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.
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.