Book Now
DAY ONE - Monday 29 April 2010
8:30 Registration and coffee
09:00 Robust portfolio construction for volatile marketsIdentifying the key concerns: Liquidity risk, transparency & volatility
- Identifying the scope for risk budgeting given by the client
- Identifying the key concerns: liquidity, transparency and volatility
- What are the lessons of the current markets for portfolio construction?
- Portfolio construction: a broad overview of methods and processes
- Understanding the link between advice portfolio and real exposure
- Re-balancing: when?
Daan Potjer, Managing Partner and Fund Manager, AETHRA ASSET MANAGEMENT
10:30 Morning break
11:00 Modelling risk and return in the real world
- Applying asset allocation models in the real world
- Black-Litterman and other Bayesian approaches to modelling risk and return
- Incorporating time-varying volatility and other real world market characteristics
- Practical stress testing and its application in portfolio construction
- Thinking outside the box
Malcolm Kemp, Managing Director, NEMATRIAN
12:30 Lunch
13:30 Portfolio construction issues in life cycle investments
- Accumulation phase
- Capital protection mechanisms
- Decumulation phase
- Guaranteed pension income for life
- Variable annuities
- Time horizons
Professor Michael Dempster, UNIVERSITY OF CAMBRIDGE and MD, CAMBRIDGE SYSTEMS ASSOCIATES LIMITED
15.00 Afternoon break
15.30 Tail risk management
- Hedging against tail risk
- Analysing tail risk through scenario generation and selection
- Dynamic modelling of tail risk
- Modelling non-normal distribution
Rishi Thapar, Senior Quantitative Analyst, INTERNATIONAL ASSET MANAGEMENT
17.30 End of day one
DAY TWO - Tuesday 30 April 2010
8:30 Registration and coffee
09:00 Factor model based multi-asset portfolio construction
- Diversifying a portfolio across factors rather than across assets or asset classes
- Statistical factor models (PCA- Principal component analysis)
- Fundamental factor models
- Quantitatively constructing multi-asset portfolios that reflects qualitative views
Pierre Sarrau, Managing Director, Risk and Quantitative Analysis, BLACKROCK
10:30 Morning break
11:00 Dynamic asset allocation strategies
- Why use dynamic asset allocation?
- Qualitative vs. quantitative approaches
- Asset allocation techniques
David King, Head of Multi Asset Quantitative Research, SCHRODER INVESTMENT MANAGEMENT
12:30 Lunch
13:30 The use of downside risk measures in portfolio construction
- Measuring downside risk
o Defining volatility issues - Minimizing downside risk
o Maximum drawdown
o VaR and Conditional VaR
o Low partial moments
o Skewness - Practical issues involved in its implementation
Rishi Thapar, Senior Quantitative Analyst, INTERNATIONAL ASSET MANAGEMENT
14:30 Afternoon break
15:00 Tail-risk budgeting
- Extreme downside risk budgeting: bringing tail-risk allocation in line with
return expectation
o Marginal & incremental VaR & CVaR
o Implied return expectation using CVaR optimality
Marc Gross, Managing Director, DARKSTAR CAPITAL
