Global Curriculum in Applied Portfolio Management (G-CAPM)

The Global Curriculum in Applied Portfolio Management (g-CAPM) Programme is a 7-day training programme at NUS Business School developed by academic professionals for investment professionals and conducted at the world’s most advanced Investment Management & Trading Lab.

By the end of this course, participants are expected to research, write, and publish equity & fixed income investment reports, build simple multifactor models for screening and alpha generation purposes, perform live & backtested portfolio investment strategies to develop the participants’ equity research, stock-picking and credit skills, and perform portfolio optimisation and risk management analysis.

Syllabus Updated!: Content for this programme has been updated to provide real-life case studies of financial institutions adjusting to the new pandemic normal, especially with respect to asset and risk management in extreme times.

Likewise, participants will be exposed to real-time macroeconomic views on current global issues affecting investment management.

Teaching Ground

The state-of-the-art Investment Management & Trading Lab (iMTL) enhances participants’ hands-on applied portfolio research & management experience and activity. It is an integrated teaching and learning financial laboratory with a main projector and large white screen, 6 LED monitors, whiteboards and flip charts, 32 financial workstations, as well as integrated audio and video equipment connectivity for interactive and team-learning purposes. The 32 financial workstations are each equipped with Refinitiv Eikon live feeds, live financial data tickers, MSCI-Barra investment and risk management software, and various other financial applications.

Learning Outcomes

• In-depth knowledge of methodologies & models used in theory and in practice - Multifactor Models, Fixed Income & Currencies, Liquidity, Value Enhancement Strategies and the Global Economy
• Hands-on computational finance, risk & portfolio management, and trading & execution abilities
• An understanding of hedge fund and alternative investment strategies, manager due diligence

MODULES

MODULE 1: Quantitative Techniques by Professor Richard Yeh (Senior Advisor, CAMRI)

Part 1 of this course is an advanced training seminar in state-of-the-art financial management techniques, drawing on Modern Portfolio Theory. It will serve as a comprehensive real world examination of the quantitative techniques available in portfolio management, and how these might be applied to the investment management industry. Topics covered include Bayes-Stein shrinkage estimation, Monte Carlo simulations & Resampling, Black-Litterman Model, and dealing with asynchronous and missing data using Stambaugh-Efron methodology. Part 1 is for 2.5 days.

MODULE 2: Fundamental Investing in Asia and Fixed Income and Currencies

Part 1: Fundamental Investing in Asia by Adj. Associate Professor Robert Lewis (Founder and Managing Director, Novatera Capital)

Part 1 of Module 2 of this course will highlight the skills necessary from a theoretical and practical standpoint for investing using a “fundamental” approach. The course aims to apply traditional Graham & Dodd “deep value” investment theory with the practical challenges of investing in Asian equity markets. Participants will gain practical experience in fundamental research techniques including interviewing company management, and doing company and sector due diligence to determine corporate governance strengths, quality of accounting information, fraud detection, etc., and financial statement modelling. Part 1 of Module 2 is for 1.5 days.

Part 2: Fixed Income and Currencies (“FIC”) by Professor Ganesh Ramchandran

Part 2 of Module 2 provides insights into interest rate, FX, and credit markets and products, from an industry insider’s perspective. The focus Part 2 of Module 2 provides insights into interest rate, FX, and credit markets and products, from an industry insider’s perspective. The focus will be on valuation and risk management in “FIC”, with real-life examples from the banking and hedge fund world. The training will emphasize practical case study applications, including asset-liability management, cross currency swaps, and an in-depth analysis of infamous derivative “accidents” in history. Part 2 of Module 2 is for 1.5 days.

MODULE 3: Securities Valuation, Risk & Portfolio Management and Current Issues in the Global Economy affecting Portfolio Management

Part 1: Asset Pricing, Risk, and Portfolio Management with Machine Learning Applications by Assistant Professor Ben Charoenwong (Assistant Professor of Finance, NUS Business School)

Part 1 of module 3 covers over 100 years of financial market and academic research with an application with cutting edge technologies. Major topics covered include building factor models, behavioral finance, portfolio & risk management, and applications with alternative data. The explosive growth in data makes it is ever more important to have a solid foundation in financial economics. Data is how we quantify real world activities and data analytics is how we rigorously evaluate information in pursuit of good decision making.

The first half of the course expands on the conceptual framework from the traditional Capital Asset Pricing Model to multi-factor models and applications in behavioral finance. The second half of the course introduces common machine learning methods procedures that can be used in the practice for risk and portfolio management. It covers LASSO, Random Forests, and hidden Markov models through high-dimensional real-life datasets, cases, coding and applications. Data will be cleaned and presented in a way to emphasize usage rather than data wrangling. We also learn what techniques to use under which conditions, and how to use the techniques ethically, trading off granularity with personal privacy.

Lectures will include hands-on lab projects using data from public sources as proprietary sources like Refinitiv, as well as the usage of Python for real-life portfolio management examples utilizing various financial applications & tools. There will also be an in-depth discussions with respect to the various financial economic responses to COVID-19.

Part 2: Current Issues in the Global Economy Affecting Portfolio Management by Professor Kim Sun Bae (former Chief Economist – Asia, Goldman Sachs)

Following the Global Financial Crisis – and now COVID-19 – the economic environment has been changing dramatically while proactive central banks and regulators have had an unprecedented impact on the global marketplace. This part of the course highlights some of the key changes unfolding in the macroeconomic and policy front, both globally and within Asia, which will shape the investment landscape over the near- to medium-term. Topics to be covered include Prospects and risks of monetary policy “normalization” in the US; Rebalancing in China and implications for Asia and the world; and Financial regulation post global financial crisis and COVID-19. The lectures will apply some of the tools (models) of macroeconomics and international finance in framing these issues, particularly as they impact the investment landscape. Part 2 of Module 3 is for half a day.