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New York Institute of Finance

Advanced Portfolio Management Professional Certificate

Next dates

Jul 22—26
5 days
New York, New York, United States
USD 5395
USD 1079 per day

Description

The Advanced Portfolio Management Professional Certificate is a rigorous survey of the advanced tools and techniques employed in the practice of Portfolio Management

Prerequisite knowledge:

  • Some familiarity with equity, fixed income and alternative asset classes
  • Fixed income mathematics
  • Knowledge of portfolio theoretic concepts including mean-variance measures, portfolio diversification, systematic risk
  • Intermediate MS Excel skills (data tables, lookup functions, etc.)
  • Knowledge of elementary calculus, probability theory and basic statistical methods

CURRICULUM

Day 1

MODULE 1: INTRODUCTION

  • Why measure portfolio performance?
  • The measurement process
  • A brief history of asset returns
  • Review of quantitative tools

MODULE 2: THE MATHEMATICS OF PORTFOLIO RETURNS

  • Arithmetic vs. geometric rates of return
  • Value (money) weighted rates of return
  • ICAA, simple and modified Dietz methods
  • Time weighted rates of return
  • Hybrid methodologies
  • Linked modified Dietz and linked IRR
  • Portfolio component returns

MODULE 3: BENCHMARKING

  • Desirable properties for benchmarks
  • Index calculation methodologies
  • Price weighted indices
  • Market capitalization indices
  • Equally weighted indices
  • Benchmark selection
  • Benchmark statistics

MODULE 4: ADJUSTING FOR RISK

  • Return distributions
  • Market price of risk
  • Risk measures (Drawdown, VaR, CVaR, etc.)
  • Risk-adjusted returns
  • Selecting a risk measure
  • Risk-adjusted performance measures for equity and fixed income
  • Risk-adjusted performance measures for hedge funds

Day 2

MODULE 1: PERFORMANCE ATTRIBUTION: FOUNDATIONS

  • Active vs. passive portfolio management
  • Attribution standards
  • Arithmetic attribution techniques
  • Geometric attribution techniques
  • Multi-currency attribution
  • Risk-adjusted attribution

MODULE 2: FIXED INCOME ATTRIBUTION

  • Duration attribution
  • Yield curve analysis and decomposition
  • Yield curve attribution

MODULE 3: PERFORMANCE MEASUREMENT AND ATTRIBUTION FOR DERIVATIVES

  • Futures
  • Swaps
  • Options, warrants and convertible bonds
  • Market neutral attribution: 130/30 funds

MODULE 4: MULTI-PERIOD ATTRIBUTION

  • Smoothing algorithms
  • Multi-period geometric attribution

Day 3

MODULE 1: TAXONOMY OF RISKS

  • Market risk
  • Credit risk
  • Operational risk
  • Liquidity risk

MODULE 2: MARKET RISK MANAGEMENT TOOLS AND PRACTICES

  • Risk management tools
  • Index futures
  • Equity swaps
  • Options
  • Portfolio stress testing

MODULE 3: CREDIT RISK MANAGEMENT

  • Structural models of credit risk
  • Reduced form models of credit risk
  • Modelling default dependence
  • Credit value at risk

MODULE 4: RISK BUDGETING

  • Objectives of risk budgeting
  • Marginal risk and contributions to portfolio risk
  • Risk allocation and attribution

MODULE 5: RISK MANAGEMENT AND CONTROL STRUCTURES

  • Risk assessment vs. risk management
  • Exposure and loss limits
  • Risk monitoring best practices

Day 4

MODULE 1: REAL ASSETS

  • Real estate as an asset class
  • Core, value-added and opportunistic real estate
  • Real estate indices
  • Public and private real estate risks
  • Portfolio allocation within real estate

MODULE 2: COMMODITIES

  • Role of commodities in diversified portfolios
  • Methods of delivering commodity returns
  • Commodity futures strategies
  • Risk management for commodity portfolios

MODULE 3: HEDGE FUNDS AND MANAGED FUTURES

  • Managed futures: Strategies and sources of return
  • Risk and performance analysis of managed futures strategies
  • Structuring investments in CTAs
  • Hedge fund replication
  • Convertible arbitrage
  • Global macro and currency strategies

  • Equity strategies Funds of hedge funds

MODULE 4: PRIVATE EQUITY

  • Private equity fund structures
  • Building a private equity portfolio
  • Fund manager selection
  • Benchmarking and measuring private equity performance
  • Private equity fund valuation
  • Liquidity management

Day 5

MODULE 1: RISK AVERSION: THE PSYCHOLOGY OF RISK

  • Decision making under uncertainty
  • Utility functions and measures of risk aversion
  • Overview of prospect theory
  • Cognitive biases
  • Framing

MODULE 2: MODERN PORTFOLIO THEORY

  • Review of the Capital Asset Pricing Model (CAPM)
  • Two fund separation
  • Arbitrage pricing theory and multi-factor models
  • Does the theory work? A review of the evidence
  • The three-factor model

MODULE 3: A BEHAVIORAL APPROACH TO PORTFOLIO MANAGEMENT

  • Trading Biases
  • Hanging on to losers: The disposition effect
  • Under-diversification
  • Herding
  • Implementing behavioral portfolio management
  • Value, growth and momentum strategies

MODULE 4: DESK READY SKILLS KNOWLEDGE CHECK

WHAT YOU'LL LEARN

  • Calculate portfolio returns using a number of techniques
  • Select appropriate benchmarks for portfolios
  • Understand active and passive portfolio management strategies
  • Conduct comprhensive performance attribution for portfolios of all asset classes
  • Correctly implement a variety of yield curve strategies
  • Understand the risk and return chracteristcs of a number of equity strategies
  • Develop a deep unbderstanding of the role of alternative asset classes in diversified portfolios
  • Understand the prevalent hedge fund strategies and the implications for diversified portfolio performance
  • Understand the interrelationships between strategies across asset classes
  • Understand the implications of moderrn portfolio theory for real-world portfolio management
  • Crtically assess the implications of behavioral finance for real-world portfolio management

Who should attend

This course is best suited for candidates working in portfolio management or for those with a solid background in finance looking to transition into a portfolio management role

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