Investment Management Academy

9 days 21 Nov - 1 Dec 2016, London UK £7,470.00 + VAT* Download brochure Add to basket

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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

Who should attend

  • Portfolio / Fund/ Asset Managers
  • Investment Analysts / Advisors / Strategists
  • Private Bankers / Investors
  • Heads of Investment
  • Pension Fund / Trustee Managers
  • Regulators, Auditors and Actuaries
  • Securities Salespersons
  • Instructors

    We work with a series of expert instructors, please select the course location of interest to review the credentials of who will be delivering the programme.

    Bernard Duffy
    The Course Director

    The Course Director 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 the single premium bond market. He joined County Bank at the end of 1986 as Research and Development executive in the unit trust division. In 1987 he transferred to the pension fund department, assuming responsibility for the management and performance of Canadian equity investments. In 1991, he was seconded to the European equity desk to manage a research project on European smaller companies. At the end of 1992, he was appointed head of the North American equity desk.

    He has a B.A.(Hons) in Economics and Politics, an M.A. in Development Economics and an M.B.A. in Finance from the City  university Business School in London.

    He is the course director and lead trainer on a number of Euromoney training programmes including the Investment Management School, Private Wealth Management, Hedge Funds and Investing in Art.



    Central London Hotel Venue

    All courses are held at four or five star venues in Central London, Zone 1. We strive to provide you with a training environment of the highest quality, to ensure that the whole learning experience exceeds your expectations.

    Your training venue will be confirmed by one of our course administrators approximately 3-4 weeks before the course start date.

    Related Courses


    We can bring this course to your company's office.

    If you simply want to run this course at a location convenient to you or if you want a completely customised learning solution, we can help.

    We produce learning solutions that are completely unique to your business. Our tailored learning solutions are designed specifically for your organisation’s needs.

    We’ll be here to support you every step of the way. From the initial consultancy through to evaluating the success of the full learning experience. We'll ensure you get the maximum return on your training investment.

    Find out more


    Day 1

    Quantitative Tools to Enhance the Investment Process

    Modern Portfolio Theory (MPT) and Post-Modern Portfolio Theory (PMPT)

    •  Recap of capital asset pricing model and arbitrage pricing theory
    •  First and second order stochastic dominance
    •  Problems with standard deviation as a measure of risk
    •  Foundations of post-modern portfolio theory
    •  Downside deviation and the minimum acceptable return (MAR)
    •  The target rate of return and upside potential
    •  Practical applications of PMPT

    Case Study: Applying the Principles of MPT and PMPT to a Portfolio


    Information Ratios and Opportunity Sets

    •  The information coefficient (IC) and manager skill
    •  The information ratio
    •  The opportunity set and residual frontier
    •  The value-added of active management
    •  The manager’s risk aversion coefficient
    •  Skill, effort and risk taking
    •  The fundamental law of active management

    Case Study: Applying Information Ratios


    Making Superior Alpha Forecasts

    • Defining alpha
    • Ex ante and ex post alpha
    • Sources of alpha
    • Techniques for forecasting alpha
    • Alpha analysis
    • Alpha and portfolio construction
    • Alpha and residual risk
    • T-stats and the statistical significance of alpha

    Case Study: Devising superior alpha forecasts


    Day 2

    Asset Allocation and Portfolio Structuring

    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 3

    Alpha Generation and Equity Portfolio Management

    The Alpha/Beta Matrix

    •  Overview and explanation of the various alpha/beta structures
    •  Benchmark-centric alpha hunting
    •  Beta grazers masquerading as alpha hunters
    •  Structural alpha Vs investment alpha
    •  The alpha frontier
    •  The fundamental law of active management
    •  Skill, breadth and risk
    •  Tracking errors and transfer coefficients
    •  Devising superior ex-ante alpha forecasts

    Case Study: Quantitative exploration of alpha concepts


    Alpha/Beta and Fundamental Equity Investing

    •  Alpha and superior earnings forecasts
    •  Performing a rigorous fundamental analysis from the bottom-up
    •  Determining sustainable growth rates and the appropriate discount rate
    •  Book value, ROE, ROA, and leverage
    •  Dupont analysis
    •  Determining fair valuation using dividends and earnings
    •  Inside the P/E ratio
    •  Analysts’ earnings revisions and earnings surprises

    Case Study: Carrying out a fundamental analysis


    Alpha/Beta and Equity Style Investing

    •  Equity style investing and market cycle analysis
    •  Differentiating between alpha and beta in equity style investing
    •  The persistence of equity style returns
    •  The equity cycle and how it interacts with the interest rate and credit cycles
    •  Sector and style allocation at each phase of the cycle
    •  Factors affecting asset prices in different phases

    Case Study: Sector and style performance throughout the equity cycle


    Alpha/Beta and Behavioural Finance

    •  Why behavioural finance and behavioural economics have moved to centre stage
    •  How emotions and psychology affect the market
    •  Behavioural biases and their influence on our thinking, action and reflection
    •  Information selection and processing biases
    •  Decision making and evaluation biases
    •  Dealing with behavioural biases in financial markets


    Day 4

    Sovereign Risk and Corporate Credit Analysis

    Sovereign Debt and Sovereign Risk Analysis

    • Defining country and sovereign risks
    • Recent developments in sovereign risk
    • Implications of changing sovereign risk profiles
    • What causes sovereign credit deterioration?
    • Regulatory issues regarding sovereign risk
    • How changes in sovereign risk affect CDS spreads

    Case Study: Analysis of sovereign difficulties that occurred between the late 1990s and 2010


    Credit Ratings and The Credit Rating Process

    • The relevance of sovereign ratings
    • The role and influence of the rating agencies
    • Rating methodologies and criteria
    • Rating scales and definitions
    • Recovery ratings
    • Foreign currency Vs domestic currency ratings
    • Rating disparities

    Case Study: Comparing ratings and ratings trends with underlying macroeconomic data for a range of countries


    Corporate Debt and Corporate Risk Analysis

    •  Financial aspects of corporate credit analysis
    •  Ratios for credit analysis
    •  Assessing debt capacity
    •  Creation of a financial forecasting model
    •  Business risk analysis
    •  Leverage analysis
    •  Financial and non-financial covenants
    •  Impact of corporate finance transactions on credit quality

    Case Study: Evolution of BAA’s risk and financial profile and the structure of it’s borrowing arrangements


    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


    Day 6

    Strategic and Leadership Issues in the Fund Management Industry 

    Session 1 : Strategic Issues Facing the Fund Management Industry
    “Can asset managers convert the current market volatility into an investment opportunity for their clients?”

    •  Are we in an era of prolonged market volatility?
    •  Which investment styles are likely to do well in this decade?
    •  What asset classes will they favour? 
    •  What factors will differentiate winners from losers in this decade?
    •  What changes will be needed to the existing business models?


    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
    •  Interpretation and application of the following measures :
       - Sharpe ratio
       - Sortino ratio
       - Treynor ratio
       - Jensen ratio
    • Information ratio
    • The skill/luck matrix
    • Components of investment performance
    • Performance attribution analysis
    • Selection effects Vs allocation effects

    Case Study: Attribution Analysis Calculations    


    Day 7 

    Investing in Social Media Shares and Closely-Held Private Companies

    The Business and Economics of the Social Media Sector

    •  Overview of the Social Media Sector
    •  How social media could reshape certain industries
    •  Social media management companies and services
    •  Facebook, Twitter, LinkedIn, Zynga, Groupon
    •  Social media business models
    •  Pre-commerce, e-commerce and f-commerce
    •  F-Commerce and the Facebook ecosystem
    •  Marketing expenditure on social media marketing campaigns
    •  Understanding user behaviour on Facebook

    Case Study: Assessing the investment potential of social media


    The Mechanics of Private Investments and Exchanges

    •  The secondary market phenomenon
    •  The secondary market in private shares as an alternative asset class
    •  A new kind of I.P.O. market
    •  A new kind of liquidity market
    •  Major players – SecondMarket Holdings, Sharespost, NYPPEX, Gate Technologies, Xpert Financial, Inside Venture
    •  Profile of buyers and sellers of closely held privately traded companies
    •  Regulatory framework for private shareholdings
    •  Asymmetrical information in the buyer-seller relationship
    •  Pricing and valuation of closely-held private companies
    •  Hybrid private-public offerings – HPPOs

    Case Study: Valuing a closely-held private company 


    Emergence of Private Investment Funds

    •  Structure of private investment funds investing in emerging social media stocks
    •  The risks to late stage, high valuation bets
    •  Investing in emerging and disruptive champions
    •  How Wall Street is muscling in
    •  Regulatory hurdles

    Case Study: Assessing the risks of Private Investment Funds


    Risks and Rewards

    •  Lessons from the dot-com boom and bust
    •  Why it might be different this time!

    Case Study: Comparing the crash with today’s technology environment  

    Day 8

    Hedge Funds

    Hedge fund basics

    • Positive and negative views of hedge funds
    • Comparison to traditional money management
    • Comparison to private equity 
    • Leverage and short selling
    • Hedge fund glossary

    Hedge fund strategies

    • Investment styles of hedge funds
    • Hedge fund AUM
    • Hedge fund performance
    • Opportunistic strategies
      - Long/short equity trading
      - Global macro trading
      - CTAs (Commodity Trading Advisor)
      - Quant trading (and high frequency trading)

    Case study: Making a market neutral portfolio

    Relative value arbitrage strategies

    • Convertible arbitrage
    • Volatility trading
    • Fixed income arbitrage and yield curve trades
    • Share class arbitrage
    • Market neutral statistical arbitrage

    Case study: Dynamic portfolio management

    Case study: Volkswagen

    Event driven strategies

    • Merger arbitrage

    Case study: Practical M&A situations

    Portfolio hedging strategies

    Hedge fund dynamics

    • Investing in hedge funds – structures and risks
    • Hedge fund of funds
    • Hedge fund regulatory themes

    Day 9

    Real Estate - The Resilient Asset Class

    Real Estate : The Asset and the Product

    •  Investment characteristics of real estate
    •  Capital markets Vs occupier markets
    •  Review of the various investment models
    •  Real estate valuation
    •  The importance of income
    •  Yield, RFR and market expected growth
    •  Sustainability issues

    Excel Demo: International Valuation and Appraisal Approaches


    The Routes to Investing in Real Estate

    •  Real estate investment : direct, indirect; public, private
    •  The 4 quadrants : available vehicles and methods
    •  Open ended Vs closed ended vehicles
    •  Private vehicles Vs quoted property stocks
    •  Derivatives and synthetics

    Excel Demo: Leveraged Returns and Real Estate Private Equity Models


    Real Estate in a Portfolio Context

    •  Risk and return in an historical context
    •  What can the past tell us about the future regarding real estate returns
    •  Correlation relationships with other asset classes
    •  Diversification benefits of adding real estate to a portfolio
    •  Modern portfolio theory and real estate
    •  The investment case for international real estate ?

    Excel Demo: Using Optimisation – Real Estate’s Efficient Frontier


    Opportunities in the Public Markets

    •  Commercial mortgage backed securities and CMBS 2.0
    •  Real estate investment trusts (REITs) – a global product?
    •  Pressures for further change in the future
    •  Review and conclusions

    Course Conclusion and Summary


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