Asset management: calculate risk and return and optimise portfolios.

About the course.

What you learn.

• Different investment strategies, what distinguishes them and how they can be used in different contexts
• How the price of a security is calculated
• Risk measures for funds and individual securities
• How you can evaluate a fund using both hard and soft key figures
• Modern portfolio theory
• Basic market psychology
• Important concepts in asset management
• Optimising a portfolio yourself in an Excel model

How the course is built.

1. Introduction to portfolio theory

   In this session we go through the most important concepts when putting together a securities portfolio and why diversification of risk is so important: Standard deviation The normal distribution Covariance and the correlation coefficient Crash Correlations Diversification The 5-10-40 rule

2. Modern portfolio theory

   In this session we go through the basics of portfolio theory, that is, how to put together securities portfolios optimally based on risk and return: The efficient frontier and how to maximise return relative to risk Optimal portfolios

3. The price of a security

   In this session we go through different valuation methods and what determines the price of a share and a bond: Different valuation methods for shares, for example P/E, the Dividend Discount Model and Gordon's formula The value of a bond How to calculate what required return you should have based on the risk you take (the CAPM formula)

4. Risk measures

   In this session we go through different ways of measuring the risks of a security. The measures and key figures we go through are: Standard deviation and volatility Value at Risk (VaR) Maximum Drawdown Beta Duration Credit risk: High Yield and Investment grade We go through how you can help a discretionary client in Wealth Management/Private Banking define their mandate in terms of risk level

5. Concepts in asset management

   Here we go through some terms that are common in asset management so that you can more easily understand what a fund manager is talking about: Strategic vs tactical position Bottom up vs Top down Fundamental vs Technical analysis Alpha vs Beta exposure Momentum vs Mean reverting Share lending / short selling / Covered Call

6. Investment strategies

   In this session we go through different investment strategies: Static, reactive and anticipatory are different ways of making decisions Index management compared with ordinary active management Smart Beta, that is, rule-based strategies Different hedge fund strategies Investment strategies with special themes, for example demographics and sustainability Active fixed income management, how does it work?

7. Different measures for evaluating funds

   In this session we go through different ways of evaluating funds. Have they dared to believe in their ideas and pursued active management? Have they succeeded? The key figures we go through are: Tracking Error Active Share Jensen's alpha Sharpe ratio Information ratio Treynor ratio

8. Are markets efficient?

   This session is about the eternal question: is it really possible to beat the index or the market over time? We go through the following: EMH: the Efficient Market Hypothesis Could it be chance that a fund manager beats the index 15 years in a row? Market psychology (Behavioural finance) has gained increasing influence in recent years and has also been rewarded with a Nobel Prize. It is about the fact that we are not always so rational when we make investment decisions. Overconfidence, anchoring, home-bias etc

9. Macroeconomics as a forecast

   Interpreting business cycle signals and monetary policy Indicators of the strength of the economy How should we interpret the central banks? What goals do the central banks have and what tools do they have to get there? What can the slope of the yield curve tell us? Which assets usually perform best in different phases of the business cycle? Investment clock

10. Trends we see in asset management

    AI, fintech and robo-advisers Alpha/Beta separation Smart Beta Climate-smart funds

11. Interactive portfolio optimisation in Excel

    We use an Excel model to practise an intuitive understanding of portfolio theory

12. Creating added value

    How do you choose the right risk level? Managing the client's and your own expectations

Who is this for?

Wealth advisers, investment advisers in private banking, wealth management and others who work with or are interested in asset management.