Chisholm Roth has developed a very sophisticated asset allocation simulation which, when incorporated with our tailored courses, can provide a unique insight into the life of a fund, or investment manager, responsible for the selection management and hedging of a complex portfolio.
A course designed around Portfolio Optimiser would place participants in the role of the fund manager whereby they would construct their "optimal" portfolio within the constraints based upon a prescribed economic scenario and Horizon Period and be judged upon their performance in relation to a 'benchmark' portfolio.
The program would incorporate the following:
Overview of the Investment Management Process
- Setting Investment Objectives
- Establishing Investment Policy
- Selecting the Portfolio Strategy
- Selecting the Assets
- Measuring Performance
- Active vs. Passive Management
- Cash Flow Immunization and Matching
Asset Allocation Models
- Policy allocation, dynamic allocation and tactical allocation!!
- Portfolio Theory and Efficient Sets and Frontiers
- Nominal vs. Real Assets
- Risk of Loss analysis
- Indexing and Benchmarks
- Selecting the Index and Tracking methodologies
Active Management Strategies
- Overview of the Active Management process
- Relative Return Analysis
- Sector analysis: Credit and Spreads
- Portfolio Optimization: Variance / Covariance
Immunization, Cash Flow Matching and Combination Strategies
- Single Period Immunization: Horizon Analysis, Expected return and interest rate insulation
- Multiple liability considerations
- Immunization for general cash flows
- Combination strategies: active/passive, active/immunization
Portfolio Construction using Portfolio Optimiser
- The Fund objectives and management strategy are explained
- The Investment Benchmark
- Outline of eligible securities
Limits on:
- Long / Short mix
- Gearing
- Portfolio Duration
- Credit Risk
- Curve Pivot Risk
- Derivatives
- Real vs. Nominal product mix
Final Assessment
At the end of the Horizon Period, participants analyze their performance against the Benchmark and articulate the reasoning behind their specific asset selection, portfolio construction and interim rebalancing
