Investment Management Academy

Euromoney Learning Solutions

How long?

  • 5 days
  • online, in person

Euromoney Learning Solutions


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About the course

Transform your career in financial investing & learn technical analysis

Whether you invest in domestic or international markets for institutions, pension-holders or private clients, this programme will give you the skills to increase your returns, reduce risk and retain investors. You also have the unique opportunity to network with your industry peers worldwide.

Through the use of structured study, group exercises and investment simulations, this intensive course will equip you with the tools you need to immediately apply what you have learnt to real-world investment activities.

How will this course will assist you?

On Completion of this 9-day course, you will be able to:

  • Devise asset allocation strategies for a post-credit crunch environment
  • Alpha analysis and information ratios in theory and practice
  • Learn and apply the principles of Post-modern portfolio theory
  • Construct superior equity portfolios using behavioural finance theory
  • Reassess hedge fund investing in light of recent events
  • Learn how to implement portable alpha strategies via practical applications
  • Assess the opportunities offered by emerging alternative assets
  • Develop frameworks to accommodate real and tangible assets in portfolios


Day 1: Asset Allocation and Portfolio Optimisation

New Paradigms in Asset Allocation

  • The changing world of asset allocation
  • The demise of risk-free assumptions
  • Assets are undergoing structural change
  • Risk-on, risk-off mentalities
  • Why new approaches are needed
  • Relative Vs Absolute Vs Unconstrained investment approaches
  • How ETFs are disrupting the old landscape
  • Capturing risk premiums as cheaply as possible

Case Study: Introducing a complex case study – initial steps in asset allocation

Asset Allocation Theory

  • Inputs to the asset allocation decision
  • Models with alternative risk definitions
  • Correlations and the covariance matrix
  • Efficient frontiers and optimal portfolios
  • Utility functions and indifference curves
  • Static approaches to asset allocation – strategic asset allocation
  • Dynamic approaches to asset allocation – integrated, tactical and insured
  • Asset allocation rebalancing approaches

Case Study: Quantitative exercises in asset allocation

Asset Allocation, Asymmetric Returns and Post Modern Portfolio Theory

  • Asymmetric investment returns and how to achieve them
  • What fund managers need to know about PMPT
  • Applying the principles of PMPT to portfolios
  • The search for assets with asymmetric return distributions
  • Downside deviation and the minimum acceptable return
  • Target rate of return and upside potential ratio

Case Study: Applying the principles of PMPT

Dynamic Asset Allocation and Unconstrained Investment Approaches

  • The move towards more dynamic portfolio management
  • Multi-asset and multi-manager approaches
  • Constant active management and conviction driven decision making
  • Active risk budgets and volatility management
  • Downside risk management
  • Portable alpha and alpha transportation
  • Capturing the upside whilst controlling the downside

Case Study: Structuring the portfolio for an Asset Allocation

Day 2: Quantitative Equity Investing, Relative Value Investing and Investing in Private Equity and Venture Capital

Quantitative EPM Strategies

  • Principles guiding quantitative equity portfolio management
  • Moving beyond Markowitz mean-variance optimisation
  • Insights from Black-Litterman and Bayesian approaches
  • Factor choice, factor exposure and factor forecasting
  • Quantitative portfolio construction and management in emerging markets – challenges and pitfalls
  • Quantitative unconstrained portfolio management when conviction is high
  • Minimum-variance portfolios, construction and performance
  • Portable alpha in theory and practice
  • 130/30 strategies
  • ETFs – the vehicle of choice?

Case Study: Calculating the Risk/Return Characteristics of an Unconstrained (high conviction) Equity Portfolio

Relative Value Strategies

  • What does relative value market-neutral mean?
  • Pair trades – identification and exploitation
    • Examples of relative value strategies in practice
    • - Equity market neutral/statistical arbitrage
    • - Convertible bond arbitrage
    • - Fixed income arbitrage
    • - Credit arbitrage
    • - Capital structure arbitrage

Case Study: Relative Value Exercises

Private Equity

  • A brief history of private equity investing
  • The different routes to investing in private equity
  • Main differences between private equity investing Vs public equity investing
  • The J-curve of a private equity investment
  • Value drivers in a private equity investment
  • How LBOs work and how private equity managers make money on deals

Case Study : Analysing an LBO Deal

Venture Capital

  • A brief history of venture capital investing
  • The various rounds and stages of venture capital investing
  • Do the returns compensate for the risk
  • The unique cash flow and risk dynamics of early-stage ventures
  • Valuing early-stage ventures
  • Why traditional valuation methods don’t work for early-stage ventures
  • Structure of venture capital funds
  • Understanding how venture capital firms think
  • Term sheets – what each side tries to achieve in a term sheet
  • Terms for splitting the rewards and allocating control
  • Aligning the interests of founders/management and investors

Case Study: Silicon Valley and the Venture Capital Industry

Day 3: Fixed Income Portfolio Management – Tools of the Trade, Sovereign Bond Analysis Today

  • The changing character of sovereign debt
  • Sovereign bonds and risk-free returns
  • Key drivers of sovereign credit quality today
  • Sovereign risk analysis and CDS spreads

Trainer Led Discussion: Reassessing sovereign debt risk in light of the credit crisis

Interest Rates, Yield Measures and Yield Curves

  • Overview of yield measures – current yield, yield-to-maturity, horizon yield
  • Nominal yields, real yields, index linked yields and inflation
  • Factors affecting bond yields and the term structure of interest rates
  • Overview of sovereign term structure theories
  • The treasury yield curve and how to interpret it
  • Analysis and interpretation of spot, forward, par and swap curves
  • The importance of the forward curve and forward rates
  • Interest rate and yield curve modelling

Case Study: Yield Curve Interpretation

Bond Price Volatility and Interest Rate Risk:

  • Duration and Convexity
  • Basics of interest rate risk
  • Determinants of bond price volatility
  • PVBP (PV01) and the price value of a basis point
  • Duration concepts – modified, effective and key rate
  • The importance of duration in managing a portfolio
  • Convexity, meaning and application

Hedging Sovereign Bonds

  • Principles of hedging sovereign bond portfolios
  • Choices of instruments for hedging
  • Calculating hedge ratios
  • Regression-based hedge ratios
  • Duration-based hedge ratios
  • Yield betas
  • Convexity hedging

Case Study: Duration-based hedging

Day 4: Risk and Performance Measurement and Investing in Infrastructure

Risk Management and Modelling in Portfolio Management

  • Identification of risks in asset management
  • Integrating risk into the investment process
  • Different types of risk and how to measure them
  • Tracking error, VaR, downside risk, shortfall probability
  • Defining acceptable risk levels
  • Extreme event distributions
  • Exposure based risk models
  • The total level of active risk in the portfolio
  • Active risk and active risk budgeting

Case Study: Integrating risk management into the investment process

Performance Measurement and Attribution Analysis

  • Time-weighted and money-weighted returns
  • Risk-adjusted performance analysis and measurement
  • Meaning and interpretation and application of the following measures :
  • Sharpe ratio
  • Sortino ratio
  • Treynor ratio
  • Jensen ratio
  • Fama ratio
  • The skill/luck matrix
  • Standard error of the information ratio
  • Cross sectional comparison performance
  • Returns-based performance analysis
  • Components of investment performance
  • Performance attribution analysis
  • Selection effects Vs allocation effects

Case Study: Attribution Analysis calculations

Investing in Infrastructure

  • History of infrastructure investing
  • Principle players in the infrastructure industry
  • Why infrastructure investing is not a fad and is here to stay
  • The unique characteristics of infrastructure as an asset class
  • Risks and rewards of infrastructure as an asset class
  • Characteristics of infrastructure investing that appeal to investors
  • Ways to invest in infrastructure
  • Opportunities and pitfalls of infrastructure investing

Case Study: Ways to Invest in Infrastructure

Day 5: Exchange Traded Funds – The New Building Blocks, Characteristics of ETFs

  • A brief history of the evolution of ETFs
  • Stimulants and catalysts behind the growth of ETFs
  • Why the ETF market is poised for further growth
  • An overview of the different types of exchange traded product
  • An overview of what is needed to create an ETF
  • Key differences between ETFs and tracker funds
  • Key differences between ETFs and open-ended mutual funds
  • Key differences between ETFs and closed-ended funds

Case Study: Comparing ETFs with other investment vehicles

Mechanics of ETF Creation and Redemption

  • The rationale for share creation and redemption during the trading day
  • Players involved in the ETF creation process
  • The role of authorised participants (AP) in the ETF creation and redemption process
  • The role and importance of creation units
  • Portfolio composition files (PCFs)
  • Market pricing of ETFs
  • Continual ETF pricing – how it works
  • NAV calculations for ETFs
  • Intraday indicative values (IIVs) and indicative NAVs (iNAVs)
  • ETF premiums and discounts and their calculation
  • Authorised participants and the creation and redemption arbitrage mechanism
  • How ETF prices are kept close to their NAV price
  • Synthetic ETFs
  • Swap-based ETF models Vs portfolio-based models

Case Study: Calculation of intraday indicative values

ETFs and Portfolio Strategies

  • Factors to consider in deciding the appropriate ETF investment strategy
  • Active ETFs are on the way
  • Strategic asset allocation, passive investing and ETFs
  • Tactical asset allocation, market timing and ETFs
  • ETFs, alpha and beta
  • Active sector allocation and rotation via ETFs
  • Active style rotation via ETFs
  • Active theme allocation via ETFs
  • Core-explore-satellite approaches via ETFs
  • Lifecycle investing via ETFs
  • Target date investing via ETFs
  • ETFs and equity investing
  • ETFs and fixed income investing
  • ETFs and commodities investing

Case Study: Choosing an appropriate ETF portfolio investment strategy

Launching an ETF

  • Making the decision to launch an ETF
  • What you need to have in place to get it right first time
  • The 3 phases to a successful ETF launch
  • Choosing your service providers
  • Filing for regulatory approvals
  • Choosing a market maker/specialist firm
  • Reviewing the draft prospectus and Authorised Participant (AP) agreements
  • Deciding on a listing exchange and launch date
  • Deciding on your distribution strategy
  • Educating your distribution partners
  • Communicating the investment benefits

Case Study: Launching an ETF and devising a marketing strategy


Bernard Duffy

Bernard Duffy began his investment management career with Abbey Life in Dublin before moving to London in 1985 to work for Irish Life Assurance Plc. At Irish Life, he was responsible for investment product marketing and new fund launches and was responsible for the company’s successful entry into...

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Investment Management Academy at Euromoney Learning Solutions

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