Strategic Asset Allocation Training Course

By attending this course you will:

• Gain a thorough theoretical and practical overview of asset allocation
• Understand the practicalities of asset allocation programme implementation by investors
• Learn how an investor’s risk profile can be altered by asset allocation changes
• Refine your thinking on the drivers of investment returns and how this can impact asset allocation decisions
• Comprehend how asset liability modelling can create unrealistic asset allocation plans
• Obtain practical advice on how asset allocation decisions are implemented by a wide variety of different kinds of investors

Scroll down for agenda or book onto this course.

Asset Allocation Introduction: Managing Asset Class Selection and Risk

• The types of clients and their asset allocation profiles reviewed: Pensions, wealth managers, private banks, endowments and foundations
• The process of selecting eligible asset classes and their drivers: Liability driven investors vs. Non liability driven investors
• Working within the constraints of investment profiles
• Investor suitability concerns for asset decisions

Asset Allocation for Institutional Investors

• Different types of asset liability models for different types of clients
• Liability driven investors, the pension community and liability matching
  – Introducing the logic of ALM models
  – Building an ALM model
  – Understanding the weakness of models based on past statistics
  – A short history of pension asset liability matching in 2008 to current levels
• Non liability matching investors
  – Types of private clients, high net worth, entrepreneurial, UHNW and family office advisory clients
  – Special concerns with working with typical private bank clients
  – Asset allocation methods for illustrating to private clients the opportunities and market risks
  – Private banking example: Open architecture or closed investment proposals

Case Study: Swiss private banking asset allocation: Where we put our money

The Practice of Strategic Asset Allocation: Further Details on Asset Class Drivers, Investment Risk and Navigating the Markets

• Behavioural finance and can we determine market drivers clearly
• The risk in asset class: The history of market declines
• Definition of asset risks, volatility, losses and drawdowns
• Identifying drivers of financial markets
• Difficulties in benchmarking investment returns
• Using indexed, passive and active investment strategies
• Liquid vs. illiquid asset returns
• Outlining market risks and investor risk tolerance
• Notes on risk budgeting: Why this approach has become popular
• The unexpected, Black Swans and other fat tail events
• Specifics of equity returns and equity risk in 2012
• Specifics of fixed income returns and bond market risk in 2012
• The risk in 2008 to asset allocation programmes

The Process of Asset Allocation

• Making the asset allocation decision: The investment committee
• Strategic vs. tactical approaches to asset allocation
• The process of selection of asset classes
• Benchmarking and tracking error objectives
• Dangers of benchmarking in declining markets
• Investment statistics used for asset allocation
• Realistic and objective asset return targets: Projecting past return data forward
• Correlations, contagion and conditional correlation
• Volatilities and return distributions in markets
• Diversification levels: How much is necessary
• Obtaining market exposure: Index, active managers, in-house or external
• Allocation decisions to in-house or external fund managers: Pros and cons
• Monitoring external vs. internal portfolio managers

Modern Portfolio Theory and Portfolio Optimization

• A review of portfolio theory, diversification and asset allocation models
• The starting point: Outlining an investor’s risk profile
• Mean variance portfolio optimisation and its practice in the industry
• Modern Portfolio Theory (MPT) and Post-Modern Portfolio Theory (PMPT)
• Difficulties in asset class selection
• Creating efficient frontiers
• Tweaking and changing inputs
• Expected returns/expected risks
• Determining expected correlations between portfolio components
• Optimisation of the asset mix: How the model determines results

Group Exercise: Using a mean variance asset allocation optimizer to create a global asset allocation programme for an investment organization

Beyond Mean Variance: Other asset allocation models

• Downside models and Sortino
• Equilibrium models and Black Litterman
• When practice meets theory: Failings of theoretical asset allocation models

Tactical and Practical Asset Allocation Plans

• Current examples of tactical tweaking of strategic asset allocations plans
• The importance of the business cycle and investment returns
• Portable alpha plans and tactical asset allocation
• Fund sponsors and tactical asset allocation practice
• TAA overlays
• Market capitalisation asset allocation plans
• Global macro investment plans
• Where does rebalancing fit in

Practical Challenges in 2012/13 for Some of the Asset Classes

• Equity market global and investor sentiment
• Fixed income markets and quantitative easing
• Client concern of de-risking their portfolios in 2012
• Economic drivers of asset class returns, 2008 to 2011 examples
• A more difficult decade after 8 x global equity movement over 24 years

Capital Preservation Strategies

• Importance of avoiding negative compounding to generate investment returns
• Capital preservation ideas current in the market
• Development of capital development products
• Structured products with capital preservation
• Quick review UCITS and liquid alternative offerings

Asset Allocation to Alternative Assets: Providing promised downside protection?

• Reviewing the world of “Alternative Assets”
• Down-market protection: Asymmetric return investment theory and practice
• Challenges to asset allocation using external managers
• Overview of alternative strategies and impact on asset allocation
• Current global uptake on alternative investments in the asset allocation process
• The new UCITS alternatives: Fulfilling their promise?
• Fitting alternatives into the asset allocation process:
  – Liquid Alternatives, Hedge Funds, Commodities, Private Equity and Real Estate
• Alternative Beta and Alpha: Drivers of alternative returns
• Liquidity profile of alternative funds
• Current investor appetite global uptake on alternative investments in the asset allocation process

Case Study: A review of endowment asset allocation success: Top decile investors

What Looks Interesting in 2012 for Clients

• Review of what other private banks are investing in currently
• Review of global economic drivers and their direction
• Review of opportunity set in the financial markets
• Some of the problematic which may come up, e.g. debt crisis
• Relative valuation where the markets are now
• Overview of investment opportunities going forward
• Challenges of putting together asset allocation in 2012

Implementing the Group Decision Making Process for Asset Allocation
Group Exercise: Creating an Asset Allocation Model for 2012 for your investment organisation

To become a successful institutional investment manager you have to master a lot more than just good asset class selection. Other issues such as investment risk management, asset liability matching, implementing strategies within the constraints of the global investment markets and most importantly the practical challenges of implementing an asset allocation programme all play a pivotal role.

With this in mind this course has been designed to provide you with the perfect synergy between theory and practice. It begins by equipping you with a strong theoretical background that is then followed by a detailed, practical look at the development of an asset allocation programme. This will be demonstrated throughout the course with a number of case studies and real-life scenarios to help reinforce the practical applications learned throughout.