements such as reaching and maintaining given portfolio betas, remaining within certain tracking error bounds, information ratios, Sharpe ratios, weight constraints (such as long only, or only certain fractions of the portfolio in equities, for example, or in investment grade bonds).

Assembling portfolios which match and obey these requirements are non-trivial. This course examines such constraints and provides not only the theoretical background, but also offers practical Excel spreadsheets which observe the restrictions and output the requisite portfolio weights. These spreadsheets are scalable to embrace any sized portfolio.

Workshop Outline

The practical course is designed for those who need to understand the vagaries of performance metrics and asset allocation in more detail.

Through the analysis of the best current industry practice, delegates will learn how to set up, maintain and improve the measurement of various performance metrics used in the asset management industry. Delegates will learn about multiple-period metrics, (e.g. multiple-year Sharpe ratios) and why these cannot simply be “scaled up” from one-year estimates.

The evolution of portfolio asset allocation techniques (including those with mandated constraints, such as tracking error limits or beta restrictions) using the latest industry trends (and the accompanying mathematics) will be demonstrated.

Simple Excel examples will be used as much as possible and all aspects of the course will be reinforced using these Microsoft Excel-based models. Although delegates will be encouraged to participate in the assembly of their own spreadsheets, pre-made, simple spreadsheets will also be provided to cover most aspects of the course.

Earn 16 hours CPD points for attending this event!
For the past two years, Gary has worked as an independent consultant on projects for the European Central Bank’s TRIM (targeted review of internal models). His focus has been on quantitative credit risk assessment and management in financial institutions (principally the Basel regulatory accords).

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Terms and Conditions

Payment Methods: Kindly note that payment is required no later than 14 days from invoice date. In the event of nonpayment, Masterclass Events reserves the right to cancel the booking and the full amount under disagreement will be due and payable.

Confirmation Details: Upon reception of your booking, we will e-mail each registered person our delegate confirmation pack. This pack will include venue information with a map and specific event details. If you have not received confirmation within one week of booking, kindly contact us on 012 654 8615 for assistance. Delegate fees include all workshop materials, lunch and refreshments for each day. Please note that hotel accommodation and travel are not included in the price. We can offer travel and hotel booking assistance if required. If you require any travel assistance please contact us.

Cancellation and Transfer Policy: Delegates unable to attend the event may send a substitute delegate in their place. Please send written details of substitution. Written cancellations must be received more than 10 working days prior to the date of the event and will be liable for 50% of the event fee. Failure to cancel, or cancellations received 10 working days or less prior to the event date, will result in liability for the full event fee. Masterclass Events reserves the right to alter the program and speaker details without notice.

R 13 495.00 (VAT Excl) per delegate

Group Discounts
3+ delegates: 10% group discount
5+ delegates: 15% group discount

Bookings are confirmed upon receipt of signed registration form. All prices are exclusive of 15% VAT.

There is a R605 per day surcharge for Kosher & Halaal Meals.

Payment Methods:
Kindly note that payment is required no later than 14 days from invoice date. In the event of nonpayment, Masterclass Events reserves the right to cancel the booking and the full amount under disagreement will be due and payable.

Event Details
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Rand Merchant Bank

Great Course

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