Advanced Risk and Investment Management

Validate and Expand your Expertise with this State-of-the-Art Executive Seminar Series in the US and Europe

MULTI-ASSET MULTI-MANAGER PRODUCTS AND SOLUTIONS

 

DEC 5-6, 2016 | $4,000
Program fee covers tuition, materials, refreshments at breaks, and lunch. 
LOCATION: New York, NY
CONTACT: David Pramer

ENROLL NOW


DEC 12-13, 2016 | $4,000
Program fee covers tuition, materials, refreshments at breaks, and lunch. 
LOCATION: London, UK
CONTACT: yaleSOM-eri@edhec-risk.com 

ENROLL NOW

Having learned through the recent crises about the limitation of existing investment paradigms, investment managers and institutional investors are showing unprecedented interest in innovative forms of investment solutions. At the same time, recent advances in academic research have paved the way for the development of a new generation of financial engineering techniques aimed at improving investor welfare. In this changing and challenging market environment, it has become crucial for senior investment professionals to keep abreast of the latest research advances and state-of-the-art investment practices.

It is against this backdrop that EDHEC-Risk Institute and the Yale School of Management are jointly offering executive education courses based on the exceptional strength and relevance of academic research conducted by both Yale SOM and EDHEC-Risk finance faculty. The programme has been designed along four seminars that are intended to reflect the major steps in a modern investment process. The starting point from an institutional or individual asset owner’s perspective should always be a broad asset allocation decision, with an emphasis on longterm strategic asset allocation decisions that are designed to achieve an optimal risk-return trade-off with respect to the investor’s liabilities or goals.

Participants in these seminar series can acquire the joint Yale School of Management – EDHEC-Risk Certificate in Risk and Investment Management which is a formal recognition of your commitment.

  • OVERVIEW

    The focus of these seminars is on utilising the latest academic insights to help investment professionals better understand and implement advanced investment approaches and methodologies. The seminars provide relevant academic insights with respect to some of the most important dimensions of the investment process, including implementing disciplined risk and asset allocation decisions, efficiently harvesting factor risk premia across and within traditional and alternative asset classes, and designing truly meaningful forms of liability-driven or goal-based investment solutions.

    Participants can complete all four seminars and receive the prestigious joint Yale School of Management-EDHEC-Risk Certificate in Risk and Investment Management, or attend a single session which provides more focused study.

    Certificate Requirements:

    • Attend four seminars. The Certificate can be completed over a 1 to 2-year period in London and/or New Haven.
    • Successfully submit one dedicated assignment for each attended seminar. The assignment will take the form of a four-page overview of how the themes covered in the seminar may be used in the design of innovative investment solutions.

    Continuing Professional Education Credits:

    EDHEC-Risk Institute is registered with CFA Institute as an Approved Provider of continuing education programs.

    EDHEC Risk Institute is registered with GARP as an Approved Provider of continuing professional education credits for FRMs and ERPs.

    For IMCA members, IMCA will grant 12 hours (two day seminars) and 18 hours (three day seminars) of CE credit toward the CIMA, CIMC, and CPWA certifications.
     

  • WHO SHOULD ATTEND

    The seminar series is intended for senior officers, investment specialists and administrators working for buy- and sell-side institutions, and for consultants and key account representatives advising high net worth individuals and institutional investors.

  • PARTICIPATING FACULTY
    Frédéric Blanc-Brude
    Director, EDHEC Risk Institute-Asia
    James Choi
    Professor of Finance, Yale School of Management
    Lionel Martellini
    Professor of Finance, EDHEC Business School Director, EDHEC Risk Institute Senior Scientific Advisor, ERI Scientific Beta
    Will Goetzmann
    Edwin J. Beinecke Professor of Finance and Management Studies, Director of the International Center for Finance, Yale School of Management 
    Frank Zhang
    Professor of Accounting, Yale School of Management
    Justin Murfin
    Associate Professor of Finance, Yale School of Management
    Dominic O'Kane
    Affiliated Professor of Finance, EDHEC Business School
    K. Geert Rouwenhorst
    Robert B. and Candice J. Haas Professor of Corporate Finance & Deputy Director of the International Center for Finance, Yale School of Management
    Nikolaos Tessaromatis
    Professor of Finance, EDHEC Business School
    Raman Uppal
    Professor of Finance, EDHEC Business School

     

  • PARTICIPANT TESTIMONIALS

    “I thought the program was excellent. I participated in all six seminars. The faculty had such a great combination of academic and real market expertise. Very high level of competency amongst participants. Highly useful content for applicability to my daily work.” – James Egan -Senior Vice President and Director of Fixed Income Department, Janney Capital Management LLC - USA

    “Superb integration of theory and practice. Returned with extremely valuable insights, takeaways, and implementation ideas.” – John Siska - Managing Director - Eccleston Partners - Spain

    “Very interesting seminar; both academic and practical point of view are balanced and well presented.” – Sofiane  Tafat - Portfolio Manager at Desjardins Asset Management - Canada

  • CERTIFICATE DETAILS

    Participants can complete all four seminars and receive the prestigious joint Yale School of Management-EDHEC-Risk Certificate in Risk and Investment Management, or attend a single session which provides more focused study.

    Certificate requirements:

    • Attend four seminars. The Certificate can be completed over a 1 to 2-year period in London and/or New Haven.
    • Successfully submit one dedicated assignment for each attended seminar. The assignment will take the form of a four-page overview of how the themes covered in the seminar may be used in the design of innovative investment solutions.

    Certificate registration:

    Register for all four seminars and receive a 15% discount on the total cost of the program.

    Certificate Brochure

    Enroll Now

  • REGISTRATION

    Multi-Asset Multi-Manager Products and Solutions Seminar (2 days) 

    December 5-6, 2016 in New York | Enroll Now >>
    December 12-13, 2016 in London  | Enroll Now >>
    Day 1: Evidence of predictability in asset, factor and manager returns 
    Day 2: Global tactical asset allocation strategies


    Certificate registration:

    Register for all four seminars and receive a 15% discount on the total cost of the program.

    Download Brochure

    Enroll Now


    Fees

    Two-day seminar: USD 4,00/EUR 3,500
    Three-day seminar: USD 5,800/EUR 5,200

    Fees include instruction, documentation, refreshments at breaks, and lunch. Accommodation is not included.

    Group Discounts

    10% discount per seminar for groups of 5 or more.
    15% discount per seminar for groups of 10 or more.
    20% discount for the seminar series for groups 5 or more.

    Contact David Pramer (+1 203-432-6268) for more information.

SEMINAR SCHEDULE

  • Multi-Asset Multi-Manager Products and Solutions | Dec 2016

    december 5-6, 2016 in new york | Enroll now »

     

    december 12-13, 2016 in London, uk | enroll now >>

    This seminar has a focus on multi-asset and multi-manager investment products and solutions.

    The seminar will begin with a discussion about the predictability of broad asset class returns, particularly equity and fixed income market returns. It will include a discussion about predictability of returns of sectors and styles within the equity market. Finally, the first day of the seminar will also present the methodologies used for identifying the managers who are most likely to outperform in the future for situations when the asset allocation strategy is implemented via active mutual fund managers.

    The second day of the seminar will discuss the models, techniques and applications of tactical asset allocation strategies as well as factor rotation strategies. It will start with a review of the different types of dynamic asset allocation techniques, the modelling issues involved in building successful asset return prediction models, the risk forecasting techniques used in practice and the portfolio construction issues involved when running an active allocation strategy. It will also review developments in equity factor rotation, volatility, commodity and volatility strategies and use case studies to illustrate the challenges and issues involved in designing, building and implementing tactical asset strategies. The broad focus of this day will be on the application of modern portfolio management principles to bridge the gap between the theory and practice of tactical asset allocation.

    Seminar key learning objectives:

    • Learn the evidence on return predictability
    • Discuss the models, techniques and applications of active multi-asset allocation strategies
    • Review the methodologies used for identifying mutual fund managers who are most likely to outperform
    • Learn how to incorporate active views on tactical asset allocation models
    • Discover recent techniques for factor rotation strategies within and across asset classes
    • Provide practical application through real-world examples of the techniques introduced during the seminar
  • Asset Allocation and Investment Solutions | Jan-Feb 2017

    January 2017 in London, UK

     

    February 2017 at Yale School of Management

    The aim of this 2-day seminar is to equip participants with practical tools to improve asset allocation and risk management decision processes, and to implement novel investment management approaches.

    The first day of the seminar will cover recent advances in asset allocation models with a focus on the fit to specific institutional liabilities and needs, constraints, strengths, and risk exposures. It will discuss the challenges related to forecasting returns and risk in the construction of diversification strategies in delegated asset management.

    It starts with a brief review of classical portfolio optimisation theory that ignores estimation error and moves on to cover more recent theory that incorporates estimation error. It will then study the evidence of out-of-sample performance of optimal portfolio selection models and different benchmark indexes. It will also propose a summary of different methods to improve the out-of-sample performance of portfolios using more general constraints. It finally explains how to shift the emphasis from strategic asset allocation decisions to strategic risk and factor allocation decisions.

    The second day of the seminar has a focus on the efficient use of the three forms of risk management (hedging, diversification and insurance) for the production and distribution of improved investment solutions for institutional and individual asset owners. The seminar will present disciplined approaches to liability-driven investing strategies and goal-based investing strategies, and explain how asset managers may help investors maximise the probability of reaching their objectives subject to dollar and risk budget constraints, with applications in institutional or individual money management.

    Seminar key learning objectives:

    • Learn how to perform factor investing and risk allocation
    • Learn how to perform strategic asset allocation in the presence of liability constraints
    • Learn how to overcome effect of estimation error by imposing better constraints
    • Learn how to implement liability-driven investment solutions with cash and derivatives instruments
    • Learn about goal-based investing strategies in institutional and private wealth management
    • Learn about affordability conditions for essential and aspirational goals
    • Discuss implementation and mass customisation challenges for individual investment solutions
    • Learn about novel welfare-improving forms of investment solutions
    • Discuss an application to the design of efficient retirement solutions

     

  • Harvesting Risk Premia in Equity and Bonds Markets | May 2017

    May 2017 in London, UK

     

    May 2017 at Yale School of Management

    Investment portfolios are based on the idea that risk must be taken in order to increase expected returns. However there are intelligent ways to take risk. Participants will learn about how to use current models and empirical evidence about global capital markets to construct asset portfolios based on the principles of factor investing, with a particular focus on equity and bond markets. The seminar introduces the historical evidence for the existence of “smart beta” portfolios based on equity and fixed-income factors in global markets. The economic rationale behind factor portfolios is explored: why have they provided higher returns historically? What are the risks the factor portfolios are exposed to and when do they manifest themselves? Will factor risk premia continue in the future? How do factors behave during financial crises? How costly are they to implement? How are factor exposures combined into a portfolio?

    The behavioural foundations of factor risk premia and portfolio choice are also essential for modern risk managers and portfolio managers to understand, and they will be discussed.

    In a first section of the seminar, the focus will be on equity markets. In the face of recent crises, the question of the value added by both active and passive equity managers has been raised with heightened intensity. Academic and industry research has offered convincing empirical evidence that market-cap weighted indices exhibit poor risk-adjusted performance, while other studies have questioned the persistence of positive abnormal performance generated by active managers. The combination of these empirical and theoretical developments has significantly weakened the case for the current equity investment paradigm based on a combination of a passively managed core portfolio and one of several actively managed satellite portfolios. While a new paradigm known as smart beta equity investing has been proposed, the emergence of which blurs the traditional clear-cut split between active and passive equity portfolio management, a host of questions remain regarding the implications with respect to how the equity investment process should be executed by institutional investors and/or asset managers. In this context, this three-day seminar equips participants with both the technical and conceptual tools that will allow them to better understand the limits and benefits of traditional and alternative equity investing strategies.

    A second section of the seminar will give participants the skills necessary to understand how to efficiently harvest risk premia in fixed-income markets, and most notably the interest rate and credit risk factors. More precisely, the seminar will review advanced techniques for interest rates and risk management in bond markets. It will develop insights into different bond portfolio strategies and illustrate how various types of cash and derivative securities can be used to shift the risks associated with investing passively or actively in fixed-income securities. Bond portfolio optimisation techniques will receive specific attention, as well as their applications in asset-only and asset-liability management contexts.

    Seminar key learning objectives:

    • Appreciate the post-crisis passive-active equity management controversy
    • Understand the drawbacks of the popular equity strategy that combines a passively managed core portfolio with one of several actively managed satellite portfolios
    • Find out about the dangers of naively optimised equity portfolios and the benefits of robust optimisation
    • Discover how to address the challenges in implementing optimised portfolios, in particular, how to manage portfolio liquidity and turnover
    • Study the limits of traditional equity indices; find out about the minimum-variance benchmark, equally-weighted benchmark, and other forms of benchmarks; evaluate the objectives and assumptions underlying alternative indices and learn about model selection and hidden risks entailed in the choice of a particular benchmark
    • Develop an understanding of the concepts and tools for evaluating and implementing the new paradigm of equity strategies such as smart beta
    • Measuring and managing systematic and specific risk of smart beta benchmarks
    • Discover the many dimensions of putting factor investing into practice through the case-study approach (The Norway Model)
    • Explore the rational and behavioural foundations of factor risk premia and portfolio choice
    • Evaluate methods for efficiently harvesting risk premia in equity markets / fixed income markets
    • Identify and control the various risks associated with a bond portfolio using factor models
    • Learn how to control portfolio risk using interest rate and credit derivatives
    • Understand the shortcomings of existing bond benchmarks and learn how a smart bond benchmark can be used as an alternative
  • Harvesting Risk Premia in Alternative Asset Classes and Investment Strategies | Jun-Jul 2017

    june 2017 in London, UK

     

    july 2017 at Yale School of Management

    Investors are increasingly turning to alternative investments to find new ways of increasing the performance and decreasing the risk of their portfolio, in a context where the benefits of diversification within traditional equity and bond portfolios have decreased. Broadly speaking, this seminar shows how to deal with non-Gaussian returns, illiquid assets, and flawed data. It also presents qualitative and quantitative techniques to control asset-class exposures, and manages liquidity, valuation and counterparty risks for portfolio-wide decisions involving alternatives.

    The first day of the seminar presents a broad introduction to current academic research into alternative asset classes by one of the world’s leading researchers in the field, and analyses the risks, return drivers and the conditional performance of the various alternative asset classes and strategies. It also includes a discussion of the celebrated Yale model, which suggests that large investors (such as endowments and public pension funds) can achieve superior returns by shifting a significant portion of investments away from traditional stocks and bonds and into carefully selected alternatives. In one of the two remaining days, the seminar gives participants a deeper understanding of long-term investment in infrastructure assets, which have become a prominent part of the allocation for a number of large, well-diversified institutional investors. It proposes a bottom-up approach to understand the asset class starting from the financial economics of infrastructure projects and the different instruments used to finance them, to asset pricing and risk models adapted to illiquid, thinly traded assets, and portfolio construction and benchmarking of asset allocations to infrastructure. In another one of the remaining two days, the seminar will examine, in addition to the theoretical foundations, the empirical evidence on risk and return in commodity markets. This will include the perspective of a variety of market participants including investors, hedgers, and asset managers such as CTAs. Throughout the class, the speaker will illustrate how the insights from research have been implemented in the design of commodity benchmarks and the products offered on the market.

    Seminar key learning objectives:

    • Explore the efficacy of an alternatives-based portfolio
    • Analyse various alternative investment vehicles including real estate, private equity, hedge funds, infrastructure and commodities
    • Discuss the celebrated Yale model
    • Understand underlying infrastructure assets and learn about the existing track record of listed and unlisted infrastructure investments solutions
    • Learn about applicable pricing and risk models for infrastructure project debt and equity investments
    • Explore the major global trends in commodities trading, production, and demand around the world
    • Understand the fundamental interconnection between spot and futures markets
    • Investigate investable commodity indices, the effects of the financialisation of commodity markets, and the influence of speculative capital in the markets

program details styles