Managing Fixed Income & Currency Investments

5 days 30 Oct - 3 Nov 2017, Hong Kong Hong Kong $6,300.00 Download brochure Add to basket

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Course Background

What does the future hold for the fixed income and currency asset classes? Where do you invest to maximise your clients’ porfolios? As a result of the GFC, the Asian fixed income market grew substantially in capitalisation size and in coverage (geographic and industry). In addition to learning specifically about this distinct asset class and other industry updates, you will also gain an in-depth understanding of best practice fixed income and currency portfolio management techniques and how they can be used to deliver sustainable returns and to manage risk. The course combines interpretation of key market pricing and risk data with the implementation of effective investment strategies to maximise risk-adjusted returns over the long term. The primary focus is to enable delegates to understand how to create an effective portfolio management strategy as well as to manage the day to day risk exposures and to maximise return.

Particular emphasis is placed on the dynamics and inter-relationships within global bond and currency markets and how these affect the optimal construction of portfolios, particularly where constraints exist in terms of return targets and mandate restrictions.

The importance of movements in foreign exchange markets cannot be underestimated in the context of portfolio return generation and risk management. This programme provides delegates with key insights into the fundamental structure of global currency markets.

It also covers derivatives and structured bond products and their role in contemporary bond portfolio management, thereby enabling participants to determine their suitability to achieve required returns, generate sustainable cash flows and manage risk.

Attend this highly practical 5-day training course and learn best practice investment strategies and analysis in order to:

  • Get an up-to-date picture of the global bond and currency markets and understand how macroeconomic events impact these markets
  • Implement effective investment strategies and select the most suitable management style to meet fund objectives
  • Understand and interpret key data relating to bond markets, including hands-on exercises in using key bond pricing and risk metrics
  • Understand the key factors driving FX rate movements
  • Most effectively use interest rate and FX derivatives
  • Better understand credit analysis techniques and relative pricing metrics
  • Use structured bond products to achieve required risk and return outcomes
  • Plus: Enhance your practical skills with computer-based simulations and workshop case studies on bond pricing, optimal portfolio construction and risk analysis

Computer-based exercises

  • All delegates should bring their laptops to facilitate in-class studies and exercises.
  • Take Away Simulation Software
  • Delegates will each receive copies of all bond and currency pricing, risk analysis and portfolio optimisation models for their own use after the course.


The training consists of classroom-based teaching combined with computer-based simulations and exercises, using a range of spreadsheet-based software.

FTS Eligible

This programme is approved for listing on the Financial Training Scheme (FTS) Programme Directory and is eligible for FTS claims subject to all eligibility criteria being met.

Please note that in no way does this represent an endorsement of the quality of the training provider and programme. Participants are advised to assess the suitability of the programme and its relevance to participants' business activities or job roles.

The FTS is available to eligible entities, at a 50% funding level of programme fees, subject to a cap of $2,000/participant/programme and all eligibility criteria being met. FTS claims may only be made for programmes listed on the FTS Programme Directory with specified validity period. Please refer to for more information.


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.

Hong Kong
Duncan Hughes
The Course Director has 25 years experience in financial markets, gained in senior positions at leading financial institutions including Rothschild and Threadneedle Asset Management. His experience spans all major asset classes including fixed income, equity and property investment, and his responsibilities have included investment strategy formulation, portfolio construction, treasury management, risk analysis and the use of derivatives for position taking and risk management.

In his early career he was a quantitative analyst and was the recipient of the Institute of Investment Management and Research prize for Statistics and Financial Mathematics. Through board level positions at specialist boutique finance houses he has gained considerable experience of alternative asset classes, structured products and derivatives.

He is a long-standing member of the CFA UK’s examination panel, with particular responsibility for the Fixed Interest and Economics subject areas for the Investment Management Certificate (IMC) qualification. He has been a guest lecturer at the London Financial Academy and on MSc Finance courses at London Metropolitan University. His teaching style is highly interactive, using worked examples and case studies wherever possible to bring the course material to life and welcomes questions and discussion, particularly regarding the application of theory to real life situations.

He has published a book on asset management and recently authored an article on risk management for Bloomsbury Press. A lawn tennis tour professional in his youth, he now spends his leisure time participating in (and recovering from!) triathlon events.


Hong Kong

4-5 Star Hotel in Hong Kong

All of our courses are held in 4 – 5 star hotels, chosen for their location, facilities and level of service. You can be assured of a comfortable, convenient learning environment throughout the duration of the course.

Due to the variation in delegate numbers, we will send confirmation of the venue to you approximately 2 weeks before the start of the course. Course fees include training facilities, documentation, lunches and refreshments for the duration of the programme. Delegates are responsible for arranging their own accommodation, however, a list of convenient hotels (many at specially negotiated rates) is available upon registration.

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Do you have five or more people interested in attending this course? Do you want to tailor it to meet your company's exact requirements? If you'd like to do either of these, we can bring this course to your company's office. You could even save up to 50% on the cost of sending delegates to a public course.

To find out more about running this course in-house:

Our Tailored Learning Offering

If you 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. We'll guide you through the whole process, from the initial consultancy to evaluating the success of the full learning experience. Our learning specialists ensure you get the maximum return on your training investment.


We can offer any of our public courses delivered at your office or we can devise completely tailored solutions:

Read more about our offering or complete a call back request to speak to a learning specialist.



Day 1

The objectives of portfolio management

  • Liability funding
  • Total return generation
  • Absolute return driven investment fund products
  • Key challenges facing bond portfolio managers
  • Principal risks and opportunities

Case study: Devising a portfolio investment strategy to meet the liabilities of a pension fund

Investment landscape

  • Issuers’ requirement for longer term funding
  • Investors’ requirement for longer term assets to match liabilities
  • The principal global bond markets
    • Developed market sovereign
    • Developed market corporate
    • Asset backed bond
    • Emerging sovereign
  • The principal currency blocs
    • Sino/US
    • Eurozone Market operation
    • Primary market: Issuance and market making
    • Secondary market: Trading and liquidity costs

Macroeconomics, geopolitical trends and bond and currency portfolio strategy

  • Interest rates
  • Inflation
  • Balance of Payments
  • Economic growth – the business cycle
  • Globalisation
  • Foreign exchange dynamics
  • Demographics
  • Credit conditions

Case study: Asian government and corporate debt issuance – demand and supply dynamics

Bond pricing and risk analysis

  • Bond prices as a series of cash flows discounted by the bond’s yield
  • Bond duration calculation and use
    • Macaulay’s duration
    • Modified duration
  • Other risk measures, including DV01
  • Convexity
  • Incorporating optionality
    • Pricing models
    • Effective duration
    • Negative convexity

Exercise: Calculation of a bond’s price and duration from first principles. Use duration to predict price changes for given changes in yields and assess the impact of convexity


Day 2

Interpreting fixed income market data

  • Treasury yields
    • Theories of the yield curv
    • Liquidity premiu
    • Safe haven premium
  • Inter-bank rates
  • Credit spreads
    • Over Treasurie
    • Over LIBOR
  • Option Adjusted Spreads (OAS)
  • Swap spreads
  • Credit Default Swap (CDS) Premia
  • Measuring market sentiment: The Confidence Index

Exercise: Calculation and interpretation of credit spreads and swap spreads and comparison to CDS premia

Bond market structure

  • Market segmentation
    • Currency of denominatio
    • Secto
    • Credit qualit
    • Maturity
  • Structure
    • Domestic issue
    • Eurobonds
    • Shari’a compliant

Case study: The critical boundary between investment grade and high yield bonds in credit markets for institutional investors

Duration targeting

  • Macaulay’s duration as a quasiimmunisation measure
  • Modified duration and portfolio risk management
  • Asset allocation using weighted duration

Exercise: Calculating and using weighted duration for asset allocation and relative risk measurement


  • Fixed income derivatives
  • Bond futures and options
  • Credit derivatives
  • Swaps
    • Interest rate swaps
    • Cross currency swaps
  • Interest Rate Futures (IRF)
  • Sale and repurchase agreements (“repos”)
  • Structured products

Exercise: Using derivatives to hedge interest rate and credit risk and to lock in capital gains in a portfolio context


Day 3

Bond portfolio construction - design, liquidity and risk management

  • Benchmark design
    • Benchmark setting in portfolio performance monitoring
    • Risk and return targeting
  • Market return targeting
    • FX exposure management
  • Currency bloc allocations
  • Assessing the net impact of changes to relative interest rates
    • Duration targeting
    • Effective representation of bond markets
    • Optimisation of benchmark portfolio
  • Risk/Return trade-off
    • Correlation factors
    • Incorporating liability-driven constraints into benchmark construction
  • Liquidity management policy
  • Risk management policy setting
    • Managing duration, optionality and convexity
    • Key rate duration analysis
    • Managing call option risk
    • Risk budgeting
    • Setting permitted deviation from benchmark neutral positions
    • Style risk from different factor exposures
    • Active/alpha risk from security selection
    • Structuring cash flow patterns

Exercise: Constructing a portfolio to meet specific return objectives whilst complying with mandated restrictions

Bond portfolio management Styles

  • Total return
    • Active strategie
    • Interest rate expectatio
    • Valuation base
    • Credit analysis drive
    • Passive strategie
    • Buy and hol
    • Indexing
  • Liability funding strategies
    • Dedicated portfolios and subportfolio
    • Cash flow matchin
    • Domestic currency matchin
    • Horizon base
    • Immunisatio
    • Perfect immunisation through cash flow matchin
    • Approximation using duration analysis
  • The unified approach
    • Strategic and tactical asset allocatio
    • Balancing active management benefits vs. Trading costs
    • Liquidity management and fund solvency

Bond portfolio management strategies

  • Market risk factor strategies
    • Bullet, barbell and ladder portfolio structure
    • Flattening yield curv
    • Steepening yield curv
    • Butterfly twist
    • Positive
    • Negativ

Exercise: Calculating impact on portfolio value for different portfolio structures given different changes to yield curve shape

  • Other risk factor strategies
    • Currency
    • Sector
    • Credit
    • Security structure
  • Risk factor synthesis
    • Understanding inter-relationships amongst risk factors
    • Developing a cohesive and robust investment strategy
  • Security selection
    • Estimating fair market value
    • Deriving the zero coupon curve: Which bonds are at fair market value?
    • Calculating relative value using
  • Z-spreads and Option Adjusted
  • Spreads (OAS)
    • Other factors
    • Diversification potential within portfolio
    • Convexity enhancement
    • Yield enhancement: The “repo” market

Exercise: Using the zero curve to analyse relative value of bonds with similar risk profiles


Day 4

Credit analysis

  • Sovereign issuers
  • Corporate issuers
  • The role of the credit rating agencies
    • Traditional role
    • Reinvention since sub-prime
  • Credit risk analysis:
    • Analysis of the Firm
    • Industry analysis
  • Industry prognosis
  • Firm’s position within the industry
    • Financial statement analysis
  • Profit and loss
  • Balance sheet
  • Cash flow statement
  • Free cash flow
  • Impact of accounting policies
  • Depreciation
  • Securitisation
  • Off balance sheet items
    • Collateral analysis
    • Fundamental principles
    • Credit risk analysis
  • Expected loss
  • Loss at default
  • Recovery
  • Credit risk factors
  • Term structure of credit risk
    • Default correlation analysis
    • Industry approaches and systems
    • Credit metrics
    • KMV model
    • CreditRisk+
    • CreditPortfolioView

Case study: Worked examples of credit analysis for sovereign and corporate bonds

Bond portfolio risk management

  • Risk management methodologies and their limitations
  • Risk factors
    • Short term factors
    • Interest rate risk
  • Duration gap
  • Portfolio structure
    • Credit risk
  • Downgrade
  • Default
    • Medium to long term factors
    • Inflation risk
    • Style drift
    • Liability mismatch
  • Quantifying risk
    • Scenario testing
    • Stress testing
    • Value-at-Risk
  • Risk management tools
    • Diversification
    • Investment restrictions
    • Derivatives

Case study: Assessing the effectiveness of risk management techniques in extreme events: The Asian financial crisis 1997-1998, the sub-prime crisis 2007-2008 and the Greek default 2012

Advanced bond portfolio management strategies

  • Convexity maximisation
  • Core-satellite portfolio structuring
  • The role of “Portable Alpha”
  • Contingent liability matching
  • Structured bond products

Exercise: Maximising portfolio convexity for a given portfolio duration target

Day 5

Lessons from the history of Foreign Exchange markets

  • The pivotal role of the US Dollar since the Second World War
    • Bretton Woods
    • Post-Bretton Woods
  • Currency devaluations: Causes and effects
  • Sterling and the Exchange Rate Mechanism
  • Asian financial crisis


  • The role of FX in the global economy
    • FX rates’ role in the fundamental relative pricing of assets, goods and services
    • Impact of FX rates on trade and investment flows
    • Feedback effects
  • The formation of Currency Blocs through trade relationships
    • Surplus countries
    • Deficit countries
  • The principal actors in FX markets
    • Exporters and importers
    • Investor
    • Speculator
    • Governments
  • Types of exchange rate system
    • Fixed
    • Gold standard
    • Currency board pegs
    • Semi fixed
  • Bands
    • Basket pegs
    • Crawling pegs
    • Floating rates
  • Structure of FX markets
    • Spot
    • Forward
    • Other derivatives
  • Market analysis
    • Long term trends
    • Trade-weighted exchange rates
    • Sentiment, e.g. Transparency International rankings
    • Interest rates
    • Economic pressures
    • Political pressures
    • Inflation
    • Domestic, e.g. Low productivity
    • External, e.g. Imported inflation

Asian currency markets

  • Key relationships and dynamics
  • Principal trade flows
  • Political factors

Fundamental macroeconomic analysis and models

  • Key economic data
    • Balance of payments
    • Relative interest rates
  • Other factors
    • Political
    • Government inflation management policy
    • Stability
    • Transparency
    • Economic diversification
    • Inflation
  • Covered Interest Parity rule

Exercise: Using the Covered Interest Parity rule to determine Forward FX rates

  • Purchasing Power Parity

Case study: The Economist’s “Big Mac Index”

  • Valuation models and indications of “overshooting”

Technical analysis

  • Technical analysis and the efficient market hypothesis
  • Statistical basis: Markov processes
  • Principal technical analysis models for
  • FX markets
    • Mean reversion
    • Momentum
    • Support and resistance

Forex instruments

  • Forward FX
  • Currency futures
  • Barrier options
  • Currency swaps

Case study: Using currency swaps in conjunction with underlying bond exposures

The “Currency overlay” portfolio management approach

  • Active vs. Passive currency management approach
  • Setting target expected FX rates
  • Diversification
    • Correlation analysis using historical dat
    • Common factor analysi
    • Interest rate evolutio
    • Commodity price exposures
  • Implementing investment strategy
    • FX exposure allocation
    • Liquidity management
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