Surviving the Asset Management (R)Evolution
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 this intense two-day seminar, participants will first learn about how to differentiate between the asset allocation generations in interactive workshops. Subsequently, the principles of the third generation (i.e. risk factor diversification, causality analysis, heuristics management etc.) are introduced. Participants will learn how to avoid typical irrationalities of investors based on cognitive dissonances. Practical choice architectures and nudging techniques for teams and individuals are introduced, intending to balance the use of qualitative optimization techniques in combination with latest technologies.
All together, participants get empowered through practical asset allocation tools that can be applied back at their desk to further specialize their profiles.
What are the characteristics of a modern, competitive interpretation of multi-asset and risk management? Based on applied behavioral finance insight, the third generation of asset allocation principles (3GEN) is currently gaining ground. Those principles are academically validated and empirically sound. Their advantage: they break with the basic assumptions of previous generations and explain capital market phenomena more accurately. Concepts like asset allocation, diversification and risk are redefined. A (r)evolution.
Choice Architecture Optimization, Nudging and Heuristics Management become success factors for professional investors in an increasingly competitive asset management industry. An investors ́ survival probability is either increased through a) size b) digitalization or c) specialization. For most asset managers, specialization remains the only way forward.
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
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?