Introduction to Third Generation Asset Allocation
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London Stock Exchange, London
This seminar will cover the evolutionary asset allocation process from Generation 1 (Single-Factor/Single-Period models), via Generation 2 (Multi-Factor/Multi-Period models) to Generation 3 (Applied Behavioral Finance).
In an intense two day seminar, participants will be introduced to the latest asset allocation insights of the third generation of optimisation techniques, based on state-of-the-art applied behavioural finance insights. Participants will practice those techniques and reflect on how those can be applied given their respective job profiles.This seminar will cover the evolutionary asset allocation process from Generation 1 (Single-Factor/Single-Period models), via Generation 2 (Multi-Factor/Multi-Period models) to Generation 3 (Applied Behavioural Finance) and will highlight how practitioners can benefit from the insights of the most recent Generation 3 in their investment decisions.
The seminar addresses the following questions:
- Why have the traditional asset allocation methodologies reached their limits?
- What to use as starting point in state-of-the-art portfolio construction?
- How to manage multi-asset portfolios to maximise the diversification effect?
- How can investors practically benefit from behavioural finance insights?
- How to define and manage risk in an interdependent world economy with interconnected capital markets?
- Active versus Passive Investing? Or is it even a relevant question?
- Factor-based investing - hype or opportunity?
Who should attend?
This seminar is tailored to the professional needs of practitioners from investment companies, regional/private banks, insurance companies and institutional investors in the fields of portfolio management, wealth management, investment controlling and treasury including:
- Portfolio/ Asset Managers
- Investment Committee Members
- Wealth Managers
- Family Office CIOs
- CFAs / CAIAs
CPD points: This programme attracts 12 CPD points
Registration fee: £1,330 + VAT
09.00 –10.30 SEMINAR INTRODUCTION
SINGLE-FACTOR MODELS (1GEN)
- Asset Allocation History – a general overview of asset allocation and risk management techniques
- Modern Portfolio Theory (MPT)
- Capital Asset Pricing Model (CAPM)
- Efficient Market Hypothesis (EMH)
10.45 –12.15 MULTI-FACTOR MODELS (2GEN)
STRATEGIES TO IMPROVE 1GEN MODELS
- Extending the Asset Class Universe
- Multiple-Regression Analysis
- Forecasting Models
- Barra / ARCH/ GARCH / Copula
12.30 –14.00 2GEN EXAMPLE. MULTI-ASSET-CONCEPTS (MAC)
GOING BEYOND VOLA-BASED RISK PARAMETERS
- Asset Allocation Analysis of Yale & Harvard Endowment Plans and selected Sovereign Wealth Funds
15.30 –17.00 LIMITS OF TRADITIONAL ASSETALLOCATION (1GEN + 2GEN)
- Popular Asset Allocation myths are deconstructed:
- Normal Distribution / Rational Investors / Efficient Markets / VaR / Constant CORR / Market Timing / etc.
- Portfolio liquidity issues
- Onshore vs Offshore Products
- Globalisation effects on asset allocation methods
- Implication of worldwide re-regulation efforts
09.00 –10.30 THIRD GENERATION (3GEN) – NEWBASIC HYPOTHESIS
- Basic assumptions of the third asset allocation generation are introduced, distinguishing it from the previous ones.
10.45 –12.15 3GEN BUILDING BLOCK I. GLOBAL TRANSFORMATION PROCESSES
THE STARTING POINT
- Market Timing Limitations
- The search for a robust starting point in Strategic Asset Allocation
- Coverage of global transformation processes
3GEN BUILDING BLOCK II. RISK FACTOR DIVERSIFICATION
- Asset Class VS Risk Factor Diversification
- What are Risk Factors?
- How to isolate and analyse Risk Factors?
- How to invest in/via Risk Factors?
12.30 –14.00 3GEN BUILDING BLOCK III. ANIMAL SPIRITS MANAGEMENT
BEHAVIOURAL ASPECTS IN INVESTMENT DECISIONS
- Behavioural Finance Update
- Cultural aspects in investment decision making
- Corporate Governance structure
- High Performance Investment Teams ©
3GEN BUILDING BLOCK IV. PRODUCT & JURISDICTION AGNOSTICISM
- Active VS Passive Investing
- Alpha VS Beta Investing
- MAC & Risk Parity
15.30 – 17.00 3GEN BUILDING BLOCK V. RULE-BASED DSAA PROCESS
- How to create a rule-book and how to commit to it?
- How to combine the 3GEN building blocks to a coherent asset allocation process?